FAIR VALUE MEASUREMENTS

3 Months Ended

6 Months Ended

Mar. 31, 2021

Dec. 31, 2020

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.

At March 31, 2021 assets held in the Trust Account were comprised of $753 in cash and $230,006,014 in U.S. Treasury Money Market Mutual Funds. At December 31, 2020, assets held in the Trust Account were comprised of $753 in cash and $230,052,496 in U.S. Treasury Bills. During the three months ended March 31, 2021 and year ended December 31, 2020, the Company did not withdraw any interest income from the trust account to pay its franchise taxes.

At March 31, 2021 and December 31, 2020, there were 11,500,000 Public Warrants and 6,600,000 Private Placement Warrants outstanding.

There were no transfers into or out of Level 3 during the three months ended March 31, 2021.

The following table presents information about the Company’s assets and liabilities 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. The fair value of

held-to-maturity

securities and warrant liabilities at March 31, 2021 and December 31, 2020 are as follows:


Description	March 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 (a)	$	230,090,636	$	—	$	—	$	—

Liabilities:
Warrant Liability – Public Warrants	$	11,730,000	$	11,730,000	$	—	$	—

Warrant Liability – Private Placement Warrants	$	6,732,000	$	—	$	6,732,000	$	—


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 (a)	$	230,053,249	$	230,053,249	$	—	$	—

Liabilities:
Warrant Liability – Public Warrants	$	14,950,000	$	14,950,000	$	—	$	—

Warrant Liability – Private Placement Warrants	$	8,580,000	$	—	$	8,580,000	$	—

(a)

In accordance with Subtopic

820-10,

certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the accompany financial statements.

NOTE 10 — FAIR VALUE MEASUREMENTS


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 Topic 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 sheet and adjusted for the amortization or accretion of premiums or discounts.

At December 31, 2020, assets held in the Trust Account were comprised of $753 in cash and $230,052,496 in U.S. Treasury securities. During the year ended December 31, 2020, the Company did not withdraw any interest income from the Trust Account.

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 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 are as follows:


Held-To-Maturity	Level		Amortized Cost		Gross Holding Loss		Fair Value
December 31, 2020 U.S. Treasury Securities (Mature on 3/18/2021)		1	$	230,052,496	$	4,291	$	230,056,787

At December 31, 2020, there were 11,500,000 Public Warrants and 6,600,000 Private Placement Warrants outstanding.

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.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2020 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 are as follows:


Description	December 31, 2020		Quoted Prices in Active Markets (Level 1)		SignificantOther Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Cash and marketable securities held in Trust Account	$	230,053,249	$	230,053,249	$	—	$	—

Liabilities:
Warrant Liability – Public Warrants	$	14,950,000	$	14,950,000	$	—	$	—

Warrant Liability – Private Placement Warrants	$	8,580,000	$	—	$	8,580,000	$	—

Initial Measurement

The Company utilized a binomial lattice model to value the warrants on September 17, 2020, the date of the Company’s Initial Public Offering. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A common stock and

one-half

of one Public Warrant), (ii) the sale of Private Placement Warrants, and (iii) the issuance of shares of Class B common stock, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A common stock subject to possible redemption, Class A common stock and Class B common stock based on their relative fair values at the initial measurement date. The Warrants were classified as Level 3 at the initial measurement date 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 shares of 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.

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

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


	At September 17, 2020 (Initial Measurement)
Unit price	$	10.00
Strike price	$	11.50
Term (in years)		1.0
Volatility		16.0
Risk-free rate		0.38
Dividend yield		0.0
Fair value of warrants	$	0.90

Subsequent Measurement

The Warrants are measured at fair value on a recurring basis. Following the separation of the Warrants, the Public Warrants for each quarterly reporting period and as of December 31, 2020 are classified as Level 1 due to

the use of an observable market quote in an active market. The subsequent measurement of the Private Placement Warrants for each quarterly reporting period and as of December 31, 2020 are classified as Level 2 due to the use of a quoted market price for a similar liability. During the period ended December 31, 2020, Public and Private Placement warrants were reclassified from Level 3 (at initial measurement) to Level 1 and Level 2, respectively. Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period.

As of December 31, 2020, the aggregate value of Public Warrants and Private warrants was $23.53 million.

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


	Private Placement			Public			Warrant Liabilities
Fair value as of June 23, 2020	$	—		$	—		$	—
Initial measurement on September 17, 2020		5,940,000			10,350,000			16,290,000
Change in valuation inputs or other assumptions		2,640,000			4,600,000			7,240,000
Transfer from Level 3 to Level 2		(8,580,000	)		—			(8,580,000	)
Transfer from Level 3 to Level 1		—			(14,950,000	)		(14,950,000	)

Level 3 fair value as of December 31, 2020	$	—		$	—		$	—

- 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.

+ References + Details