Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities that are measured at fair value on a recurring basis
Description   Level     September 30,
2021
    February 16,
2021
 
Assets:                      
Marketable securities held in Trust Account (1)(2)   1     $ 253,042,565     $ 253,000,000  
Liabilities:                      
Private Placement Warrants(1)   3     $ 26,192,600     $ 24,812,195  
Public Warrants(1)   1     $ 3,447,125       5,252,879  

 

Schedule of key inputs for valuation of private placement warrants
Input   February 16,
2021
(Initial measurement)
 
Risk-free interest rate     0.73 %
Expected term (years)     5.87  
Expected volatility     23.2 %
Exercise price   $ 11.50  
Fair value of Unit   $ 10  
Fair value of Class A ordinary share   $ 9.79  

 

Input   September 30,
2021
    February 16,
2021
(Initial measurement)
 
Risk-free interest rate     1.01 %     0.73 %
Expected term (years)     5.20       5.87  
Expected volatility     46.3 %     42.6 %
Exercise price   $ 11.50     $ 11.50  
Fair value of Unit   $ 10.05     $ 10  
Fair value of Class A ordinary share   $ 9.91     $ 9.79  

 

Schedule of changes in the fair value of warrants liability
    Private
Placement
    Public     Warrants
Liability
 
Fair value as of February 16, 2021 (initial measurement)   $ 24,812,195     $ 5,252,879     $ 30,065,074  
Change in fair value     1,380,405       344,746       1,725,151  
Transfer to Level 1    
      (5,597,625 )     (5,597,625 )
Fair value as of September 30, 2021   $ 26,192,600     $
    $ 26,192,600