Fair Value Measurements

3 Months Ended

Mar. 31, 2021

Fair Value Measurements

Note 8 — 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 following table presents information about the Company’s assets that are measured at fair value on a recurring basis at March 31, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


March 31, 2021
Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Cash and marketable securities held in Trust Account	$	347,371,282	$	—	$	—
Liabilities:
Derivative warrant liabilities- Public Warrants	$	47,437,500	$	—	$	—
Derivative warrant liabilities- Private Placement Warrants		—		—		34,104,000


December 31, 2020
Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Cash and marketable securities held in Trust Account	$	347,472,903	$	—	$	—
Liabilities:
Derivative warrant liabilities- Public Warrants	$	31,740,000	$	—	$	—
Derivative warrant liabilities- Private Placement Warrants		—		—		22,330,000

Approximately $2,300 and $2,800 of the balance held in Trust Account was held in cash as of March 31, 2021 and December 31, 2020, respectively.

Public Warrants issued in connection with the Initial Public Offering were valued based on the warrant’s quoted the market price.

As of March 31, 2021 and December 31, 2020, the estimated fair value of Private Placement Warrants was determined using a Black-Scholes valuation model using Level 3 inputs. Significant inputs to the valuation are as follows:


	As of March 31, 2021			As of December 31, 2020
Exercise price	$	11.50		$	11.50
Stock price	$	12.40		$	10.71
Volatility		25.0	%		25	%
Probability of completing a Business Combination		100	%		100	%
Term		5.1			5.23
Risk-free rate		0.93	%		0.39	%
Dividend yield		0.0	%		0.0	%

The change in fair value of the derivative warrant liabilities during the three months ended March 31, 2021 and 2020 is as follows:


	Public Warrants			Private Placement Warrants			Total Derivative Warrant Liability
Derivative warrant liabilities at December 31, 2019	$	13,455,000		$	14,007,000		$	27,462,000
Change in fair value of warrant liabilities		(3,795,000	)		(3,349,500	)		(7,144,500	)
Derivative warrant liabilities at March 31, 2020	$	9,660,000		$	10,657,500		$	20,317,500

	Public Warrants			Private Placement Warrants			Total Derivative Warrant Liability
Derivative warrant liabilities at December 31, 2020	$	31,740,000		$	22,330,000		$	54,070,000
Change in fair value of warrant liabilities		15,697,500			11,774,000			27,471,500
Derivative warrant liabilities at March 31, 2021	$	47,437,500		$	34,104,000		$	81,541,500

- 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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