Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.21.2
Fair Value Measurement (Tables)
6 Months Ended
Jun. 30, 2021
Fair Value Measurement  
Schedule of option model for the Private Placement Warrants and Public Warrants

The key inputs into the option model for the Private Placement Warrants and Public Warrants as of February 23, 2021 and June 30, 2021 were as follows:

As of

    

February 23, 2021

    

June 30, 2021

Implied volatility

 

20%

20.70%

Risk-free interest rate

 

0.8%

1.00%

Warrant exercise price

$

11.50

$

11.50

Expected term

 

6

 

5.75

Schedule of change in the fair value of the warrant liabilities

The following table presents the changes in the fair value of warrant liabilities:

    

    

Private 

    

Total warrant 

Public warrants

warrants

liabilities

Fair value when issued (February 23, 2021)

$

11,247,000

$

9,671,333

$

20,918,333

Change in fair value from inception

$

(1,173,000)

$

(712,000)

$

(1,885,000)

Fair value at June 30, 2021

$

10,074,000

$

8,959,333

$

19,033,333

Schedule of financial assets that are measured at fair value on a recurring basis

    

    

    

Significant

    

Significant

Other

Other

Quoted Prices in

Observable

Unobservable

June 30, 

Active Markets

Inputs

Inputs

Description

2021

(Level 1)

(Level 2)

(Level 3)

Assets:

 

  

 

  

 

  

 

  

Cash and cash equivalent held in Trust Account

 

345,007,260

 

345,007,260

 

 

Liabilities:

 

  

 

  

 

  

 

  

Derivative liability - public warrants

 

10,074,000

 

10,074,000

 

 

Derivative liability - private warrants

 

8,959,333

 

 

8,959,333