Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

v3.21.2
FAIR VALUE MEASUREMENTS
6 Months Ended
Jun. 30, 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 our assessment of the assumptions that market participants would use in pricing the asset or liability.

At June 30, 2021, there were 11,500,000 Public Warrants and 325,000 Private Placement Warrants outstanding.

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at June 30, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

    

  

    

June 30,

 

December 31,

Description

 

Level

 

2021

2020

Assets:

 

  

 

  

Marketable securities held in Trust Account

 

1

$

230,004,719

$

230,011,254

Liabilities

Warrant Liability – Public Warrants

1

10,925,000

12,995,000

Warrant Liability – Private Warrants

3

321,750

370,500

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on our 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 statement of operations.

The Private Warrants were valued using Monte Carlo Model, which is considered to be a Level 3 fair value measurement. The Monte Carlo 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 Public warrants were valued using the close price of the public warrant price was used as the fair value as of each relevant date.

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 31, 2020 and June 30, 2021:

Input

    

June 30, 2021

    

December 31, 2020

Risk-free interest rate

 

0.94

%

0.51

%

Trading days per year

 

252

 

252

Expected volatility

 

16.0

%

15.8

%

Exercise price

$

11.50

$

11.50

Stock Price

$

9.87

$

10.08

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

    

Private Placement

    

Public

    

Warrant liabilities

December 31, 2020

$

370,500

$

12,995,000

$

13,365,500

Change in fair value

 

(133,250)

 

(4,715,000)

 

(4,848,250)

Fair value as of March 31, 2021

237,250

8,280,000

8,517,250

Change in fair value

84,500

2,645,000

2,729,500

Fair value as of June 30, 2021

$

321,750

$

10,925,000

$

11,246,750