Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.21.2
FAIR VALUE MEASUREMENTS (Tables)
5 Months Ended
Jun. 30, 2021
FAIR VALUE MEASUREMENTS  
Schedule of Company's assets that are measured at fair value on a recurring basis

Amount at

Description

    

Fair Value

    

Level 1

    

Level 2

    

Level 3

June 30, 2021

Assets

Investments held in Trust Account:

 

  

  

 

  

  

Money Market investments

$

200,003,184

$

200,003,184

$

$

Liabilities

Warrant liability - Public Warrants

$

8,400,000

$

$

$

8,400,000

Warrant liability- Private Placement Warrants

$

5,040,000

$

$

$

5,040,000

Schedule of significant inputs to the Monte Carlo Simulation for the fair value

At March 25, 2021

 

(Initial

As of June 30,

 

    

Measurement)

    

2021

 

Stock price

 

$

9.76

 

$

9.62

Strike price

 

$

11.50

 

$

11.50

Probability of completing a Business Combination

 

83.0

%  

100.0

%

Expected life of the option to convert (in years)

 

6.59

 

6.31

Volatility

 

4.5% pre-merger / 25.0% post-merger

 

15.2

%

Risk-free rate

 

1.19

%  

1.09

%

Fair value of warrants

 

$

1.48

 

$

0.84

Schedule of financial assets that are measured at fair value on a recurring basis

At March 25, 2021

 

(Initial

As of June 30,

 

    

Measurement)

    

2021

 

Stock price

 

$

9.76

 

$

9.62

Strike price

 

$

11.50

 

$

11.50

Probability of completing a Business Combination

 

83.0

%  

100.0

%

Dividend yield

 

%  

%

Remaining term (in years)

 

6.59

 

5.01

Volatility

 

21.3

%  

15.2

%

Risk-free rate

 

1.19

%  

1.09

%

Fair value of warrants

 

$

1.48

 

$

0.84

Schedule of changes in the fair value of warrant liabilities

Private

Warrant

    

Placement

    

Public

    

Liabilities

Fair value as of January 22, 2021 (inception)

$

$

$

Initial measurement at March 25, 2021

 

8,880,000

 

14,800,000

 

23,680,000

Change in fair value of warrant liabilities

 

(3,840,000)

 

(6,400,000)

 

(10,240,000)

Fair value as of June 30, 2021

$

5,040,000

$

8,400,000

$

13,440,000