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 fair value hierarchy of valuation inputs
Description   Amount at Fair Value     Level 1     Level 2     Level 3  
September 30, 2021                        
Assets                        
Investments held in Trust Account:                        
Money Market investments   $ 174,226,747     $ 174,226,747     $
    $
 
Liabilities                                
Warrant liabilities – Public Warrants   $ 7,935,000     $ 7,935,000     $
    $
 
Warrant liabilities – Private Placement Warrants   $ 4,735,500     $
    $
    $ 4,735,500  

 

Schedule of initial valuation the public warrants
    As of
July 19, 2021
(initial
measurement)
 
Stock Price on Valuation Date   $ 9.71  
Strike price (Exercise Price Share)   $ 11.50  
Probability of completing a Business Combination     83.0 %
Term (in years)     6.59  
Volatility     4.5% pre-merger / 23
post-merger
%
Risk-free rate     0.91 %
Fair value of warrants   $ 1.23  

 

Schedule of the Black-Scholes option model for the Private Placement Warrants
    As of
July 19, 2021
(initial
measurement)
    As of
September 30, 2021
 
Stock price   $ 9.71       $ 9.93  
Strike price   $ 11.50     $ 11.50  
Probability of completing a Business Combination     83.0 %     100.0 %
Dividend yield    
%    
%
Term (in years)     5.0       4.8  
Volatility     17.2 %     12.2 %
Risk-free rate     0.9 %     0.9 %
Discount for lack of marketability    
%    
%
Fair value of warrants   $ 0.85     $ 0.66  

 

Schedule of fair value on a recurring basis
Fair value as of December 31, 2020   $
 
Initial measurement of Public Warrants and Private Placement Warrants  at July 19, 2021     14,750,000  
Initial measurement of over-allotment warrants     1,957,500  
Transfer of Public Warrants to Level 1 measurement     (7,935,000 )
Change in fair value     (4,037,000 )
Fair value as of September 30, 2021   $ 4,735,500