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 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 sheets and adjusted for the amortization or accretion of premiums or discounts.

At March 31, 2021, the assets held in the Trust Account were comprised of $ 207,156,661 in a mutual fund that invests solely in U.S. Treasury securities. During the three months ended March 31, 2021, the Company did not withdraw any interest income from the Trust Account.

At December 31, 2020, the assets held in the Trust Account were comprised of $628 in cash and $207,127,900 in U.S. Treasury securities.

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. The gross holding gains and fair value of held-to-maturity securities at March 31, 2021 and December 31, 2020 are as follows:

	Held-To-Maturity		Level		Amortized Cost		Gross Holding Gain		Fair Value
March 31, 2021		N/A		-	$	-	$	-	$	-

December 31, 2020	U.S. Treasury Securities (Matured on 2/18/2021)			1	$	207,127,900	$	5,527	$	207,133,427

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 three months ended March 31, 2021.

On February 18, 2021, the U.S. Treasury Securities matured and the proceeds from redemption were used to purchase shares of a mutual fund that invests solely in U.S. government securities.

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.

Description	Level		March 31, 2021		December 31, 2020
Assets:
Cash and investments held in Trust Account		1	$	207,156,661	$	207,128,528
Liabilities:
Warrant Liability – Public Warrants		1	$	8,076,857	$	14,704,023
Warrant Liability – Private Placement Warrants		3	$	4,966,405	$	9,186,354

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 statement of operations.

The Private Warrants were valued using a Modified Black Scholes Option Pricing Model, which is considered to be a Level 3 fair value measurement. The Modified Black Scholes 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 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.. The exchange traded price of the Public Warrants was used as the fair value as of each relevant date.

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

	At December 31, 2020			As of March 31, 2021
Stock price	$	10.35		$	9.84
Strike price	$	11.50		$	11.50
Volatility		10.0	%		15.0	%
Risk-free rate		0.46	%		0.44	%
Time until Business Combination occurring (years)		0.66			0.53
Dividend yield		0.0	%		0.0	%

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

	Private Placement			Public			Warrant Liabilities
Fair value as of January 1, 2021	$	9,186,354		$	14,704,023		$	23,890,377
Change in valuation inputs or other assumptions		(4,219,949	)		(6,627,166	)		(10,847,115	)
Fair value as of March 31, 2021	$	4,966,405		$	8,076,857		$	13,043,262