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Fair Value Measurements

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 9—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.

The following tables present information about the Company’s assets that are measured at fair value on a recurring basis at September 30, 2021, and December 31, 2020, and indicate the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

Description		September 30, 2021				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		$	175,084,854			$	175,084,854			$	—			$	—
Liabilities:
Warrant Liability – Public Warrants		$	5,929,000			$	—			$	—			$	5,929,000

Warrant Liability – Private Placement Warrants		$	4,125,568			$	—			$	—			$	4,125,568

Description		December 31, 2020				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		$	175,040,510			$	175,040,510			$	—			$	—
Liabilities:
Warrant Liability – Public Warrants		$	8,925,000			$	—			$	—			$	8,925,000

Warrant Liability – Private Placement Warrants		$	6,273,000			$	—			$	—			$	6,273,000

Level 3 financial liabilities consist of the Public Warrant and Private Placement Warrant liability for which there is little or no current market for these securities such that the determination of fair value requires significant judgment or estimation. Changes in fair value measurements categorized within Level 3 of the fair value hierarchy are analyzed each period based on changes in estimates or assumptions and recorded as appropriate.

The Company utilizes a Monte Carlo simulation model to value the warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the warrant liability is determined using Level 3 inputs. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. However, inherent uncertainties are involved. If factors or assumptions change, the estimated fair values could be materially different.

The aforementioned warrant liabilities are not subject to qualified hedge accounting.

There were no transfers between levels within the fair value hierarchy during the quarter ended September 30, 2021.

The following table provides quantitative information regarding Level 3 fair value measurements:

		As of September 30, 2021				As of December 31, 2020
Stock price		$	9.78			$	9.49
Strike price		$	11.50			$	11.50
Term (in years)			5.0				5.0
Volatility			22.99	%			25.00	%
Risk-free rate			0.07	%			0.54	%
Dividend yield			0.00	%			0.00	%
Probability of completing a Business Combination			70.00	%			70.00	%

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

		Private Warrants				Public Warrants				Total
Fair value as of March 18, 2020 (inception)		$	—			$	—			$	—
Initial measurement on September 30, 2020⁽¹⁾			6,027,000				8,837,500				14,864,500
Change in fair value recognized in earnings			246,000				87,500				333,500
Fair value as of December 31, 2020			6,273,000				8,925,000				15,198,000
Change in fair value recognized in earnings			61,500				175,000				236,500
Fair value as of March 31, 2021			6,334,500				9,100,000				15,434,500
Change in fair value recognized in earnings			(793,965	)			(1,137,500	)			(1,931,465	)
Fair value as of June 30, 2021			5,540,535				7,962,500				13,503,035
Change in fair value recognized in earnings			(1,414,967	)			(2,033,500	)			(3,448,467	)
Fair value as of September 30, 2021		$	4,125,568			$	5,929,000			$	10,054,568

⁽¹⁾	There was no measurable difference in fair value between the date of our Initial Public Offering on September 24, 2020, and September 30, 2020.

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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