Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

v3.21.1
FAIR VALUE MEASUREMENTS
3 Months Ended
Mar. 31, 2021
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 9. 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 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 management’s 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 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:

 

 

 

 

 

 

 

 

 

 

 

    

 

    

March 31, 

    

December 31, 

Description

    

Level

    

2021

    

2020

Assets:

 

  

 

 

  

 

 

  

Marketable securities held in Trust Account

 

 1

 

$

276,947,475

 

$

276,943,339

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Warrant Liability - Public Warrants

 

 1

 

 

22,916,668

 

 

22,366,667

Warrant Liability - Private Placement Warrants

 

 3

 

 

14,700,000

 

 

14,400,000

 

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Company’s condensed consolidated balance sheets. 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 condensed consolidated statements of operations.

Subsequent Measurement

The Warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants as of March 31, 2021 is classified as Level 1 due to the use of an observable market quote in an active market.

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

 

 

 

 

 

 

 

 

 

 

 

    

Private

    

 

    

Warrant

 

 

Placement

 

Public

 

Liabilities

Fair value as of Janaury 1, 2021

 

$

14,400,000

 

$

22,366,667

 

$

36,766,667

Change in fair value of warrant liabilities

 

 

300,000

 

 

550,001

 

 

850,001

Fair value as of March 31, 2021

 

$

14,700,000

 

$

22,916,668

 

$

37,616,668

 

Level 3 financial liabilities consist of the Private Placement Warrant liability for which there is no current market for these securities such that the determination of fair value requires significant judgment or estimation. Changes in fair value measurements categorized within Level 3 of the fair value hierarchy are analyzed each period based on changes in estimates or assumptions and recorded as appropriate.

 

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants and Public Warrants were as follows at the balance sheet date:

 

 

 

 

 

 

 

 

Input

 

March 31, 2021

 

December 31, 2020

 

Risk-free interest rate

    

 

0.96

%

 

0.42

%

Risky Drift

 

 

 5

%

 

 5

%

Expected term (years)

 

 

 5

 

 

 5

 

Expected volatility

 

 

40.0

%

 

40.0

%

Exercise price

 

$

11.50

 

$

11.50

 

 

On March 31, 2021, the Private Placement Warrants and Public Warrants were determined to be $2.94 and $2.50 per warrant.