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 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 following table presents information about the Company’s assets and liabilities that are measured at fair value at September 30, 2021, and indicates the Fair Value Hierarchy of the valuation inputs the Company utilized to determine such fair value:

		September 30,
Description	Level	2021
Assets:
Marketable securities held in Trust Account	1	$	230,007,326
Liabilities:
Warrant- Forward Purchase Warrants	3	$	360,287
Warrant- Private Placement Warrants	3	$	3,246,269
Warrant- Public Warrants	1	$	5,646,500

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. As of September 30, 2021, the Public Warrants were valued using the publicly available price for the Warrant and are classified as Level 1 on the Fair Value Hierarchy.

The Public Warrants, Private Placement Warrants and the forward purchase warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within liabilities on the 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.

Upon consummation of the Initial Public Offering, the Company used a Monte Carlo simulation model to value the Public Warrants and a modified Black-Scholes model to value the Private Placement Warrants. In order to value the forward purchase warrants, the Company used a valuation method which considers the reconstructed unit price (the total fair value of common stock and half the Private Warrant value) and multiple assumptions such as risk-free rate and time to Initial Business Combination. 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 Warrants, and (iii) the issuance 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 (temporary equity) and Class B Common Stock (permanent equity) based on their relative fair values at the initial measurement date. The Public Warrants, Private Placement Warrants and forward purchase warrants were classified within Level 3 of the Fair Value Hierarchy at the initial measurement date due to the use of unobservable inputs.

As of September 30, 2021, the Public Warrants were valued using the publicly available price for the Warrant and are classified as Level 1 on the Fair Value Hierarchy. As September 30, 2021, the Company used a modified Black-Scholes model to value the Private Placement Warrants. The Company relied upon the implied volatility of the Public Warrants and the closing share price at September 30, 2021 to estimate the volatility for the Private Placement Warrants. As of September 30, 2021, the Private Placement Warrants 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 forward purchase warrants were valued used a valuation method which considers the reconstructed unit price (the total fair value of common stock and half the Private Warrant value) and multiple assumptions such as risk-free rate and time to Initial Business Combination. As of September 30, 2021, the forward purchase warrants were classified within Level 3 of the Fair Value Hierarchy at the measurement dates due to the use of unobservable inputs.

The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the nine months ended September 30, 2021:

	Fair Value
	Measurement
	Using Level 3
	Inputs Total
Balance, December 31, 2020	$	—
Derivative liabilities recorded on issuance of derivative warrants		15,411,375
Transfer to Level 1		(5,646,500)
Change in fair value of derivative liabilities		(5,802,479)
Balance, September 30, 2021	$	3,606,556

During the nine months ended September 30, 2021, the fair value of the derivative feature of the warrants was calculated using the following weighted average assumptions:

	May 18, 2021		September 30, 2021
Risk-free interest rate	1.06	%	0.08 – 1.12	%
Expected life of grants	6.0 years		5.82 years
Expected volatility of underlying stock	10.0 – 18.3	%	9.0	%
Dividends	0	%	0	%

As of September 30, 2021 and December 31, 2020, the derivative liability was $8,892,769 and $0, respectively. In addition, for the three months and nine ended September 30, 2021, the Company recorded $5,802,479 and $6,158,319, respectively, as a gain on the change in fair value of the derivative warrants on the condensed statements of operations. Upon issuance of the Private Warrants, the Company charged to additional paid in capital of $591,948 for the excess of proceeds received over fair value of private warrant liabilities.