FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2021

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

NOTE 10. FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC Topic 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 and liabilities that are measured at fair value on a recurring basis at September 30, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

		September 30,		December 31,
Description	Level	2021		2020
Assets:
Cash and marketable securities held in Trust Account	1	$	202,493,502	$	202,439,643
Liabilities:
Warrant Liability – Public Warrants	1	$	6,412,800	$	16,032,000
Warrant Liability – Private Placement Warrants	3	$	4,989,520	$	12,807,300

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on our balance sheet. 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 consolidated statements of operations.

The Public Warrants and Private Warrants were initially valued using a binomial lattice simulation 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 Private Warrants is the expected volatility of the common stock. The expected volatility as of the initial public offering (“IPO”) 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. For periods subsequent to the detachment of the warrants from the Units, November 23, 2020, the close price of the public warrant price was used as the fair value as of each relevant date. The private warrants were valued using a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology.

The key inputs into the binomial lattice simulation model for the Private Placement Warrants were as follows at September 30, 2021 and at December 31, 2020:

	September 30,
Input	2021			December 31, 2020
Risk-free interest rate		0.87	%		0.38	%
Trading days per year		252			252
Expected volatility		13.0	%		22.4	%
Exercise price	$	11.50		$	11.50
Stock Price	$	9.90		$	10.19

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

	Warrant Liability -
	Private Placement
Fair value as of January 1, 2021	$	12,807,300
Change in fair value of warrant liability		(7,817,780)
Fair value as of September 30, 2021	$	4,989,520

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 $16,032,000. There were no changes between levels during the three months and six months ended September 30, 2021.