Fair Value Measurements

6 Months Ended

Jun. 30, 2021

Fair Value Measurements

Fair Value Measurements

Note 8 — Fair Value Measurements

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

	Fair Value Measured as of June 30, 2021
	Level 1		Level 2		Level 3		Total
Assets
Investments held in Trust Account - U.S. Treasury securities	$	287,507,970	$	—	$	—	$	287,507,970
Liabilities:
Warrant liabilities - public warrants	$	11,979,167	$	—	$	—	$	11,979,167
Warrant liabilities - private warrants	$	—	$	—	$	344,867	$	344,867

As of December 31, 2020, there were no assets or liabilities that were measured at fair value on a recurring basis.

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 in March 2021, when the Public Warrants were separately listed and traded.

Level 1 instruments include investments invested in government securities. 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 public warrants issued in connection with the Initial Public Offering was initially measured using Binominal Lattice simulation and subsequently been measured at the market price of such warrants at each measurement date when separately listed and traded. The fair value of private warrants issued in connection with the Private Placement is estimated using modified Black-Scholes Option Pricing Model at each measurement date. For the three and six months ended June 30, 2021, the Company recognized an increase in the fair value of warrant liabilities of $3.6 million and $917,000 presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed consolidated statements of operations.

The change in the fair value of the Level 3 derivative warrant liabilities for the period for the three and six months ended June 30, 2021 is summarized as follows:

Warrant liabilities at January 1, 2021	$	—
Issuance of public and private warrants		11,407,475
Public warrants transfer to Level 1		(11,116,667)
Change in fair value of warrant liabilities		(63,958)
Warrant liabilities at March 31, 2021		226,850
Change in fair value of warrant liabilities		118,017
Warrant liabilities at June 30, 2021	$	344,867

The estimated fair value of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, is determined using Level 3 inputs. Inherent in a Binominal Lattice simulation and modified Black-Scholes Option Pricing model 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 warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock 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:

	June 30, 2021			March 31, 2021			January 14, 2021
Exercise price	$	11.50		$	11.50		$	11.50
Stock Price	$	9.86		$	9.69		$	10.00
Term (in years)		5.33			5.00			5.00
Volatility		19.50	%		15.70	%		18.00	%
Risk-free interest rate		0.93	%		1.06	%		0.82	%
Dividend yield		—			—			—