Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

v3.21.2
FAIR VALUE MEASUREMENTS
 6 Months Ended
Jun. 30, 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 June 30, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
June 30, 2021
 
Description
  
Quoted
Prices in
Active
Markets
(Level 1)
 
  
Significant
Other
Observable
Inputs
(Level 2)
 
  
Significant
Other
Unobservable
Inputs
(Level 3)
 
Assets:
  
      
  
      
  
      
Money market fund
  
$
215,099,354
 
  
$
—  
 
  
$
—  
 
Liabilities:
  
      
  
      
  
      
Derivative warrant liabilities - Public
  
$
12,362,500
 
  
$
—  
 
  
$
—  
 
Derivative warrant liabilities - Private
  
$
—  
 
  
$
—  
 
  
$
7,245,000
 
December 31, 2020
 
Description
  
Quoted
Prices in
Active
Markets
(Level 1)
 
  
Significant
Other
Observable
Inputs
(Level 2)
 
  
Significant
Other
Unobservable
Inputs
(Level 3)
 
Assets:
  
      
  
      
  
      
U.S Treasury bills maturing on February 18, 2021
  
$
215,076,225
 
  
$
—  
 
  
$
—  
 
Liabilities:
  
      
  
      
  
      
Derivative warrant liabilities - Public
  
$
11,287,500
 
  
$
—  
 
  
$
—  
 
Derivative warrant liabilities - Private
  
$
—  
 
  
$
—  
 
  
$
6,615,000
 
Transfers to/from Levels 1, 2, and 3 are recognized at the end 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 October 202
0
, when the Public Warrants were separately listed and traded.
Level 1 instruments include investments in mutual funds 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 estimated fair value of warrants issued in connection with the Initial Public Offering and Private Placement were initially estimated using a Binomial Lattice in a risk-neutral framework. For each modeled future price, the warrant payoff is calculated based on the contractual terms (incorporating any optimal early exercise / redemption), and then discounted at the term-matched risk-free rate. Finally, the value of the Warrants is calculated as the probability-weighted present value over all future modeled payoffs. The fair value of warrants issued in connection with the Company’s Initial Public Offering have subsequently been measured based on the listed market price of such warrants while the fair value of the Private Placement Warrants continue to be estimated using a Binomial Lattice model.
For the three months ended June 30, 2021, the Company recognized a gain to the condensed statement of operations resulting from an decrease in the fair value of liabilities of $3.1 million presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed consolidated statement of operations. For the six months ended June 30, 2021, the Company recognized a charge to the statement of operations resulting from an increase in the fair value of liabilities of $1.7 million presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed consolidated statement of operations.
The estimated fair value of the Private Placement Warrants is determined using Level 3 inputs. Inherent in a Binomial Lattice 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:
 
 
  
As of
December 31, 2020
 
 
As of
June 30, 2021
 
Volatility
  
 
25.8
% 
 
 
36.2
% 
Stock price
  
$
10.77
 
 
$
9.98
 
Risk-free rate
  
 
0.43
% 
 
 
0.88
% 
Dividend yield
  
 
0.0
% 
 
 
0.0
% 
The change in the fair value of the derivative warrant liabilities as classified level 3 for the three and six months ended June 30, 2021 is summarized as follows:
 
Level 3 - Derivative warrant liabilities at December 31, 2020
  
$
6,615,000
 
Change in fair value of derivative warrant liabilities
  
 
1,764,000
 
 
  
 
 
 
Level 3 - Derivative warrant liabilities at March 31, 2021
  
$
8,379,000
 
Change in fair value of derivative warrant liabilities
  
 
(1,134,000
) 
 
  
 
 
 
Level 3 - Derivative warrant liabilities at June 30, 2021
  
$
7,245,000