Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

v3.21.2
FAIR VALUE MEASUREMENTS
6 Months Ended
Jun. 30, 2021
FAIR VALUE MEASUREMENTS [Abstract]  
FAIR VALUE MEASUREMENTS
NOTE 9. FAIR VALUE MEASUREMENTS


The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually.


The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:


Level 1:
Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
     
 
Level 2:
Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.
     
 
Level 3:
Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.
 

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
 


The warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on our accompanying June 30, 2021 condensed balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the condensed statements of operations.



The Public Warrants were initially valued using a lattice model, specifically a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology. As of June 30, 2021, the Public Warrants were valued using the instrument’s publicly listed trading price as of the balance sheet date, which is considered to be a Level 1 measurement due to the use of an observable market quote in an active market.

The Private Placement Warrants were valued using a lattice model, specifically a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology, which is considered to be a Level 3 fair value measurement. The primary unobservable input utilized in determining the fair value of the Private Placement Warrants is the expected volatility of our ordinary shares. The expected volatility of the Company’s ordinary shares was determined based on the implied volatility of the Public 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
 



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
 


Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement during the six months ended June 30, 2021 was $14,490,000.