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Fair Value Measurements
 3 Months Ended
Mar. 31, 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 at fair value on a recurring basis as of March 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

 

Description

 

Quoted Prices

in Active Markets

(Level 1)

 

 

Significant Other

Observable Inputs

(Level 2)

 

 

Significant Other

Unobservable

Inputs

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Investments held in Trust Account - money market fund

 

$

345,001,586

 

 

$

-

 

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative warrant liabilities - Public warrants

 

$

-

 

 

$

-

 

 

$

9,056,250

 

Derivative warrant liabilities - Private placement warrants

 

$

-

 

 

$

-

 

 

$

4,672,500

 

Total

 

$

-

 

 

$

-

 

 

$

13,728,750

 

 

As of December 31, 2020, there were no assets or liabilities that are 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. There were no transfers to/from Levels 1, 2, and 3 for the three months ended March 31, 2021.

Level 1 instruments include investments in money market 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 Initial Public Offering and Private Placement Warrants were initially and subsequently measured at fair value using a Monte Carlo simulation model. For the three months ended March 31, 2021, the Company recognized a non-cash loss resulting from an increase in the fair value of liabilities of approximately $0.5 million presented as change in fair value of derivative liabilities on the accompanying unaudited condensed statement of operations.

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 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 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 for the warrants:

 

 

 

March 4, 2021

 

 

March 31, 2021

 

Exercise price

 

$

11.50

 

 

$

11.50

 

Stock price

 

$

9.75

 

 

$

9.78

 

Volatility

 

 

16.0

%

 

 

16.0

%

Term (years)

 

 

5.33

 

 

 

5.33

 

Risk-free rate

 

 

0.94

%

 

 

1.10

%

 

The change in the fair value of the derivative liabilities utilizing Level 3 measurements for the three months ended March 31, 2021 is summarized as follows:

 

Derivative liabilities at January 1, 2021

 

$

-

 

Issuance of Public Warrants

 

 

8,711,250

 

Issuance of Private Warrants

 

 

4,494,500

 

Change in fair value of derivative  liabilities

 

 

523,000

 

Derivative liabilities at March 31, 2021

 

$

13,728,750