Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2021, by level within the fair value hierarchy:

Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Total
Assets:
Investments held in the Trust Account:
Money Market Funds	$	230,012,446	$	-	$	-	$	230,012,446

Liabilities:
Derivative liabilities - Public Warrant	$	3,450,000	$	-	$	-	$	3,450,000
Derivative liabilities - Private Warrant		-		-		3,950,000		3,950,000
Forward purchase agreement	$	-	$	-	$	-	$	-
							$	7,400,000

Level 3 Fair Value Measurement Inputs

The following table provides quantitative information regarding Level 3 fair value measurements inputs at the measurement date:

	As of September 30, 2021
Volatility		29.0	%
Share price	$	9.73
Expected life of the options to convert		0.48
Risk-free rate		1.09	%
Dividend yield		0.0	%

Change in Fair Value of Derivative Liabilities

The change in the fair value of the derivative liabilities, measured using Level 3 inputs, for the three and nine months ended September 30, 2021, is summarized as follows:

Balance - January 1, 2021	$	-
Issuance of Public and Private Warrants		9,228,670
Change in fair value of derivative liabilities		144,660
Value of forward purchase agreement		-
Derivative liabilities at March 31, 2021		9,373,330
Transfer of Public Warrants to Level 1 measurement		(4,370,000	)
Change in fair value of derivative liabilities		1,000,670
Change in fair value of forward purchase agreement		-
Derivative liabilities at June 30, 2021		6,004,000
Change in fair value of derivative liabilities		(2,054,000	)
Change in fair value of forward purchase agreement		-
Derivative liabilities at September 30, 2021	$	3,950,000