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]  
Summary of Assets that are Measured at Fair Value
The following table presents information about the Company’s financial assets and liabilities that are measured at fair value.
 
    
Fair Value Measured as of June 30, 2021
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Assets:
                                   
Investments held in Trust Account
   $ 316,256,601      $ —        $ —        $ 316,256,601  
Liabilities:
                                   
Derivative warrant liabilities - public warrants
   $ 7,906,250      $ —        $ —        $ 7,906,250  
Derivative warrant liabilities - private warrants
   $ —        $ —        $ 6,993,000      $ 6,993,000  
Summary of Fair Value Measurement Inputs and Valuation Techniques
The following table provides quantitative information regarding Level 3 fair value measurements inputs as their measurement dates:
 
    
As of

February 25,
2021
   
As of

June 30,
2021
 
Share price
   $ 9.85     $ 9.73  
Exercise price
   $ 11.50     $ 11.50  
Option term (in years)
     5       5  
Volatility
     29.0     20.00
Risk-free interest rate
    
0.81% -1.01
    0.87
Expected dividends
     0.00     0.00
Summary of Change in the Fair Value of the Derivative Warrant Liabilities
The change in the fair value of the derivative warrant liabilities measured using Level 3 inputs for the three and six months ended June 30, 2021 is summarized as follows:
 
Derivative warrant liabilities at January 1, 2021
   $ —    
Issuance of Public and Private Warrants
     26,843,380  
Change in fair value of derivative warrant liabilities
     (1,021,000
    
 
 
 
Derivative warrant liabilities at March 31, 2021
     25,822,380  
Transfer of Public Warrants to a Level 1 measurement
     (14,389,380
Change in fair value of derivative warrant liabilities
     (4,440,000
    
 
 
 
Derivative warrant liabilities at June 30, 2021
   $ 6,993,000