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 Disclosures [Abstract]  
Schedule of assets and liabilities that are measured at fair value on a recurring basis
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.

 

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   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  

 

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  
Fair value as of June 30, 2021   $ 26,192,600     $ 5,597,625     $ 31,790,225