General form of registration statement for all companies including face-amount certificate companies

FAIR VALUE MEASUREMENTS

v3.21.2
FAIR VALUE MEASUREMENTS
3 Months Ended
Mar. 31, 2021
Dec. 31, 2020
Fair Value Disclosures [Abstract]    
FAIR VALUE MEASUREMENTS
NOTE 8 — 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 nonfinancial 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.
 
he following table presents information about the Company’s assets that are measured at fair value on a recurring basis at March 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Description
  
Level
    
March 31, 2021
 
Assets:
     
Marketable securities held in Trust Account
     1      $ 230,016,101  
Liabilities:
     
Warrant Liability – Public Warrants
     3        45,425,000  
Warrant Liability – Placement Warrants
     3        25,200,000  
The Placement Warrants were valued using a Modified Black-Scholes Model, which is considered to be a Level 3 fair value measurement. The Modified BlackScholes Model uses a Black-Scholes Option Pricing Model that is modified for the probability of consummation of the Business Combination.
The Public Warrants were valued using publicly available trading price, which is considered to be a Level 1 fair value measurement.
The key inputs into valuing our warrant liabilities is as follows:
 
    
Level
    
March 31, 2021
 
Strike Price
      $ 11.50  
Risk Free Rate
     (a      1.00
Expected Volatility
     (b      28.0
Terms (Years)
     (c      5.36  
Probability of Acquisition
     (d      95.0
 
(a)
Based on the linearly interpolated treasury rate
(b)
Blended volatility based upon weighted average of time pre announcement and post announcement
(c)
As of the measurement date until assumed expiration
(d)
Based upon success of SPACs in completing business combination
The following table presents the changes in the fair value of warrant liabilities:
 
    
Private
Placement
    
Public
    
Warrant
Liabilities
 
Fair Value as of December 31, 2020
   $ 6,900,000      $ 12,880,000.00      $ 19,780,000  
Change in valuation inputs or other assumptions
     18,300,000        32,545,000        50,845,000  
  
 
 
    
 
 
    
 
 
 
Fair Value as of March 31, 2021
   $ 25,200,000      $ 45,425,000      $ 70,625,000  
The public warrants were transferred from Level 3 to Level 1 in the fair value hierarchy.
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 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.
 
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value (see Note 2):
 
Description
  
Level
    
December 31, 2020
 
Assets:
     
Marketable securities held in Trust Account
     1      $ 229,967,028  
Liabilities:
     
Warrant Liability – Public Warrants
     3        12,880,000  
Warrant Liability – Placement Warrants
     3        6,900,000  
The Placement Warrants were valued using a Modified Black-Scholes Model, which is considered to be a Level 3 fair value measurement. The Modified Black-Scholes Model uses a Black-Scholes Option Pricing Model that is modified for the probability of consummation of the Business Combination.
The Public Warrants were valued using a Monte Carlo simulation model, which is considered to be a Level 3 fair value measurement. The Monte Carlo simulation model uses similar inputs to the Black-Scholes, but considers the redemption features applicable to the contractual redemption terms of the public warrant agreements.
The key inputs into valuing our warrant liabilities is as follows:
 
    
December 4, 2020
   
December 31, 2020
 
    
(Initial Measurement)
       
Strike Price
   $ 11.50     $ 11.50  
Risk Free Rate
    
(a)
 0.5
    0.5
Expected Volatility
    
(b) 
19.0
    19.0
Term (Years)
    
(c)
5.75
      5.57  
Probability of Acquisition
    
(d)
 80
    85
 
(a)
Based on the linearly interpolated treasury rate
(b)
Blended volatility based upon weighted average of time pre announcement and post announcement
(c)
As of the measurement date until assumed expiration
(d)
Based upon success of SPACs in completing business combination
The following table presents the changes in the fair value of warrant liabilities:
 
    
Private Placement
    
Public
    
Warrant Liabilities
 
Fair value as of September 23, 2020
   $ —        $ —        $ —    
Initial measurement on December 4, 2020
     6,000,000        12,190,000        18,190,000  
Change in valuation inputs or other assumptions
     900,000        690,000        1,590,000  
Fair value as of December 31, 2020
   $ 6,900,000      $ 12,880,000      $ 19,780,000