FAIR VALUE MEASUREMENTS

3 Months Ended

4 Months Ended

Mar. 31, 2021

Dec. 31, 2020

NOTE 9 — FAIR VALUE MEASUREMENTS

The Company classifies its U.S. Treasury and equivalent securities as held-to-maturity in accordance with ASC Topic 320 “Investments - Debt and Equity Securities.” Held-to-maturity securities are those securities which the Company has the ability and intent to hold until maturity. Held-to-maturity treasury securities are recorded at amortized cost on the accompanying balance sheet and adjusted for the amortization or accretion of premiums or discounts.

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at March 31, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


		March 31,		December
Asset	Level	2021		31, 2020
U.S. Treasury Securities Money Market Fund	1	$	232,307,702	$	232,301,973

The Warrants are accounted for as liabilities pursuant to ASC 815‑40 and are measured at fair value as of each reporting period. Changes in the fair value of the Warrants are recorded in the statement of operations each period.

The following table presents our fair value hierarchy for liabilities measured at fair value on a recurring basis as of March 31, 2021:


	Level 1		Level 2		Level 3		Total
Warrant liabilities:
Public Warrants	$	13,685,000	$	—	$	—	$	13,685,000
Private Placement Warrants		—		—		10,947,000		10,947,000
Total warrant liabilities	$	13,685,000	$	—	$	10,947,000	$	24,632,000

The Private Placement Warrants were valued using a Black Scholes Model, which is considered to be a Level 3 fair value measurement. There were no transfers out of Level 3 during the three months ended March 31, 2021.


	As of			As of
	December 31,			March 31,
	2020			2021
Exercise price	$	11.50		$	11.50
IPO price	$	10.00		$	10.00
Implied stock price range (or underlying asset price at December 31, 2020)	$	10.12		$	10.12
Volatility		21	%		17	%
Term		5.70			5.25
Risk-free rate		0.46	%		0.98	%
Dividend yield		0.0	%		0.0	%

The following table presents a summary of the changes in the fair value of the Private Placement Warrants, a Level 3 liability, measured on a recurring basis.


	Private Placement
	Warrant Liability
Fair value, December 31, 2020	$	14,685,000
Recognized gain on change in fair value		3,738,000
Fair value, March 31, 2021	$	10,947,000

The non-cash gain on revaluation of the Private Placement Warrants is included in recognized gain on change in fair value of warrant liabilities on the statement of operations.

NOTE 9 — FAIR VALUE MEASUREMENTS

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:

The Warrants are accounted for as liabilities pursuant to ASC 815-40 and are measured at fair value as of each reporting period. Changes in the fair value of the Warrants are recorded in the statement of operations each period.

The following table presents our fair value hierarchy for liabilities measured at fair value on a recurring basis as of December 31, 2021:


	Level 1		Level 2		Level 3		Total
Warrant liabilities:
Public Warrants	$	18,975,000	$	—	$	—	$	18,975,000
Private Placement Warrants		—		—		14,685,000		14,685,000
Total warrant liabilities	$	18,975,000	$	0	$	14,685,000	$	33,660,000

The Private Placement Warrants were valued using a Black Scholes Model, which is considered to be a Level 3 fair value measurement.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:


						As of December 31,
	At issuance					2020
Exercise price	$	11.50				$	11.50
IPO price	$	10.00				$	10.00
Implied stock price range (or underlying asset price at December 31, 2020)	$	9.35	-	$	9.66	$	10.12
Volatility		14%	-	23%			21%
Term		5.75					5.70
Risk-free rate		0.46%					0.46%
Dividend yield		0.0%					0.0%

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


	Private				Warrant
	Placement		Public		Liabilities
Initial measurement on November 27, 2020	$	9,879,000	$	12,650,000	$	22,529,000
Change in valuation inputs or other assumptions(1)		4,806,000		6,325,000		11,131,000
Fair value as of December 31, 2020	$	14,685,000	$	18,975,000	$	33,660,000

(1)

Due to the use of quoted prices in an active market (Level 1) to measure the fair value of the Public Warrants, subsequent to initial measurement, the Company had transfers out of Level 3 totaling $6,325,000 during the period from November 27, 2020 through December 31, 2020.

The non-cash loss on revaluation of the Private Placement Warrants is included in recognized loss on change in fair value of warrant liabilities on the statement of operations.

- Definition

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.

+ References + Details

Fair Value

December 31, 2020

U.S. Treasury Securities Money Market Fund