NOTE 10. FAIR VALUE MEASUREMENTS

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.

At December 31, 2020, assets held in the trust account were comprised of $1,000,838 in money market funds which is at NAV, which are invested in U.S. Treasury Securities, and $301,328,657 in U.S. Treasury Bills. During the year ended December 31, 2020, the Company withdrew $84,434 of interest income from the trust account to pay its franchise and income taxes.

At December 31, 2019, assets held in the trust account were comprised of $1,000,905 in money market funds, which are invested in U.S. Treasury Securities, and $299,426,589 in U.S. Treasury Bills. During the period from July 31, 2019 (inception) through December 31, 2019, the Company did not withdrawn any interest income from the trust account to pay its franchise and income taxes.

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at December 31, 2020 and 2019 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The gross holding gains and fair value of held-to-maturity securities at December 31, 2020 and 2019 are as follows:

Held-To-Maturity	Level		Amortized Cost		Gross Holding Loss			Fair Value
U.S. Treasury Securities (Mature on December 31, 2020 2/18/2021)		1	$	301,328,657	$	(2,966	)	$	301,325,691
U.S. Treasury Securities (Matured on December 31, 2019 5/21/2020)		1	$	299,426,589	$	(9,722	)	$	299,416,867

The Company recognizes transfers into and out of the fair value levels at the end of the reporting period. There were no transfers into or out of the levels during the year ended December 31, 2020 or the period from July 31, 2019 (inception) through December 31, 2019.

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2020 and 2019 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level		December 31, 2020		September 30, 2020		June 30, 2020		March 31, 2020		December 31, 2019		November 26, 2019
Liabilities:
Warrant Liability–Public Warrants		1	$	19,500,000	$	16,950,000	$	14,700,000	$	8,100,000	$	7,350,000	$	10,950,000
Warrant Liability–Private Placement Warrants		3	$	17,200,000	$	9,040,000	$	7,840,000	$	4,320,000	$	3,920,000	$	5,840,000

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented in the statement of operations.

The Warrants were initially valued using a binomial lattice model, which is considered to be a Level 3 fair value measurement. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the common stock. The expected volatility as 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 implied from the Company’s own Public Warrant pricing. 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 warrants from the Units, the close price of the public warrant price was used as the fair value as of each relevant date.

The following table presents the quantitative information regarding Level 3 fair value measurements of the warrant liability:

	December 31, 2020			September 30, 2020			June 30, 2020			March 31, 2020			December 31, 2019			November 26, 2019
Exercise price	$	11.50		$	11.50		$	11.50		$	11.50		$	11.50		$	11.50
Stock price	$	10.26		$	10.19		$	9.96		$	9.70		$	9.78		$	9.78
Volatility		26.60	%		18.30	%		17.20	%		11.90	%		8.70	%		12.2	%
Term		5.00			5.00			5.00			5.00			5.00			5.00
Risk-free rate		0.42	%		0.25	%		0.27	%		0.69	%		1.70	%		1.59	%
Dividend yield		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

The following table presents the changes in the fair value of Level 3 warrant liabilities:

	Private Placement			Public			Warrant Liabilities
Fair value as of July 31, 2019 (inception)	$	—		$	—		$	—
Initial measurement on November 26, 2019		5,840,000			10,950,000			16,790,000
Change in fair value		(1,920,000	)		(3,600,000	)		(5,520,000	)
Fair value as of December 31, 2019		3,920,000			7,350,000			11,270,000
Transfer to Level 1		—			(7,350,000	)		(7,350,000	)
Change in fair value		13,280,000			—			13,280,000
Fair value as of December 31, 2020	$	17,200,000		$	—		$	17,200,000

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement during the year ended December 31, 2020 was $7,350,000.