Fair Value Measurements

6 Months Ended

Jun. 30, 2021

FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC 820 for its financial assets and liabilities that are

re-measured

and reported at fair value at each reporting period, and

non-financial

assets and liabilities that are

re-measured

and reported at fair value at least annually.

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:


Level 1:		Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Level 2:		Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

Level 3:		Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

The Company classifies its U.S. Treasury and equivalent securities as

held-to-maturity

in accordance with ASC 320 “Investments—Debt and Equity Securities.”

Held-to-maturity

securities are those securities which the Company has the ability and intent to hold until maturity.

Held-to-maturity

treasury securities are recorded at amortized cost on the accompanying balance sheets and adjusted for the amortization or accretion of premiums or discounts.

At June 30, 2021, assets held in the Trust Account were comprised of $351,737,387 in money market funds, which are invested in U.S. Treasury Securities. At December 31, 2020, assets held in the Trust Account were comprised of $1,455 in cash and $175,325,383 in money market funds, which are invested in U.S. Treasury Securities and $176,531,482 in U.S. Treasury Bills.

During the six months ended June 30, 2021 and 2020, the Company withdrew $161,257 and $208,140, respectively, of interest earned on the Trust Account to pay its franchise taxes.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


Description	Level		June 30, 2021		December 31, 2020
Assets:
Investments – U.S. Treasury Securities Money Market Fund		1	$	351,737,387	$	175,325,383
Liabilities:
Warrant Liability – Public Warrants		1		59,500,000		74,900,000
Warrant Liability – Private Placement Warrants		3		1,692,900		2,519,100

The Warrants were accounted for as liabilities in accordance with ASC

815-40

and are presented within warrant liabilities on the accompanying unaudited condensed consolidated balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the consolidated statements of operations.

The Private Placement Warrants were valued using a Modified Black Scholes Option Pricing Model, which is considered to be a Level 3 fair value measurement. The Modified Black Scholes model’s primary unobservable input utilized in determining the fair value of the War

ants is the expected volatility of the common stock. The expected volatility as of the date of the Initial Public Offering date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The expected volatility as of subsequent valuation dates was estimated through comparable guideline companies.

The key inputs into the Modified Black-Scholes Option Pricing Model for the Private Placement Warrants were as follows:


Input:	June 30, 2021			December 31, 2020
Risk-free interest rate		0.87	%		0.42	%
Expected term (years)		5.0			5.4
Expected volatility		34.9	%		34.5	%
Exercise price	$	11.50		$	11.50
Fair value of Units	$	12.25		$	15.01

The measurement of the Public Warrants after the detachment of the Public Warrants from the Units is classified as Level 1 due to the use of an observable market quote in an active market. For periods subsequent to the detachment of the Public Warrants from the Units, the closing price of the Public Warrant was used as the fair value for the Warrants as of each relevant date.

The following table presents the changes in the fair value of warrant liabilities measured at fair value for the three and six months ended June 30, 2021 and 2020:


	Private Placement			Public			Warrant Liabilities
Fair value as of January 1, 2021	$	2,519,100		$	74,900,000		$	77,419,100
Change in valuation inputs or other assumptions (1)		(1,121,850	)		(29,050,000	)		(30,171,850	)

Fair value as of March 31, 2021		1,397,250			45,850,000			47,247,250
Change in valuation inputs or other assumptions (1)		295,650			13,650,000			13,945,650

Fair value as of June 30, 2021	$	1,692,900		$	59,500,000		$	61,192,900


	Private Placement		Public			Warrant Liabilities
Fair value as of January 1, 2020	$	822,150	$	20,125,000		$	20,947,150
Change in valuation inputs or other assumptions (1)		81,000		(4,375,000	)		(4,294,000	)

Fair value as of March 31, 2020		903,150		15,750,000			16,653,150
Change in valuation inputs or other assumptions (1)		210,600		14,000,000			14,210,600

Fair value as of June 30, 2020	$	1,113,750	$	29,750,000		$	30,863,750

(1)	Changes in valuation inputs or other assumptions are recognized in change in fair value of warrant liabilities in the consolidated statement of operations.

There were no transfers in or out of Level 3 from other levels in the fair value hierarchy.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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