Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

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FAIR VALUE MEASUREMENTS
6 Months Ended
Jun. 30, 2021
FAIR VALUE MEASUREMENTS [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 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.


At June 30, 2021, assets held in the Trust Account were comprised of $450,117,135 in a Money Market Fund primarily in U.S. Treasury securities. At December 31, 2020, assets held in the Trust Account were comprised of $93,912 in cash and $449,973,787 in U.S. Treasury securities. Through 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 that are measured at fair value on a recurring basis at June 30, 2021 and December 31, 2020. The gross holding gains and fair value of held-to-maturity securities at June 30, 2021 and December 31, 2020 are as follows:



Held-To-Maturity  
Amortized
Cost
 
Gross
Holding
Gain
 
Fair Value
December 31, 2020
 
 U.S. Treasury Securities (Matured on 2/4/2021)
   
$
449,973,787
   
$
3,713
   
$
449,977,500
 




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 December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description
 
Level
   
June 30, 2021
   
December 31, 2020
 
Assets:
                 
Money Market Fund
   
1
   
$
450,117,135
     
N/A
 
                         
Liabilities:
                       
Warrant Liability – Public Warrants
   
1
   
$
49,050,000
   
$
30,375,000
 
Warrant Liability – Private Placement Warrants
   
3
   
$
23,980,000
   
$
14,850,000
 


The Warrants were accounted for as liabilities in accordance with ASC 815-40. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented in the condensed statements of operations.


The Private Placement Warrants were valued using a Monte Carlo simulation model, which is considered to be a Level 3 fair value measurement. The Monte Carlo simulation model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the common stock. The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units are 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 close price of the Public Warrant price will be used as the fair value as of each relevant date.


The following table presents the quantitative information regarding Level 3 fair value measurements of the warrant liabilities:

   
June 30,
2021
   
December 31,
2020
 
Stock price
 
$
10.08
   
$
10.12
 
Term (in years)
   
6.28
     
6.08
 
Volatility
   
39.0
%
   
33.0
%
Risk-free rate
   
0.98
%
   
0.52
%
Dividend yield
   
0.0
%
   
0.0
%


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

 
Private Placement
 
Fair value as of January 1, 2021
 
$
14,850,000
 
Change in fair value
   
9,130,000
Fair value as of June 30, 2021
 
$
23,980,000
 


Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period. There were no transfers in or out of Level 3 from other levels in the fair value hierarchy during the three and six months ended June 30, 2021.