Fair Value Measurements

9 Months Ended

Sep. 30, 2021

NOTE 9. FAIR VALUE MEASUREMENTS

Investments Held in Trust Account

At September 30, 2021 and December 31, 2020, assets held in the Trust Account were comprised of $234,620,136 and $232,302,673 in money market funds which are invested primarily in U.S. Treasury Securities, respectively. During the three and nine months ended September 30, 2021 and the year ended December 31, 2020, the Company did not withdraw any interest earned on the Trust Account.

Warrant and Forward Contract Liability

At September 30, 2021 and December 31, 2020, the Company’s warrant liability was valued at

19,817,500

and $

36,515,500

respectively, and its forward contract to acquire additional warrants liability was valued as an asset in the amount of

345,000

and valued as a liability in the amount of

3,542,000

respectively. Under the guidance in ASC

815-40

the warrants and forward contract do not meet the criteria for equity treatment. As such, the warrants and forward contract must be recorded on the balance sheet at fair value. This valuation is subject to

re-measurement

at each balance sheet date. With each

re-measurement,

the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s Statements of Operations.

Recurring Fair Value Measurements

The following table presents fair value information as of September 30, 2021 and December 31, 2020 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. Since all of the Company’s investments held in the Trust Account consist of U. S. Treasury Bills or U.S. Money Market, fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets. The Company’s Forward Contract liability, and Private Warrant liability as of September 30, 2021 and December 31, 2020, and Public Warrant liability as of December 31, 2020 are based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. For the nine months ended September 30, 2021, the value of the Public Warrant liability was transferred out of Level 3 and into Level 1 classification. The Public Warrant liability moved from Level 3 to Level 1 during the nine months ended September 30, 2021 after the Public Warrants began active trading.


Description	Level		September 30, 2021		December 31, 2020
Assets:
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund		1	$	234,620,136	$	232,302,673
Forward Contract		3	$	345,000		—
Liabilities:
Public Warrants		1	$	9,660,000		—
Public Warrants		3		—	$	19,435,000
Private Warrants		3	$	10,157,500	$	17,080,500
Forward Contract		3	$	—	$	3,542,000

Measurement

The Company established the initial fair value for the warrant liability and forward contract liability on November 19, 2020, the date of the consummation of the Company’s IPO. On December 31, 2020 the fair value was remeasured. For both periods, neither the Public Warrants nor the Private Warrants were separately traded on an open market. As such, the Company used a Monte C

rlo simulation model to value the Public Warrants and a modified Black-Scholes model to value the Private Warrants. The Company valued the forward contract to issue additional Private Warrants by determining the difference between the purchase price and the valuation of the underlying Private Warrants, as described above, and used a probability-weighted average to estimate the number of additional Private Warrants to be issued. For the Public Warrants, the Company allocated the proceeds received from the sale of Units (which is inclusive of one share of Class A common stock and

one-half

of one Public Warrant) first to the Public 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 (temporary equity), and Class A common stock (permanent equity). The Private Placement Warrants and forward contract were classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs. As of September 30, 2021, the Public Warrants were valued using the instrument’s publicly listed trading price as of the balance sheet date, which is considered to be a Level 1 measurement due to the use of an observable market quote in an active market.

The Company estimates the volatility of its common stock based on historical volatility of select peer companies 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 remaining at zero.

The key inputs into the Monte Carlo simulation model (December 31, 2020 only) and the modified Black-Scholes model were as follows at September 30, 2021 (Private Warrants only) and December 31, 2020:


Input	September 30, 2021			December 31, 2020
Risk-free interest rate		1.06	%		0.50	%
Expected term (years)		5.0			6.0
Expected volatility		13.0	%		25.0	%
Exercise price	$	11.50		$	11.50
Dividend yield		0.0	%		0.0	%
Expected stock price at De-SPAC	$	10.11		$	10.00
Probability-weighted average of additional shares to be issued for the forward contract		2,300,000			4,600,000

The change in the fair value of the derivative liabilities for the period ended September 30, 2021 is summarized as follows:


	Private Placement			Public			Forward Contract			Derivative Liabilities
Fair value as of January 1, 2021	$	17,080,500		$	19,435,000		$	3,542,000		$	40,057,500
Sale of 2,300,000 warrants to Sponsor on May 19, 2021		2,093,000			—			—			2,093,000
Change in valuation inputs or other assumptions (1)		(9,016,000	)		(9,775,000	)		(3,887,000	)		(22,678,000	)

Fair value as of September 30, 2021	$	10,157,500		$	9,660,000		$	(345,000	)	$	19,472,500

(1)

The change in valuation inputs or other assumptions for the Forward Contract includes a partial settlement of the Forward Contract related to the Sponsor’s exercise of its option to purchase 2,300,000 Private Placement Warrants. The Company realized a $207,000 gain during the period as part of the partial settlement of the Forward Contract derivative liability. See Note 4 for additional information.

There were transfers out of Level 3 of the fair value hierarchy into Level 1 totaling $19,435,000 during the nine months ended September 30, 2021.

- 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.

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