Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.21.2
FAIR VALUE MEASUREMENTS (Tables)
6 Months Ended
Jun. 30, 2021
FAIR VALUE MEASUREMENTS [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at June 30, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description
 
Level
   
June 30, 2021
 
Assets:
           
Marketable securities held in Trust Account
   
1
   
$
258,769,775
 
                 
Liabilities:
               
Warrant Liability – Public Warrants
   
1
     
14,490,000
 
Warrant Liability – Private Placement Warrants
   
3
     
8,036,000
 
Key Inputs into Binomial Lattice Model for Warrants

The key inputs into the binomial lattice model for the Private Warrants as of June 30, 2021 were as follows:

Input

 
Market price of public shares
 
$
9.73
 
Risk-free rate
   
0.88
%
Dividend yield
   
0.00
%
Volatility
   
18.8
%
Exercise price
 
$
11.50
 
Effective expiration date
6/13/26
 
Change in Fair Value of Level 3 Derivative Warrant Liabilities

The following table presents the changes in the fair value of warrant liabilities for the six months ended June 30, 2021:


 
Private Placement
   
Public
   
Warrant Liabilities
 
Fair value as of January 1, 2021
 
$
   
$
   
$
 
Initial measurement on January 29, 2021
   
5,166,000
     
9,315,000
     
14,481,000
 
Change in valuation inputs or other assumptions
   
2,870,000
     
5,175,000
     
8,045,000
 
Fair value as of June 30, 2021
 
$
8,036,000
   
$
14,490,000
   
$
22,526,000