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 Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

 

Fair Value Hierarchy of Assets and Liabilities

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2021 and February 16, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

Description   Level     June 30,
2021		     February 16,
2021		  
Assets:                  
Marketable securities held in Trust Account (1)(2)     1     $ 253,025,092     $ 253,000,000  
Liabilities:                        
Private Placement Warrants(1)     3     $ 26,192,600     $ 24,812,195  
Public Warrants(1)     1     $ 5,597,625       5,252,879  

 

(1) Measured at fair value on a recurring basis. As of February 16, 2021 the public warrants were classified as Level 3.

 

(2) The fair value of the marketable securities held in the Trust Account approximates the carrying amount primarily due to their short-term nature.

 

Warrants

 

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrants liability on the Balance Sheets. The warrants 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 warrants liability in the Statements of Operations.

 

Measurement

 

The Company established the initial fair value for the Warrants as of February 16, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model for the Public Warrants and a Black-Scholes simulation model for the Private Placement Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A ordinary share and one-eighth of one Public Warrant) and (ii) the sale of Private Placement Warrants first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The Public Warrants began trading separately on April 5, 2021 and their value is based on the publicly traded price as of June 30, 2021. Due to the use of a quoted price in an active market, the Public Warrants are classified as Level 1 as of June 30, 2021. The Private Placement Warrants continue to be classified as Level 3 as of June 30, 2021 and continue to be valued based on a Black-Scholes simulation model.

 

The key inputs into the Monte Carlo simulation model for the Public Warrants were as follows at initial measurement:

 

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  

 

The key inputs into the Black-Scholes model for the Private Placement Warrants were as follows:

 

Input   June 30,
2021		     February 16,
2021
(Initial
measurement)		  
Risk-free interest rate     0.93 %     0.73 %
Expected term (years)     5.38       5.87  
Expected volatility     45.8 %     42.6 %
Exercise price   $ 11.50     $ 11.50  
Fair value of Unit   $ 10     $ 10  
Fair value of Class A ordinary share   $ 9.89     $ 9.79  

 

Measurement

 

The Company’s use of a Monte Carlo simulation and Black-Scholes model required the use of subjective assumptions:

 

● The risk-free interest rate assumption was interpolated based on constant maturity U.S. Treasury rates over a term commensurate with the expected term of the warrants.

 

● The expected term was determined based on the expected date of the initial Business Combination, as the Warrants expire on the date that is 5 years from the completion of the initial Business Combination.

 

● The expected volatility assumption was based on the implied volatility from a set of comparable publicly-traded warrants as determined based on size and proximity.

 

● The fair value of the Units, which each consist of one Class A ordinary share and one-eighth of one Public Warrant, represents the price paid in the Initial Public Offering.

 

The following table presents the 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  
Fair value as of June 30, 2021   $ 26,192,600     $ 5,597,625     $ 31,790,225  

 

During the three month period ended June 30, 2021, the Company had transferred out of Level 3 and into Level 1 total amount of $5,597,625 when the company transferred all public warrant liabilities out of Level 3 and into Level 1.