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 Disclosures [Abstract]  
Fair Value Measurements

Note 8—Fair Value Measurements


The following tables present information about the Company’s assets that are measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.


March 31, 2021


Description   Quoted Prices in Active Markets
(Level 1)
    Significant Other Observable Inputs
(Level 2)
    Significant Other Unobservable Inputs
(Level 3)
 
Assets:                  
U.S. Treasury Bills   $ 230,007,795     $ -     $        -  
Liabilities:                        
Derivative warrant liabilities - Public   $ 6,440,000     $ -     $ -  
Derivative warrant liabilities - Private   $ -     $ 4,060,000     $ -  

December 31, 2021


Description   Quoted Prices in Active Markets
(Level 1)
    Significant Other Observable Inputs
(Level 2)
    Significant Other Unobservable Inputs
(Level 3)
 
Assets:                  
U.S. Treasury Bills   $ 230,007,668     $     -     $ -  
Liabilities:                        
Derivative warrant liabilities - Public   $ -     $ -     $ 11,883,330  
Derivative warrant liabilities - Private   $ -     $ -     $ 7,733,340  

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement and the estimated fair value of the Private Placement Warrants transferred from a Level 3 measurement to a Level 2 in January 2021, when the Public Warrants were separately listed and traded. 


Level 1 instruments include investments in mutual funds invested in government securities and Public Warrants. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.


The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model and subsequently, the fair value of the Private Placement Warrants have been estimated using a Monte Carlo simulation model each measurement date. The fair value of Public Warrants issued in connection with the Initial Public Offering have been measured based on the listed market price of such warrants, a Level 1 measurement, since January 25, 2021. For the three months ended March 31, 2021, the Company recognized a gain to the statement of operations resulting from a decrease in the fair value of liabilities of $9.1 million presented as change in fair value of derivative warrant liabilities on the accompanying statement of operations.


The estimated fair value of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, was determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. 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 following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:


    As of December 31, 2020     As of March 31, 2021  
Volatility     21.0 %     15.0 %
Stock price   $ 10.12     $ 9.79  
Expected life of the options to convert     6.00       6.00  
Risk-free rate     0.51 %     1.16 %
Dividend yield     0.0 %     0.0 %

The change in the fair value of the derivative warrant liabilities for the three months ended March 31, 2021 is summarized as follows:


Derivative warrant liabilities at December 31, 2020   $ 19,616,670  
Transfer of Public Warrants out of Level 3     (11,883,330 )
Transfer of Private Warrants out of Level 3     (7,733,340 )
Total transfers during the the months ended March 31, 2021   $ 19,616,670