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Fair Value Measurements

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 8 — Fair Value Measurements

The following table presents information about the Company’s assets and liabilities that are measured on a recurring basis as of September 30, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value. In general, fair values determined by Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs utilize data points that are observable, such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and includes situations where there is little, if any, market activity for the asset or liability.

September 30,
2021

Quoted

Prices

in Active

Markets

(Level 1)

Significant

Other

Observable

Inputs

(Level 2)

Significant

Other

Unobservable

Inputs

(Level 3)

Assets:

Investment in United States Treasury money market mutual funds 201,274,672 201,274,672
-

-

Liabilities:

Warrant Liability 6,749,350 6,540,625 208,725
-

		December 31, 2020				Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Other Unobservable Inputs (Level 3)
Assets:
Investments in United States treasury obligations held in Trust Account		$	44,993,700			$	44,993,700			$	-			$	-
Investment in United States Treasury money market mutual funds			156,256,835				156,256,835
Total		$	201,250,535			$	201,250,535			$	-			$	-
Liabilities:
Warrant Liability			14,804,242				-				-				14,804,242

Warrant Liability

The Warrants are accounted for as derivative liabilities in accordance with ASC 815-40 and are presented within warrant liability on the Company’s balance sheet. The warrant liability is measured at fair value at inception and on a recurring basis, with any subsequent changes in fair value presented within change in fair value of warrant liability in the Company’s statement of operations.

Initial Measurement and Subsequent Measurement

The Company established the initial fair value for the Warrants on December 15, 2020, the date of the closing of the Initial Public Offering, and subsequent fair values as of September 30, 2021 and December 31, 2020. The Public Warrants and Private Placement Warrants are measured at fair value on a recurring basis, using an Options Pricing Model (the “OPM”). The Company allocated the proceeds received from (i) the sale of Units in the IPO (which is inclusive of one share of Class A common stock and one-third of one Public Warrant), (ii) the sale of the Private Placement Units (which is inclusive of one share of Class A common stock and one-third of one Private Placement Warrant), 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. The Warrants were classified as Level 3 at the initial measurement date and as of December 31, 2020 due to the use of unobservable inputs. As of September 30, 2021, the Warrants were reclassified to Level 1, for the public warrants, and Level 2, for the private warrants, due to the use of observable inputs,

The Company utilizes the OPM to value the Warrants at each reporting period, with any subsequent changes in fair value recognized in the statement of operations. The estimated fair value of the warrant liability at December 15, 2020 and December 31, 2020 was determined using Level 3 inputs. Evaluations subsequent to December 31, 2020 have been determined using OPM, a Level 1 and 2 input. Inherent in the OPM are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its shares of common stock based on historical volatility 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 to remain at zero. The aforementioned warrant liability is not subject to qualified hedge accounting.

The following table provides quantitative information regarding Level 3 fair value measurements:

		December 15, 2020 (Initial Measurement)				December 31, 2020
Risk-free interest rate			0.57	%			0.58	%
Expected term (years)			6.55				6.49
Expected volatility			16.1	%			16.3	%
Exercise price		$	11.50			$	11.50
Stock price		$	9.50			$	9.50
Dividend yield			0.0	%			0.0	%

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

		Private Placement				Public				Warrant Liability
Fair value as of April 27, 2020		$	—			$	—			$	—
Initial measurement on December 15, 2020			316,250				10,062,500				10,378,750
Change in valuation inputs or other assumptions⁽¹⁾			28,463				603,750				632,213
Fair value as of December 31, 2020		$	344,713			$	10,666,250			$	11,010,963
Change in valuation inputs or other assumptions⁽¹⁾			(113,850	)			(3,421,250	)			(3,535,100	)
Fair value as of June 30, 2021		$	230,863			$	7,245,000			$	7,475,863
Change in valuation inputs or other assumptions⁽¹⁾			(22,138	)			(704,375	)			(726,513	)
Fair value as of September 30, 2021		$	208,725			$	6,540,625			$	6,749,350

(1)

Changes in valuation inputs or other assumptions are recognized in Change in fair value of warrant liability in the statement of operations.

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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