NOTE 11. 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 December 31, 2020, assets held in the Trust Account were comprised of $628 in cash and $207,127,900 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 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:

	Held-To-Maturity		Level				Amortized Cost				Gross Holding Gain				Fair Value
December 31, 2020	U.S. Treasury Securities (Mature 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 period from August 20, 2020 (inception) through December 31, 2020.

	Level		December 31, 2020
Assets:
Cash and marketable securities held in Trust Account		1	$	207,128,528

Liabilities:
Warrant Liability – Public Warrants		1	$	14,704,023
Warrant Liability – Private Placement Warrants		3	$	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 statement of operations.

The Private Warrants were initially 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. A Monte Carlo simulation methodology was used in estimating the fair value of the public warrants for periods where no observable traded price was available, using the same expected volatility as was used in measuring the fair value of the Private Warrants. For periods subsequent to the detachment of the warrants from the Units, the close price of the public warrant price was used as the fair value as of each relevant date.

The following table provides quantitative information regarding Level 3 fair value measurements at October 23, 2020 (Initial Measurement) and December 31, 2020 (Private Placement Warrants only):

	At October 23, 2020 (Initial Measurement)			As of December 31, 2020
Stock price	$	9.52		$	10.35
Strike price	$	11.50		$	11.50
Volatility		10.0	%		10.0	%
Risk-free rate		0.46	%		0.46	%
Time until Business Combination occurring (years)		0.75			0.66
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 August 20, 2020 (inception)	$	—	$	—	$	—
Initial measurement on October 23, 2020 (including overallotment)		4,586,011		7,613,646		12,199,657
Change in valuation inputs or other assumptions		4,600,343		7,090,377		11,690,720
Fair value as of December 31, 2020	$	9,186,354	$	14,704,023	$	23,890,377

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

Fair value as of August 20, 2020	$	—
Initial measurement on October 23, 2020 (Initial Public Offering)		12,199,657
Transfer out of level 3		(14,704,023	)
Change in fair value		11,690,720
Fair value as of December 31, 2020	$	9,186,354

There were transfers out of Level 3 to other levels in the fair value hierarchy totaling $14,704,023 for the period from August 20, 2020 (inception) until December 31, 2020.