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Fair Value Measurements
 6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 9. 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 fair value hierarchy (see Note 2) is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities.

 

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 June 30, 2021, assets held in the Trust Account were comprised of $504 in cash and $253,019,504 in U.S. Fixed income securities. During the three and six months ended June 30, 2021, the Company did not withdraw any interest income from the Trust Account.

 

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

 

Description  Level  June 30,
2021		 
Assets:       
Investments held in Trust Account – U.S. Fixed Income Securities  1  $253,019,504 

  

Description  Level  June 30,
2021		 
Liabilities:       
Warrant Liability – Public Warrants  1  $6,831,000 
Warrant Liability – Private Placement Warrants  3  $3,812,400 

 

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on our accompanying June 30, 2021 condensed balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the condensed statement of operations.

 

As at June 30, 2021, the Company utilizes a lattice model, specifically a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology, to value the private placement warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the warrant liabilities is determined using Level 3 inputs. Inherent in a binomial options pricing model 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 private placement 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 private placement 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 measurement of the Public Warrants after the detachment of the Public Warrants from the Units is classified as Level 1 due to the use of an observable market quote in an active market. For periods subsequent to the detachment of the Public Warrants from the Units, the closing price of the Public Warrant was used as the fair value for the Warrants as of each relevant date.

 

The key inputs into the binomial lattice model for the Warrants were as follows:

 

Input  February 17,
2021
(Initial
Measurement)		   June 30,
2021		 
Market price of public stock  $9.70   $9.70 
Risk-free rate   0.64%   0.89%
Dividend Yield   0.00%   0.00%
Volatility   15.8%   14.9%
Exercise price  $11.50   $11.50 
Effective expiration date   7/2/26    7/2/26 

 

The following table presents the changes in the fair value of the warrant liabilities (Level 3 measurements):

 

   Private
Placement		   Public   Warrant
Liabilities		 
Fair value as of January 1, 2021  $
—
   $
—
   $
—
 
Initial measurement on February 17, 2021   4,236,000    7,590,000    11,826,000 
Change in fair value   (1,364,933)   (2,445,667)   (3,810,600)
Fair value as of March 31, 2021  $2,871,067   $5,144,333   $8,015,400 
Change in fair value   941,333    1,686,667    2,628,000 
Transfer to Level 1   
—
    (6,831,000)   (6,831,000)
Fair value as of June 30, 2021   3,812,400    
—
    3,812,400 

 

Transfers to/from Levels 1 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement during the six months ended June 30, 2021 was $6,831,000.