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Fair Value Measurements

12 Months Ended

Dec. 31, 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 and liabilities that are measured at fair value on a recurring basis at December 31, 2021, and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

Description		December 31, 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		$	175,109,162			$	175,109,162			$	—			$	—
Liabilities:
Warrant Liability – Public Warrants		$	5,600,000			$	5,600,000			$	—			$	—

Warrant Liability – Private Placement Warrants		$	3,937,845			$	—			$	—			$	3,937,845

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

Cash included in the tables above is not material.

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within derivative warrant liabilities on the Company’s 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 statements of operations.

The Private Warrants were valued using a Monte Carlo simulation model, which is considered to be a Level 3 fair value measurement due to the use of unobservable 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 primary significant unobservable input used in the fair value measurement of the Company’s private warrants is the expected volatility of the common stock. Significant increases (decreases) in the expected volatility in isolation of would result in significantly higher (lower) fair value measurement. In determining the expected volatility, the Company derived the expected volatility from observable public warrant pricing on comparable “blank-check” companies.

A Monte Carlo simulation model was used in estimating the fair value of the Public Warrants for periods where no observable traded price was available, using the expected volatility as was used in measuring the fair value of the Private Warrants. The subsequent measurement of the Public Warrants as of December 31, 2021 is classified as Level 1 due to the use of an observable market quote in an active market under the ticker PMVC.WT.

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

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

		As of December 31, 2021				As of December 31, 2020
Stock price		$	9.83			$	9.49
Strike price		$	11.50			$	11.50
Term (in years)			5.0				5.0
Volatility			13.67	%			25.00	%
Risk-free rate			0.71	%			0.54	%
Dividend yield			0.00	%			0.00	%
Probability of completing a Business Combination			70.00	%			70.00	%

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between levels for the year ended December 31, 2021 other than the transfer of the Public Warrants from Level 3 to Level 1. This change was a result of increased trading volume and history on the Public Warrants to appropriately be classified as Level 1.

The change in fair value of the derivative warrant liabilities measured with Level 3 inputs for the years ended December 31, 2021 and December 31, 2020 is summarized as follows:

		Private Warrants				Public Warrants				Total
Fair value as of March 18, 2020 (inception)		$	—			$	—			$	—
Initial measurement on September 30, 2020, Level 3 Inputs⁽¹⁾			6,027,000				8,837,500				14,864,500
Change in fair value recognized in earnings			246,000				87,500				333,500
Derivative warrant liabilities – Level 3, at 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
Derivative warrant liabilities – Level 3, at 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	)
Derivative warrant liabilities – Level 3, at 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	)
Derivative warrant liabilities – Level 3, at September 30, 2021			4,125,568				5,929,000				10,054,568
Transfer of Public Warrants to Level 1			—				(5,929,000	)			(5,929,000	)
Change in fair value recognized in earnings			(187,723	)			—				(187,723	)
Fair value as of December 31, 2021		$	3,937,845			$	—			$	3,937,845

⁽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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