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FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2021
FAIR VALUE MEASUREMENTS [Abstract] |
FAIR VALUE MEASUREMENTS | NOTE 10 — FAIR VALUE MEASUREMENTS 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 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 sheets and adjusted for the amortization or accretion of premiums or discounts. At September 30, 2021 and December 31, 2020, assets held in the Trust Account were comprised of $3,963 in cash and $281,590,000 in U.S. Treasury securities and $1,103 in cash and $278,773,543 in U.S. Treasury securities, respectively. During the three and nine months periods ended September 30, 2021 and the year ended December 31, 2020, the Company did not withdraw any interest income from the Trust Account. The following table presents the gross holding gain and loss and fair value of held-to-maturity securities at September 30, 2021 and December 31, 2020:
| Held-To-Maturity |  | Level |  |  | Amortized Cost |  |  | Gross Holding Gain/(Loss) |  |  | Fair Value (i) |
September 30, 2021 | U.S. Treasury Securities (Mature on 10/07/21) |  |  | 1 |  |  | $ | 281,588,786 |  |  | $ | 1,214 |  |  | $ | 281,590,000 |
December 31, 2020 | U.S. Treasury Securities (Mature on 2/25/2021) |  |  | 1 |  |  | $ | 278,773,543 |  |  | $ | (1,423 | ) |  | $ | 278,772,120 |
| (i) | Fair value of securities does not include cash held in trust in the amount of $3,963 and $1,103, as of September 30, 2021 and December 31, 2020, respectively.
At September 30, 2021 and December 31, 2020, there were 13,800,000 Public Warrants and 13,040,000 Private Placement Warrants outstanding and 13,800,000 Public Warrants and 10,280,000 Private Placement Warrants outstanding, respectively. The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2021 and December 31,2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
|  | Level |  |  | September 30, 2021 |  |  | Level |  |  | December 31, 2020 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash and Investments held in Trust Account |  |  | 1 |  |  | $ | 281,592,750 |  |  |  | 1 |  |  | $ | 278,774,646 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability – public warrants |  |  | 1 |  |  | $ | 9,660,000 |  |  |  | 3 |  |  | $ | 22,364,221 |
Warrant liability – private placement warrants |  |  | 3 |  |  | $ | 9,349,781 |  |  |  | 3 |  |  | $ | 16,867,946 |
FPA liability – committed |  |  | 3 |  |  | $ | 2,416,311 |  |  |  | 3 |  |  | $ | 2,947,167 |
FPA liability – optional |  |  | 3 |  |  | $ | 3,051,451 |  |  |  | 3 |  |  | $ | 3,810,610 |
Transfers to and from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. On January 14, 2021, the Company’s Class A shares and Public Warrants commenced trading separately on the New York Stock Exchange. As there is now a listed price on an active market, Public Warrants totaling $17,940,000 have been reclassified from a Level 3 to Level 1 instrument. During the three months period ended September 30, 2021, there were no changes between levels. Subsequent to the detachment of the Public Warrants from the Units, the Public Warrants quoted market price is used as the fair value as of each relevant date. The fair value of the Private Placement Warrants is determined using a Black-Scholes-Merton model. The committed units of the FPA are valued using a discounted valuation of a reconstructed unit price and the optional units of the FPA are valued using the same reconstructed unit price within a Black-Scholes-Merton model framework. The Warrants and FPA are accounted for as liabilities in accordance with ASC 815-40. The warrant liabilities and FPA are measured at fair value at on a recurring basis, with changes in fair value presented in the statements of operations. The following table provides quantitative information regarding Level 3 fair value measurement inputs at their measurement dates:
|  | As of September 30, 2021 |  |  | As of December 31, 2020 |
Warrants- private placement |  |  |  |  |  |
Common stock price |  | $ | 10.13 |  |  | $ | 9.77 |
Volatility |  |  | 10.50 | % |  |  | 22.59 | %
Expected life of the options to convert |  | 5.58 years |  |  | 5.95 years |
Risk free rate |  |  | 1.08 | % |  |  | 0.50 | %
Dividend yield |  |  | 0 | % |  |  | 0 | %
FPA-committed |  |  |  |  |  |  |  |
Common stock price |  | $ | 10.13 |  |  | $ | 9.77 |
Time to maturity |  | 0.58 year |  |  | 0.95 year |
Risk Free rate |  |  | 0.06 | % |  |  | 0.10 | %
FPA-optional |  |  |  |  |  |  |  |
Common stock price |  | $ | 10.13 |  |  | $ | 9.77 |
Volatility |  |  | 10 | % |  |  | 10 | %
Time to maturity |  | 0.58 year |  |  | 0.95 year |
Risk Free rate |  |  | 0.06 | % |  |  | 0.10 | %
The common stock price is the closing price of the Class A shares as of September 30, 2021. Volatility assumptions are based on volatilities from comparable publicly traded SPAC’s and implied volatilities from comparable publicly traded warrants. Time to maturity for the Private Placement Warrants is assumed to be equivalent to their remaining contractual term while for the FPA is the expected time to exercise. The risk-free rate is based on US Treasury rates commensurate with the remaining time to expiration of the liability. The Company anticipates the dividend to remain at zero. The following table presents the changes in the fair value of the Warrants and the FPA liabilities:
|  | Public Warrants |  |  | Private Placement Warrants |  |  | Total Warrant Liability |  |  | Committed FPA |  |  | Optional FPA |  |  | Total FPA Liability |
Fair value as of December 31, 2020 |  | $ | 22,364,221 |  |  | $ | 16,867,946 |  |  | $ | 39,232,167 |  |  | $ | 2,947,167 |  |  | $ | 3,810,610 |  |  | $ | 6,757,777 |
Additional Private Placement Warrants May 27, 2021 |  |  | — |  |  |  | 2,760,000 |  |  |  | 2,760,000 |  |  |  | — |  |  |  | — |  |  |  | — |
Fair Value of Private Placement Warrants in excess of purchase price |  |  | — |  |  |  | (79,548 | ) |  |  | (79,548 | ) |  |  | — |  |  |  | — |  |  |  | — |
Change in fair value |  |  | (12,704,221 | ) |  |  | (10,198,617 | ) |  |  | (22,902,838 | ) |  |  | (530,856) |  |  |  | (759,159 | ) |  |  | (1,290,015 | )
Fair value as of September 30, 2021 |  | $ | 9,660,000 |  |  | $ | 9,349,781 |  |  | $ | 19,009,781 |  |  | $ | 2,416,311 |  |  | $ | 3,051,451 |  |  | $ | 5,467,762 |

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- 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 Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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