Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.21.2
FAIR VALUE MEASUREMENTS (Tables)
3 Months Ended
Mar. 31, 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 March 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description
 
Level
   
March 31, 2021
 
Assets:
           
Marketable securities held in Trust Account
   
1
   
$
258,760,562
 
                 
Liabilities:
               
Warrant Liability – Public Warrants
   
1
     
9,056,250
 
Warrant Liability – Private Placement Warrants
   
3
     
5,022,500
 
Key Inputs into Binomial Lattice Model for Warrants
The key inputs into the binomial lattice model for the Warrants were as follows:

 
 
January 29, 2021
(Initial Measurement)
   
March 31,
2021
 
Input
 
Public Warrants
   
Private Warrants
   
Private Warrants
 
Market price of public shares
 
$
9.64
   
$
9.64
     
9.71
 
Risk-free rate
   
0.51
%
   
0.51
%
   
0.97
%
Dividend yield
   
0.00
%
   
0.00
%
   
0.00
%
Volatility
   
14.2
%
   
14.2
%
   
13.1
%
Exercise price
 
$
11.50
   
$
11.50
     
11.50
 
Effective expiration date
 
6/13/26
   
6/13/26
   
6/13/26
 
One-touch hurdle
 
$
18.12
                 
Change in Fair Value of Level 3 Derivative Warrant Liabilities
The following table presents the changes in the fair value of warrant liabilities:

 
Private Placement
   
Public
   
Warrant Liabilities
 
Fair value as of January 1, 2021
 
$
   
$
   
$
 
Initial measurement on January 29th, 2021
   
5,166,000
     
9,315,000
     
14,481,000
 
Change in valuation inputs or other assumptions
   
(143,500
)
   
(258,750
)
   
(402,250
)
Fair value as of March 31, 2021
   
5,022,500
     
9,056,250
     
14,078,750