Registration of securities issued in business combination transactions

Fair Value Measurements (Tables)

v3.22.0.1
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