Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.1
Fair Value Measurements
3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 9 — Fair Value Measurements


The Company follows the guidance in ASC 820, “Fair Value Measurement,” for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually.


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 — Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. Valuation adjustments and block discounts are not being applied. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities does not entail a significant degree of judgment.
   
Level 2 —  Valuations based on (i) quoted prices in active markets for similar assets and liabilities, (ii) quoted prices in markets that are not active for identical or similar assets, (iii) inputs other than quoted prices for the assets or liabilities, or (iv) inputs that are derived principally from or corroborated by market through correlation or other means.
   
Level 3 —  Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

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


    March 31,     Quoted
Prices In
Active
Markets
    Significant
Other
Observable
Inputs
    Significant
Other
Unobservable
Inputs
 
    2021     (Level 1)     (Level 2)     (Level 3)  
Assets:                        
U.S. Money Market held in Trust Account   $ 300,003,041     $ 300,003,041     $       -     $ -  
Liabilities:                                
Public Warrants Liability   $ 5,250,000     $ -     $ -     $ 5,250,000  
Private Placement Warrants Liability     142,000       -       -       142,000  
    $ 5,392,000     $ -     $ -     $ 5,392,000  

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Condensed Balance Sheet. 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.


The Company established the initial fair value of the Public Warrants on February 22, 2021, the date of the Company’s Initial Public Offering, and on March 31, 2021, using a Monte Carlo simulation model, and for the Private Placement Warrants using a modified Black-Sholes option pricing model. The Public and Private Placement Warrants were classified as Level 3 at the initial measurement date and the subsequent measurement date due to the use of unobservable inputs.


The key inputs into the Monte Carlo simulation and Black-Sholes model as of as of February 22, 2021 and March 31, 2021 were as follows:


    (Initial Measurement)        
    February 22,
2021
    March 31,
2021
 
             
Inputs            
Risk-free interest rate     0.61 %     0.92 %
Exercise price   $ 11.50     $ 11.50  
Expected volatility     14.5 %     14.5 %
Underlying stock price   $ 11.10     $ 9.97  
Term (in years)     5.0       5.0