Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

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FAIR VALUE MEASUREMENTS
9 Months Ended
Sep. 30, 2021
FAIR VALUE MEASUREMENTS  
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.

At September 30, 2021, assets held in the Trust Account were comprised of $1,001 in cash and $334,402,202 in a Treasury Preferred Fund. At December 31, 2020, assets held in the Trust Account were comprised of $1,138 in cash and $334,319,993 in U.S. Treasury Bills. During the three and nine months ended September 30, 2021, the Company did not withdraw any interest income from the Trust Account.

The gross holding gains (losses) and fair value of held-to-maturity securities at September 30, 2021 and December 31, 2020 are as follows:

    

    

    

Gross

    

Amortized

 Holding 

Held-To-Maturity

 Cost

Gain (Loss)

Fair Value

September 30, 2021

 

Treasury Preferred Fund

$

334,402,202

$

6,421

$

334,408,623

December 31, 2020

U.S. Treasury Securities (Matured on 05/04/2021)1

$

334,319,993

$

(1,804)

$

334,318,189

(1)Upon maturity, the proceeds in the Trust Account were invested in a Treasury Preferred Fund.

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 indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

September 30, 

December 31,

    

Level

    

2021

    

2020

Assets:

 

  

 

  

 

  

Cash and marketable securities held in Trust Account

 

1

$

334,403,203

$

334,318,189

Liabilities:

Warrant Liability – Public Warrants

1

$

9,692,255

$

23,395,099

Warrant Liability – Private Placement Warrants

2

$

5,626,000

$

13,580,000

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

The Warrants were initially valued using a binomial lattice model. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the common stock. The expected volatility as of the Initial Public Offering date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. For periods subsequent to the detachment of the Public Warrants from the Units, the close price of the Public Warrant price was used as the fair value as of each relevant date.

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

    

Private 

Placement

Fair value as of January 1, 2021

$

13,580,000

Change in fair value

 

(3,686,000)

Fair value as of March 31, 2021

9,894,000

Transfers out of Level 3 to Level 2

(9,894,000)

Fair value as of September 30, 2021

$

There were transfers out of Level 3 into Level 2 in the fair value hierarchy of $9,894,000 during the three and nine months ended September 30, 2021.