Note
1—Description of Organization, Business Operations and Basis of Presentation
Nebula
Caravel Acquisition Corp. (the “Company”) is a blank check company incorporated in Delaware on September 18, 2020. The Company
was formed for the purpose of effecting a merger, capital stock exchange, asset acquisition, stock purchase, reorganization or similar
business combination with one or more businesses (the “Business Combination”). The Company is an emerging growth company
and, as such, the Company is subject to all of the risks associated with emerging growth companies.
As of March 31, 2021, the
Company had not commenced any operations. All activity for the period from September 18, 2020 (inception) through December 31, 2020 relates
to the Company’s formation and the initial public offering (the “Initial Public Offering”) described below, and the
search for a target for its initial Business Combination. The Company will not generate any operating revenues until after the completion
of its initial Business Combination, at the earliest. The Company generates non-operating income in the form of interest income on cash
and cash equivalents from the proceeds derived from the Initial Public Offering and placed in Trust Account (as defined below) and is
subject to non-cash fluctuations for change in the fair value of derivative warrant liabilities in its statement of operations.
The
Company’s sponsor is Nebula Caravel Holdings LLC, a Delaware limited liability company (the “Sponsor”). The registration
statement for the Company’s Initial Public Offering was declared effective on December 8, 2020. On December 11, 2020, the Company
consummated its Initial Public Offering of 27,500,000 units (the “Units” and, with respect to the Class A common stock included
in the Units being offered, the “Public Shares”), including 2,500,000 additional Units to cover over-allotments (the “Over-Allotment
Units”), at $10.00 per Unit, generating gross proceeds of $275.0 million, and incurring offering costs of approximately $15.7 million,
inclusive of approximately $9.6 million in deferred underwriting commissions (Note 5).
Simultaneously
with the closing of the Initial Public Offering, the Company consummated the private placement (“Private Placement”) of 5,166,667
warrants (each, a “Private Placement Warrant” and collectively, the “Private Placement Warrants”) at a price
of $1.50 per Private Placement Warrant to the Sponsor, generating proceeds of approximately $7.8 million (Note 4).
Upon
the closing of the Initial Public Offering and the Private Placement, $275.0 million ($10.00 per Unit) of the net proceeds of the Initial
Public Offering and certain of the proceeds of the Private Placement were placed in a trust account (“Trust Account”) located
in the United States with American Stock Transfer & Trust Company acting as trustee, and are invested only in U.S. “government
securities” within the meaning of Section 2(a)(16) of the Investment Company Act of 1940, as amended (the “Investment Company
Act”) having a maturity of 185 days or less or in money market funds meeting certain conditions under Rule 2a-7 promulgated under
the Investment Company Act which invest only in direct U.S. government treasury obligations, as determined by the Company, until the
earlier of: (i) the completion of a Business Combination and (ii) the distribution of the Trust Account as described below.
The
Company’s management has broad discretion with respect to the specific application of the net proceeds of the Initial Public Offering
and the sale of Private Placement Warrants, although substantially all of the net proceeds are intended to be applied generally toward
consummating a Business Combination. There is no assurance that the Company will be able to complete a Business Combination successfully.
The Company must complete one or more initial Business Combinations having an aggregate fair market value of at least 80% of the net
assets held in the Trust Account (net of amounts disbursed to management for working capital purposes and excluding the deferred underwriting
commissions and taxes payable on the interest earned on the Trust Account) at the time of the agreement to enter into the initial Business
Combination. However, the Company will only complete a Business Combination if the post-transaction company owns or acquires 50% or more
of the voting securities of the target or otherwise acquires a controlling interest in the target sufficient for it not to be required
to register as an investment company under the Investment Company Act.
The
Company will provide the holders (the “Public Stockholders”) of the Public Shares with the opportunity to redeem all or a
portion of their Public Shares upon the completion of a Business Combination either (i) in connection with a stockholders meeting called
to approve the Business Combination or (ii) by means of a tender offer. The decision as to whether the Company will seek stockholder
approval of a Business Combination or conduct a tender offer will be made by the Company, solely in its discretion. The Public Stockholders
will be entitled to redeem their Public Shares for a pro rata portion of the amount then held in the Trust Account (initially anticipated
to be $10.00 per Public Share). The per-share amount to be distributed to Public Stockholders who redeem their Public Shares will not
be reduced by the deferred underwriting commissions the Company will pay to the underwriters (as discussed in Note 5). These Public Shares
have been recorded at a redemption value and classified as temporary equity upon the completion of the Initial Public Offering in accordance
with the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”) Topic
480 “Distinguishing Liabilities from Equity.” The Company will proceed with a Business Combination if a majority of the shares
voted are voted in favor of the Business Combination. The Company will not redeem the Public Shares in an amount that would cause its
net tangible assets to be less than $5,000,001. If a stockholder vote is not required by law and the Company does not decide to hold
a stockholder vote for business or other legal reasons, the Company will, pursuant to its Certificate of Incorporation (the “Certificate
of Incorporation”), conduct the redemptions pursuant to the tender offer rules of the U.S. Securities and Exchange Commission (“SEC”)
and file tender offer documents with the SEC prior to completing a Business Combination. If, however, stockholder approval of the transaction
is required by law, or the Company decides to obtain stockholder approval for business or legal reasons, the Company will offer to redeem
shares in conjunction with a proxy solicitation pursuant to the proxy rules and not pursuant to the tender offer rules. Additionally,
each public stockholder may elect to redeem their Public Shares irrespective of whether they vote for or against the proposed transaction.
If the Company seeks stockholder approval in connection with a Business Combination, the Initial Stockholders (as defined below) agreed
to vote their Founder Shares (as defined below in Note 4) and any Public Shares purchased during or after the Initial Public Offering
in favor of a Business Combination. In addition, the Initial Stockholders agreed to waive their redemption rights with respect to their
Founder Shares and Public Shares in connection with the completion of a Business Combination.
The
Certificate of Incorporation provides that a Public Stockholder, together with any affiliate of such stockholder or any other person
with whom such stockholder is acting in concert or as a “group” (as defined under Section 13 of the Securities Exchange Act
of 1934, as amended (the “Exchange Act”)), will be restricted from redeeming its shares with respect to more than an aggregate
of 15% or more of the Public Shares, without the prior consent of the Company.
The
Sponsor and the Company’s officers and any other holders of the Founder Shares immediately prior to the Initial Public Offering
(the “Initial Stockholders”) agreed not to propose an amendment to the Certificate of Incorporation to modify the substance
or timing of the Company’s obligation to redeem 100% of the Public Shares if the Company does not complete a Business Combination
within the Combination Period (as defined below) or with respect to any other material provisions relating to stockholders’ rights
or pre-initial Business Combination activity, unless the Company provides the Public Stockholders with the opportunity to redeem their
Public Shares in conjunction with any such amendment.
If
the Company is unable to complete a Business Combination within 24 months from the closing of the Initial Public Offering, or December
11, 2022 (or 27 months from the closing of the Initial Public Offering, or March 11, 2023, if the Company has executed a letter of intent,
agreement in principle or definitive agreement for an initial Business Combination within 24 months from the closing of the Initial Public
Offering) (the “Combination Period”), the Company will (i) cease all operations except for the purpose of winding up; (2)
as promptly as reasonably possible but not more than ten business days thereafter, redeem the Public Shares, at a per share price, payable
in cash, equal to the aggregate amount then on deposit in the Trust Account calculated as of two business days prior to the consummation
of the initial Business Combination, including interest (net of amounts withdrawn to fund the Company’s working capital requirements,
subject to an annual limit of $500,000, and/or to pay for the Company’s taxes (“permitted withdrawals”) and up to $100,000
of interest to pay dissolution expenses), divided by the number of then outstanding Public Shares, which redemption will completely extinguish
Public Stockholders’ rights as stockholders (including the right to receive further liquidating distributions, if any), subject
to applicable law; and (3) as promptly as reasonably possible following such redemption, subject to the approval of the remaining stockholders
and the board of directors, dissolve and liquidate, subject in each case to the Company’s obligations under Delaware law to provide
for claims of creditors and the requirements of other applicable law.
The
Initial Stockholders agreed to waive their rights to liquidating distributions from the Trust Account with respect to the Founder Shares
if the Company fails to complete a Business Combination within the Combination Period. However, if the Initial Stockholders acquire Public
Shares in or after the Initial Public Offering, they will be entitled to liquidating distributions from the Trust Account with respect
to such Public Shares if the Company fails to complete a Business Combination within the Combination Period. The underwriters agreed
to waive their rights to the deferred underwriting commission (see Note 5) held in the Trust Account in the event the Company does not
complete a Business Combination within the Combination Period and, in such event, such amounts will be included with the other funds
held in the Trust Account that will be available to fund the redemption of the Public Shares. In the event of such distribution, it is
possible that the per share value of the residual assets remaining available for distribution (including Trust Account assets) will be
only $10.00. In order to protect the amounts held in the Trust Account, the Sponsor agreed to be liable to the Company if and to the
extent any claims by a third party (except for the Company’s independent registered public accounting firm) for services rendered
or products sold to the Company, or a prospective target business with which the Company has entered into a letter of intent, confidentiality
or other similar agreement or business combination agreement (a “Target”), reduce the amount of funds in the Trust Account
to below the lesser of (i) $10.00 per Public Share and (ii) the actual amount per Public Share held in the Trust Account as of the date
of the liquidation of the Trust Account, if less than $10.00 per Public Share due to reductions in the value of the trust assets, less
taxes payable, provided that such liability will not apply to any claims by a third party or Target that executed a waiver of any and
all rights to the monies held in the Trust Account (whether or not such waiver is enforceable) nor will it apply to any claims under
the Company’s indemnity of the underwriters of the Initial Public Offering against certain liabilities, including liabilities under
the Securities Act of 1933, as amended (the “Securities Act”). The Company will seek to reduce the possibility that the Sponsor
will have to indemnify the Trust Account due to claims of creditors by endeavoring to have all vendors, service providers, prospective
target businesses or other entities with which the Company does business, execute agreements with the Company waiving any right, title,
interest or claim of any kind in or to monies held in the Trust Account.
Basis
of Presentation
The
accompanying unaudited condensed financial statements of the Company have been prepared in accordance with United States generally accepted
accounting principles (“U.S. GAAP”) for interim financial information and Article 8 of Regulation S-X. Accordingly, they
do not include all of the information and footnotes required by U.S. GAAP. In the opinion of management, all adjustments (consisting
of normal accruals) considered for a fair presentation have been included. Operating results for the period from September 18, 2020 (inception)
through March 31, 2021 are not necessarily indicative of the results that may be expected for the period ending December 31, 2021 or
any future period.
The
accompanying unaudited condensed financial statements should be read in conjunction with the audited financial statements and notes thereto
included in the Form 10-K/A filed by the Company with the SEC on May 7, 2021.
Emerging
Growth Company
The
Company is an “emerging growth company,” as defined in Section 2(a) of the Securities Act, as modified by the Jumpstart Our
Business Startups Act of 2012 (the “JOBS Act”), and it may take advantage of certain exemptions from various reporting requirements
that are applicable to other public companies that are not emerging growth companies including, but not limited to, not being required
to comply with the independent registered public accounting firm attestation requirements of Section 404 of the Sarbanes-Oxley Act of
2002, reduced disclosure obligations regarding executive compensation in its periodic reports and proxy statements, and exemptions from
the requirements of holding a nonbinding advisory vote on executive compensation and stockholder approval of any golden parachute payments
not previously approved.
Further,
Section 102(b)(1) of the JOBS Act exempts emerging growth companies from being required to comply with new or revised financial accounting
standards until private companies (that is, those that have not had a Securities Act registration statement declared effective or do
not have a class of securities registered under the Exchange Act) are required to comply with the new or revised financial accounting
standards. The JOBS Act provides that an emerging growth company can elect to opt out of the extended transition period and comply with
the requirements that apply to non-emerging growth companies but any such an election to opt out is irrevocable. The Company has elected
not to opt out of such extended transition period, which means that when a standard is issued or revised and it has different application
dates for public or private companies, the Company, as an emerging growth company, can adopt the new or revised standard at the time
private companies adopt the new or revised standard.
This
may make comparison of the Company’s unaudited condensed financial statements with those of another public company that is neither
an emerging growth company nor an emerging growth company that has opted out of using the extended transition period difficult or impossible
because of the potential differences in accounting standards used.
Proposed
Business Combination
On
February 10, 2021, the Company, entered into a Business Combination Agreement and Plan of Merger (the “Business Combination Agreement”)
by and among the Company, Fetch Merger Sub, Inc., a Delaware corporation and newly formed direct wholly-owned subsidiary of Company (“Merger
Sub”), and A Place for Rover, Inc., a Delaware corporation (“Rover”), providing for, among other things, and subject
to the terms and conditions therein, a business combination between the Company and Rover pursuant to which, among other things, (i)
Merger Sub will merge with and into Rover, the separate corporate existence of Merger Sub will cease and Rover will continue as the surviving
corporation in the merger and a wholly owned subsidiary of the Company and (ii) the Company will change its name to “Rover Group,
Inc.”
The
Business Combination Agreement provides that, among other things and upon the terms and subject to the conditions thereof, the following
transactions will occur (together with the other agreements and transactions contemplated by the Business Combination Agreement, the
“Business Combination”):
(i)
at the closing of the transactions contemplated by the Business Combination Agreement (the “Closing”), upon the terms and
subject to the conditions thereof, and in accordance with the Delaware General Corporation Law, as amended (the “DGCL”),
Merger Sub will merge with and into Rover (the “Merger”), the separate corporate existence of Merger Sub will cease and Rover
will continue as the surviving corporation in the Merger and a wholly owned subsidiary of the Company;
(ii)
as a result of the Business Combination, each outstanding share of Rover common stock and preferred stock as of immediately prior to
the effective time of the Business Combination, would be converted into, at the election of the holder thereof (subject to the limitations
on such elections set forth in the Business Combination Agreement) the right to receive (a) an amount of cash or shares of Class A common
stock, par value $0.0001 per share, of the Company’s common stock, based on the pro rata portion applicable to such share of Rover
common stock or preferred stock, as applicable, of an aggregate purchase price equal to $1.350 billion, as adjusted by (1) Rover’s
cash, indebtedness, and accrued tax liabilities as of immediately prior to the effective time of the Merger, (2) the unpaid transaction
expenses of Rover and the Company as of immediately prior to the effective time of the Business Combination, and (3) the aggregate exercise
price of Rover options and Rover warrants outstanding as of immediately prior to the effective time of the Business Combination, which
options and warrants will be assumed by the Company subject to the terms and conditions set forth in the Business Combination Agreement
and (b) the contingent “earn-out” right to receive a pro rata portion of up to 22,500,000 shares of the Company’s Common
Stock in the aggregate based on the achievement of certain trading price targets following the Closing, which amount of “earn-out”
shares will be adjusted based on a formula set forth in the Business Combination Agreement to reflect a portion of the value of such
“earn-out” shares deemed to be earned upon exercise of Rover options and warrants assumed by the Company in the Business
Combination; and
(iii)
the Company will immediately be renamed “Rover Group, Inc.”
The
Company’s Board of Directors has unanimously (i) approved and declared advisable the Business Combination Agreement, the Business
Combination and the other transactions contemplated thereby and (ii) resolved to recommend approval of the Business Combination Agreement
and related matters by the Company’s stockholders.
The
Business Combination Agreement is subject to the satisfaction or waiver of certain customary closing conditions, including, among others,
(i) obtaining required approvals of the Business Combination and related matters by the respective stockholders of the Company and Rover,
(ii) the effectiveness of the proxy statement / registration statement on Form S-4 filed by the Company in connection with the Business
Combination, (iii) receipt of approval for listing on Nasdaq the shares of the Company’s Common Stock to be issued in connection
with the Merger, (iv) that the Company continues to have at least $5,000,001 of net tangible assets upon the Closing and (v) the absence
of any injunctions enjoining or prohibiting the consummation of the Merger.
Concurrently
with the execution of the Business Combination Agreement, the Company entered into a backstop subscription agreement with True Wind Capital
II, L.P. and True Wind Capital II-A, L.P. (together, the “TWC Funds”) (the “Sponsor Backstop Subscription Agreement”),
pursuant to which the TWC Funds agreed to, among other things, purchase shares of the Company’s common stock in an aggregate amount
of up to $50,000,000 (or such greater amount at the election of the TWC Funds) to the extent of the amount of redemptions of shares of
the Company’s common stock. The TWC Funds also agreed to purchase additional shares of our common stock in an aggregate amount
of up to $50,000,000 if mutually agreed with Rover.
Concurrently
with the execution of the Business Combination Agreement, certain accredited investors (the “PIPE Investors”), entered into
subscription agreements (the “PIPE Subscription Agreements”) pursuant to which the PIPE Investors have committed to purchase
5,000,000 shares of our common stock (the “PIPE Shares”) at a purchase price per share of $10.00 and an aggregate purchase
price of $50,000,000 (the “PIPE Investment”). The purchase of the PIPE Shares is conditioned upon, and will be consummated
concurrently with, the closing of the initial business combination. Certain offering related expenses are payable by us, including customary
fees payable to the placement agents, Deutsche Bank Securities and Morgan Stanley & Co. LLC. The purpose of the sale of the PIPE
Shares is to raise additional capital for use in connection with the Proposed Transactions and to meet the minimum cash requirements
provided in the Business Combination Agreement.
Concurrently
with the execution of the Business Combination Agreement, the Company entered into stockholder support agreements with Rover and certain
stockholders of Rover (the “Rover Holders Support Agreements”), pursuant to which such stockholders agreed to approve the
Business Combination Agreement and the Proposed Transactions.
Liquidity
and Capital Resources
As
of March 31, 2021, the Company had approximately $0.2 million in its operating bank account and a working capital deficit of approximately
$2.2 million.
The
Company’s liquidity needs prior to the consummation of the Initial Public Offering were satisfied through the cash payment of $25,000
from the Sponsor to purchase the Founders Shares (as defined in Note 4), and loan proceeds from the Sponsor of approximately $176,000
under the Note (Note 4). The Company repaid the Note in full on December 11, 2020. Subsequent from the consummation of the Initial Public
Offering, the Company’s liquidity has been satisfied through the net proceeds from the consummation of the Initial Public Offering
and the Private Placement held outside of the Trust Account. In addition, in order to finance transaction costs in connection with a
Business Combination, the Sponsor or an affiliate of the Sponsor, or certain of the Company’s officers and directors may, but are
not obligated to, provide the Company Working Capital Loans (defined below, see Note 4). As of March 31, 2021, there were no amounts
outstanding under the Working Capital Loans.
Based
on the foregoing, management believes that the Company will have sufficient working capital and borrowing capacity from the Sponsor or
an affiliate of the Sponsor, or certain of the Company’s officers and directors to meet its needs through the earlier of the consummation
of a Business Combination or one year from this filing. Over this time period, the Company will be using these funds for paying existing
accounts payable, identifying and evaluating prospective initial Business Combination candidates, performing due diligence on prospective
target businesses, paying for travel expenditures, selecting the target business to merge with or acquire, and structuring, negotiating
and consummating the Business Combination.
Note
2—Summary of Significant Accounting Policies
Use
of Estimates
The
preparation of the unaudited condensed financial statements in conformity with U.S. GAAP requires the Company’s management to make
estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the unaudited condensed financial statements and the reported amounts of revenue and expenses during the reporting period.
Making estimates requires management to exercise significant judgment. It is at least reasonably possible that the estimate of the effect
of a condition, situation or set of circumstances that existed at the date of the unaudited condensed financial statements, which management
considered in formulating its estimate, could change in the near term due to one or more future confirming events. Accordingly, the actual
results could differ significantly from those estimates.
Cash
and Cash Equivalents
The
Company considers all short-term investments with an original maturity of three months or less when purchased to be cash equivalents.
As of March 31, 2021 and December 31, 2020, there were no cash equivalents held outside of the Trust Account.
Investment
Held in Trust Account
The
Company’s portfolio of investments is comprised solely of U.S. government securities, within the meaning set forth in Section 2(a)(16)
of the Investment Company Act, with a maturity of 185 days or less, or investments in money market funds that invest in U.S. government
securities, or a combination thereof. The Company’s investments held in the Trust Account are classified as trading securities.
Trading securities are presented on the condensed balance sheets at fair value at the end of each reporting period. Gains and losses
resulting from the change in fair value of these securities is included in gain on investments held in Trust Account in the accompanying
unaudited condensed statement of operations. The estimated fair values of investments held in the Trust Account are determined using
available market information.
Concentration
of Credit Risk
Financial
instruments that potentially subject the Company to concentrations of credit risk consist of cash accounts in a financial institution,
which, at times, may exceed the Federal Depository Insurance Coverage limit of $250,000, and any investments held in Trust Account. As
of March 31, 2021, the Company had not experienced losses on these accounts and management believes the Company is not exposed to significant
risks on such accounts. The Company’s investments held in the Trust Account as of March 31, 2021 are comprised of investments in
U.S. Treasury securities with an original maturity of 185 days or less or investments in money market funds that comprise only U.S. treasury
securities money market funds.
Fair
Value of Financial Instruments
Fair
value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction
between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs
used in measuring fair value.
The
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements)
and the lowest priority to unobservable inputs (Level 3 measurements). These tiers include:
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Level 1,
defined as observable inputs such as quoted prices for identical instruments in active markets;
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Level 2,
defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices
for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and
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Level 3,
defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions,
such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
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In
some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In
those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the lowest level input
that is significant to the fair value measurement.
As
of March 31, 2021 and December 31, 2020, the carrying values of cash, prepaid expenses, accounts payable, accrued expenses, franchise
tax payable and due to related party approximate their fair values due to the short-term nature of the instruments. The Company’s
portfolio of investments held in the Trust Account is comprised of investments in U.S. Treasury securities with an original maturity
of 185 days or less or investments in money market funds that invest in U.S. government securities, or a combination thereof. The fair
value for trading securities is determined using quoted market prices in active markets.
The
fair value of the Public Warrants issued in connection with the Public Offering was initially measured at fair value using a Monte Carlo
simulation model and subsequently has been measured based on the listed market price of such warrants. The fair value of the Private
Placement Warrants has been estimated using Black-Scholes.
Offering
Costs Associated with the Initial Public Offering
Offering
costs consisted of legal, accounting, underwriting fees and other costs incurred that were directly related to the Initial Public Offering.
Offering costs are allocated to the separable financial instruments issued in the Initial Public Offering based on a relative fair value
basis, compared to total proceeds received. Offering costs associated with derivative warrant liabilities are expensed as incurred, presented
as non-operating expenses in the unaudited condensed statement of operations. Offering costs associated with the Public Shares were charged
to stockholders’ equity upon the completion of the Initial Public Offering.
Derivative
Warrant liabilities
The
Company does not use derivative instruments to hedge exposures to cash flow, market, or foreign currency risks. Management evaluates
all of its financial instruments, including issued stock purchase warrants, to determine if such instruments are derivatives or contain
features that qualify as embedded derivatives, pursuant to ASC 480 and ASC 815-15. The classification of derivative instruments, including
whether such instruments should be recorded as liabilities or as equity, is re-assessed at the end of each reporting period. Offering
costs attributable to the issuance of the derivative warrant liabilities are recognized in the unaudited condensed statement of operations
as incurred.
We
issued 5,500,000 warrants for Class A common stock in the Initial Public Offering and upon the underwriters’ exercise of a
portion of their over-allotment option and issued 5,166,667 Private Placement Warrants. All of the Company’s outstanding warrants
are recognized as derivative liabilities in accordance with ASC 815-40. Accordingly, we recognize the warrant instruments as liabilities
at fair value and adjust the instruments to fair value at each reporting period. The liabilities are subject to re-measurement at each
balance sheet date until exercised, and any change in fair value is recognized in our unaudited condensed statement of operations. The
fair value of warrants issued in connection with the Initial Public Offering were initially measured at fair value using a Monte Carlo
simulation model. The fair value of the warrants issued in the Private Placement were estimated using Black-Scholes.
Class A
Common Stock Subject to Possible Redemption
The
Company accounts for its Class A common stock subject to possible redemption in accordance with the guidance in ASC Topic 480 “Distinguishing
Liabilities from Equity.” Shares of Class A common stock subject to mandatory redemption (if any) are classified as liability
instruments and are measured at fair value. Conditionally redeemable shares of Class A common stock (including shares of Class A
common stock that feature redemption rights that are either within the control of the holder or subject to redemption upon the occurrence
of uncertain events not solely within the Company’s control) are classified as temporary equity. At all other times, shares of
Class A common stock are classified as stockholders’ equity. Shares of Class A common stock of the Company feature certain
redemption rights that are considered to be outside of the Company’s control and subject to the occurrence of uncertain future
events. Accordingly, as of March 31, 2021 and December 31, 2020, 24,193,111 and 24,507,159 shares of Class A common stock subject
to possible redemption were presented as temporary equity, outside of the stockholders’ equity section of the Company’s condensed
balance sheets, respectively.
Income
Taxes
The
Company follows the asset and liability method of accounting for income taxes. Deferred tax assets and liabilities are recognized for
the estimated future tax consequences attributable to differences between the unaudited condensed financial statement carrying amounts
of existing assets and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted tax
rates expected to apply to taxable income in the years in which those temporary differences are expected to be recovered or settled.
The effect on deferred tax assets and liabilities of a change in tax rates is recognized in income in the period that included the enactment
date. Valuation allowances are established, when necessary, to reduce deferred tax assets to the amount expected to be realized. As of
March 31, 2021 and December 31, 2020, the Company had a deferred tax asset of approximately $175,000 and approximately $24,000 respectively,
each of which had a full valuation allowance recorded against them.
The
Company complies with the accounting and reporting requirements of FASB ASC 740, “Income Taxes,” which requires an asset
and liability approach to financial accounting and reporting for income taxes. Deferred income tax assets and liabilities are computed
for differences between the unaudited condensed financial statement and tax bases of assets and liabilities that will result in future
taxable or deductible amounts, based on enacted tax laws and rates applicable to the periods in which the differences are expected to
affect taxable income. Valuation allowances are established, when necessary, to reduce deferred tax assets to the amount expected to
be realized. The Company does not currently have taxable income but will generate taxable income in the future primarily consisting of
interest income earned on the Trust Account. The Company’s general and administrative costs are generally considered start-up costs and
are not currently deductible. During the three months ended March 31, 2021, the Company did not incur income tax expense.
There
were no unrecognized tax benefits as of March 31, 2021. FASB ASC 740 prescribes a recognition threshold and a measurement attribute for
the financial statement recognition and measurement of tax positions taken or expected to be taken in a tax return. For those benefits
to be recognized, a tax position must be more-likely-than-not to be sustained upon examination by taxing authorities. The Company recognizes
accrued interest and penalties related to unrecognized tax benefits as income tax expense. No amounts were accrued for the payment of
interest and penalties as of March 31, 2021 and December 31, 2020. The Company is currently not aware of any issues under review that
could result in significant payments, accruals or material deviation from its position. The Company is subject to income tax examinations
by major taxing authorities since inception. The Company’s management does not expect that the total amount of unrecognized tax benefits
will materially change over the next twelve months.
Net
Income Per Share of Common Stock
Net
income per share is computed by dividing net income by the weighted-average number of common stock outstanding during the periods. The
Company has not considered the effect of the warrants sold in the Initial Public Offering and the Private Placement to purchase an aggregate
of 10,666,667 shares of the Company’s Class A common stock in the calculation of diluted income per share, since their inclusion
would be anti-dilutive under the treasury stock method.
The
Company’s unaudited condensed statement of operations include a presentation of income per share for common stock subject to redemption
in a manner similar to the two-class method of income per share. Net income per share of common stock, basic and diluted for shares of
Class A common stock are calculated by dividing the income (loss) earned on investments held in the Trust Account, net of applicable
taxes and working capital amounts available to be withdrawn from the Trust Account, which was $0 for the three months ended March 31,
2021, by the weighted average number of Class A common stock outstanding for the period. Net loss per share of common stock, basic and
diluted for shares of Class B common stock is calculated by dividing the net loss of approximately $3.1 million, less income attributable
to Class A common stock by the weighted average number of Class B common stock outstanding for the period.
Recently
adopted accounting standards
In
August 2020, the FASB issued ASU No. 2020-06, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives
and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an
Entity’s Own Equity (“ASU 2020-06”), which simplifies accounting for convertible instruments by removing major
separation models required under current GAAP. The ASU also removes certain settlement conditions that are required for equity-linked
contracts to qualify for the derivative scope exception, and it simplifies the diluted earnings per share calculation in certain areas. The
Company adopted ASU 2020-06 on January 1, 2021. Adoption of the ASU did not impact the Company’s financial position, results of
operations or cash flows.
Recent
Accounting Pronouncements
Management
does not believe that any other recently issued, but not yet effective, accounting pronouncement if currently adopted would have a material
effect on the Company’s unaudited condensed financial statements.
Note
3—Initial Public Offering
On December
11, 2020, the Company consummated its Initial Public Offering of 27,500,000 Units, which
included 2,500,000 Units issued pursuant to the partial exercise by the underwriters of their over-allotment option, at
$10.00 per Unit, generating gross proceeds of $275.0 million, and incurring offering costs of approximately $15.2 million,
inclusive of $9.6 million in deferred underwriting commissions.
Each
Unit consists of one share of Class A common stock and one-fifth of one redeemable warrant (each, a “Public Warrant”).
Each Public Warrant entitles the holder to purchase one share of Class A common stock at a price of $11.50 per share, subject to
adjustment (see Note 6).
Note
4—Related Party Transactions
Founder
Shares
On
September 24, 2020, the Sponsor subscribed to purchase 7,906,250 shares of the Company’s Class B common stock, par
value $0.0001 per share (the “Founder Shares”), for an aggregate price of $25,000, and subsequently paid for the subscription
on September 28, 2020. In September and October 2020, the Sponsor transferred 25,000 Founder Shares to each of Messrs. Kerko, Wagner,
Thompson and Ms. Wellman, the Company’s independent director nominees, in each case at the original per share purchase price. On
November 18, 2020, the Sponsor cancelled 718,750 shares of Class B common stock, resulting in an aggregate of 7,187,500 shares of Class
B common stock outstanding. All shares and associated amounts have been retroactively restated to reflect the share cancellation. The
Initial Stockholders agreed to forfeit up to 937,500 Founder Shares to the extent that the over-allotment option was not exercised in
full by the underwriters, so that the Founder Shares would represent 20% of the Company’s issued and outstanding shares after the
Initial Public Offering. On December 11, 2020, the underwriters partially exercised the over-allotment option; thus, an aggregate of
312,500 Founder Shares was forfeited accordingly.
The
Initial Stockholders agreed, subject to limited exceptions, not to transfer, assign or sell any of the Founder Shares until the earlier
to occur of: (A) with respect to 100% of the Founder Shares, only if the closing price of the common stock equals or exceeds $12.00 per
share (as adjusted for stock splits, stock dividends, reorganizations, recapitalizations and the like) for any 20 trading days within
any 30-trading day period commencing any time 90 days after completion of the initial Business Combination or (B) if True Wind Capital
Management, L.P., an affiliate of the Sponsor (“True Wind Capital”) provides funds toward the consummation of the initial
Business Combination in an amount not less than $50,000,000 in the aggregate, then with respect to 50% of the Founder Shares, the earlier
to occur of: (i) 180 days after completion of the initial Business Combination; or (ii) if the closing price of the common stock equals
or exceeds $12.00 per share (as adjusted for stock splits, stock dividends, reorganizations, recapitalizations and the like) for any
20 trading days within any 30-trading day period commencing any time 90 days after completion of the initial Business Combination and
with respect to the remaining 50% of the Founder Shares, only if the closing price of the common stock equals or exceeds $12.00 per share
(as adjusted for stock splits, stock dividends, reorganizations, recapitalizations and the like) for any 20 trading days within any 30-trading
day period commencing any time 90 days after completion of the initial Business Combination.
Private
Placement Warrants
Simultaneously
with the closing of the Initial Public Offering, the Company consummated the Private Placement of 5,166,667 Private Placement Warrants
at a price of $1.50 per Private Placement Warrant to the Sponsor, generating proceeds of approximately $7.8 million.
Each
Private Placement Warrant is exercisable for one whole share of Class A common stock at a price of $11.50 per share. A portion of
the proceeds from the sale of the Private Placement Warrants to the Sponsor was added to the proceeds from the Initial Public Offering
held in the Trust Account. If the Company does not complete a Business Combination within the Combination Period, the Private Placement
Warrants will expire worthless. Except as set forth below, the Private Placement Warrants will be non-redeemable for cash and exercisable
on a cashless basis so long as they are held by the Sponsor or their permitted transferees.
The
Sponsor agreed, subject to limited exceptions, not to transfer, assign or sell any of its Private Placement Warrants until 30 days
after the completion of the initial Business Combination.
Related
Party Loans
On
September 18, 2020, the Sponsor agreed to loan the Company an aggregate of up to $350,000 to cover expenses related to the Initial
Public Offering pursuant to a promissory note (the “Note”). This loan was non-interest bearing and payable upon the
completion of the Initial Public Offering. The Company borrowed approximately $176,000 under the Note and repaid this Note in full on
December 11, 2020.
In
addition, in order to finance transaction costs in connection with a Business Combination, the Sponsor or an affiliate of the Sponsor,
or certain of the Company’s officers and directors may, but are not obligated to, loan the Company funds as may be required (“Working
Capital Loans”). If the Company completes a Business Combination, the Company would repay the Working Capital Loans out of the
proceeds of the Trust Account released to the Company. Otherwise, the Working Capital Loans would be repaid only out of funds held outside
the Trust Account. In the event that a Business Combination does not close, the Company may use a portion of proceeds held outside the
Trust Account to repay the Working Capital Loans but no proceeds held in the Trust Account would be used to repay the Working Capital
Loans. The Working Capital Loans would either be repaid upon consummation of a Business Combination or, at the lender’s discretion,
up to $1.5 million of such Working Capital Loans may be convertible into warrants of the post Business Combination entity at a price
of $1.50 per warrant. The warrants would be identical to the Private Placement Warrants. Except for the foregoing, the terms of such
Working Capital Loans, if any, have not been determined and no written agreements exist with respect to such loans. To date, the Company
had no borrowings under the Working Capital Loans.
Note
5—Commitments and Contingencies
Forward
Purchase Agreements
In
connection with the consummation of the Initial Public Offering, the Company entered into forward purchase agreements with certain institutional
accredited investors (“Forward Purchasers”) that will provide for the aggregate purchase of at least $100,000,000 of Class
A common stock at $10.00 per share, in a private placement that will close concurrently with the closing of the Business Combination.
The Forward Purchasers’ commitments under the forward purchase agreements are subject to certain conditions described in the prospectus
for the Initial Public Offering. The obligations under the forward purchase agreements will not depend on whether any shares of Class
A common stock are redeemed by the Company’s Public Stockholders. The Forward Purchasers will not receive any Founder Shares or
warrants as part of the forward purchase agreements. The forward purchase shares will be identical to the shares of Class A common stock
included in the Units being sold in the Initial Public Offering, except that the forward purchase shares will be subject to certain transfer
restrictions and have certain registration rights.
Registration
Rights
The
holders of Founder Shares, Private Placement Warrants and warrants that may be issued upon conversion of Working Capital Loans (and any
shares of common stock issuable upon the exercise of the Private Placement Warrants or warrants issued upon conversion of the Working
Capital Loans and upon conversion of the Founder Shares), as well as the Forward Purchasers and their permitted transferees, are entitled
to registration rights pursuant to a registration rights agreement. These holders will be entitled to certain demand and “piggyback”
registration rights. The Company will bear the expenses incurred in connection with the filing of any such registration statements.
Underwriting
Agreement
The
underwriters were entitled to an underwriting discount of $0.20 per unit, or $5.5 million in the aggregate, paid upon the closing
of the Initial Public Offering. An additional fee of $0.35 per unit, or approximately $9.6 million in the aggregate, will be payable
to the underwriters for deferred underwriting commissions. The deferred fee will become payable to the underwriters from the amounts
held in the Trust Account solely in the event that the Company completes a Business Combination, subject to the terms of the underwriting
agreement.
Risks
and uncertainties
Management
continues to evaluate the impact of the COVID-19 pandemic on the industry and has concluded that while it is reasonably possible that
the virus could have an effect on the Company’s financial position, results of its operations and/or search for a target company,
the specific impact is not readily determinable as of the date of these unaudited condensed financial statements. The unaudited condensed
financial statements do not include any adjustments that might result from the outcome of this uncertainty.
Note
6—Derivative Warrant Liabilities
As
of March 31, 2021 and December 31, 2020, the Company has 5,500,000 and 5,166,667 Public Warrants and Private Placement Warrants, respectively,
outstanding.
Public
Warrants may only be exercised for a whole number of shares. No fractional Public Warrants will be issued upon separation of the Units
and only whole Public Warrants will trade. The Public Warrants will become exercisable on the later of (a) 30 days after the completion
of a Business Combination or (b) 12 months from the closing of the Initial Public Offering; provided in each case that the Company
has an effective registration statement under the Securities Act covering the shares of Class A common stock issuable upon exercise
of the Public Warrants and a current prospectus relating to them is available (or the Company permits holders to exercise their Public
Warrants on a cashless basis and such cashless exercise is exempt from registration under the Securities Act). The Company has agreed
that as soon as practicable, but in no event later than 15 business days after the closing of the initial Business Combination, the Company
will use its best efforts to file with the SEC and have an effective registration statement covering the shares of Class A common
stock issuable upon exercise of the warrants and to maintain a current prospectus relating to those shares of Class A common stock
until the warrants expire or are redeemed. If a registration statement covering the Class A common stock issuable upon exercise
of the warrants is not effective by the 60th business day after the closing of the initial Business Combination, warrant
holders may, until such time as there is an effective registration statement and during any period when the Company will have failed
to maintain an effective registration statement, exercise warrants on a “cashless basis” in accordance with Section 3(a)(9)
of the Securities Act or another exemption. Notwithstanding the above, if the Company’s shares of Class A common stock are
at the time of any exercise of a warrant not listed on a national securities exchange such that they satisfy the definition of a “covered
security” under Section 18(b)(1) of the Securities Act, the Company may, at its option, require holders of Public Warrants
who exercise their warrants to do so on a “cashless basis” in accordance with Section 3(a)(9) of the Securities Act
and, in the event the Company so elect, it will not be required to file or maintain in effect a registration statement, and in the event
the Company does not so elect, it will use our best efforts to register or qualify the shares under applicable blue sky laws to the extent
an exemption is not available.
The
warrants have an exercise price of $11.50 per share, subject to adjustments, and will expire five years after the completion of a Business
Combination or earlier upon redemption or liquidation. In addition, if (x) the Company issues additional shares of Class A
common stock or equity-linked securities for capital raising purposes in connection with the closing of the initial Business Combination
at an issue price or effective issue price of less than $9.20 per share of Class A common stock (with such issue price or effective
issue price to be determined in good faith by the board of directors and, in the case of any such issuance to the Sponsor or its affiliates,
without taking into account any Founder Shares held by the Sponsor or such affiliates, as applicable, prior to such issuance) (the “Newly
Issued Price”), (y) the aggregate gross proceeds from such issuances represent more than 60% of the total equity proceeds,
and interest thereon, available for the funding of the initial Business Combination on the date of the consummation of the initial Business
Combination (net of redemptions), and (z) the volume weighted average trading price of Class A common stock during the 20 trading
day period starting on the trading day prior to the day on which the Company consummates its initial Business Combination (such price,
the “Market Value”) is below $9.20 per share, the exercise price of the warrants will be adjusted (to the nearest cent) to
be equal to 115% of the higher of the Market Value and the Newly Issued Price, the $18.00 per share redemption trigger price will be
adjusted (to the nearest cent) to be equal to 180% of the higher of the Market Value and the Newly Issued Price, and the $10.00 per share
redemption trigger price will be adjusted (to the nearest cent) to be equal to the higher of the Market Value and the Newly Issued Price.
The
Private Placement Warrants are identical to the Public Warrants, except that the Private Placement Warrants and the shares of Class A
common stock issuable upon exercise of the Private Placement Warrants will not be transferable, assignable or salable until the completion
of a Business Combination, subject to certain limited exceptions. Additionally, except as set forth below, the Private Placement Warrants
will be non-redeemable so long as they are held by the Sponsor or their permitted transferees. If the Private Placement Warrants
are held by someone other than the Sponsor or their permitted transferees, the Private Placement Warrants will be redeemable by the Company
and exercisable by such holders on the same basis as the Public Warrants.
Redemption
of warrants when the price per share of Class A common stock equals or exceeds $18.00. Once the warrants become exercisable,
the Company may redeem the outstanding warrants for cash (except as described herein with respect to the Private Placement Warrants):
|
●
|
in
whole and not in part;
|
|
●
|
at
a price of $0.01 per warrant;
|
|
●
|
upon
a minimum of 30 days’ prior written notice of redemption; and
|
|
●
|
if,
and only if, the closing price of Class A common stock equals or exceeds $18.00 per share (as adjusted for stock splits, stock dividends,
reorganizations, recapitalizations and the like) for any 20 trading days within a 30-trading day period ending on the third trading
day prior to the date on which the Company sends the notice of redemption to the warrant holders (the “Reference Value”).
|
Redemption
of warrants when the price per share of Class A common stock equals or exceeds $10.00. Once the warrants become exercisable,
the Company may redeem the outstanding warrants (except as described with respect to the Private Placement Warrants):
|
●
|
in
whole and not in part;
|
|
●
|
at $0.10 per warrant upon a minimum of 30 days’ prior written notice of redemption provided that holders will be able to exercise their warrants on a cashless basis prior to redemption and receive that number of shares determined by reference to an agreed table based on the redemption date and the fair market value of the Shares of Class A common stock; and
|
|
●
|
if, and only if, the closing price of the Shares of Class A common stock equals or exceeds $10.00 per public share (as adjusted) on the trading day prior to the date on which the Company sends the notice of redemption to the warrant holders;
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|
●
|
if the Reference Value is less than $18.00 per share (as adjusted for share splits, share dividends, rights issuances, subdivisions, reorganizations, recapitalizations and the like), then the Private Placement Warrants must also concurrently be called for redemption on the same terms (except as described herein with respect to a holders’ ability to cashless exercise its warrants) as the outstanding Public Warrants.
|
In no event will the Company
be required to net cash settle any warrant. If the Company is unable to complete a Business Combination within the Combination Period
and the Company liquidates the funds held in the Trust Account, holders of warrants will not receive any of such funds with respect to
their warrants, nor will they receive any distribution from the Company’s assets held outside of the Trust Account with the respect
to such warrants. Accordingly, the warrants may expire worthless.
Note 7—Stockholders’
Equity
Preferred Stock —
The Company is authorized to issue 1,000,000 shares of preferred stock, par value $0.0001 per share, with such designations, voting
and other rights and preferences as may be determined from time to time by the Company’s board of directors. As of March 31, 2021
and December 31, 2020, there were no shares of preferred stock issued or outstanding.
Class A Common
Stock — The Company is authorized to issue 200,000,000 shares of Class A common stock with a par value of
$0.0001 per share. As of March 31, 2021 and December 31, 2020, there were 27,500,000 shares of Class A common stock outstanding, including
24,193,111 shares and 24,507,159 shares of Class A common stock subject to possible redemption that were classified as temporary equity
in the accompanying unaudited condensed balance sheet, respectively.
Class B Common
Stock — The Company is authorized to issue 20,000,000 shares of Class B common stock with a par value of
$0.0001 per share. As of March 31, 2021 and December 31, 2020, there were 6,875,000 shares of Class B common stock outstanding with no
shares subject to forfeiture.
Common stockholders of record
are entitled to one vote for each share held on all matters to be voted on by stockholders. Holders of Class B common stock will have
the right to elect all of the Company’s directors prior to the consummation of the initial Business Combination. On any other matter
submitted to a vote of the Company’s stockholders, holders of Class B common stock and holders of Class A common stock will vote
together as a single class, except as required by applicable law or stock exchange rule.
The Class B common stock
will automatically convert into Class A common stock at the time of the initial Business Combination on a one-for-one basis, subject to
adjustment as provided herein. In the case that additional shares of Class A common stock, or equity-linked securities, are issued or
deemed issued in excess of the amounts sold in this offering and related to the closing of the initial Business Combination, the ratio
at which shares of Class B common stock shall convert into shares of Class A common stock will be adjusted (unless the holders of a majority
of the outstanding shares of Class B common stock agree to waive such anti-dilution adjustment with respect to any such issuance or deemed
issuance) so that the number of shares of Class A common stock issuable upon conversion of all shares of Class B common stock will equal,
in the aggregate, on an as-converted basis, 20% of the total number of all shares of common stock outstanding upon completion of the Initial
Public Offering plus all shares of Class A common stock and equity-linked securities issued or deemed issued in connection with the initial
Business Combination (including the forward purchase shares) excluding any shares or equity-linked securities issued, or to be issued,
to any seller in the initial Business Combination in consideration for such seller’s interest in the Business Combination target
and any Private Placement Warrants issued upon the conversion of Working Capital Loans made to the Company.
Note 8—Fair
Value Measurements
The following tables present
information about the Company’s assets that are measured at fair value on a recurring basis and indicate the fair value hierarchy
of the valuation techniques that the Company utilized to determine such fair value.
March 31, 2021
|
|
|
|
|
|
|
|
|
|
Description
|
|
Quoted Prices in Active Markets
(Level 1)
|
|
|
Significant Other Observable Inputs
(Level 2)
|
|
|
Significant Other Unobservable Inputs
(Level 3)
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account
|
|
$
|
275,011,740
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative warrant liabilities
|
|
$
|
8,360,000
|
|
|
$
|
-
|
|
|
$
|
7,853,330
|
|
December 31, 2021
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
|
Quoted Prices in Active Markets
(Level 1)
|
|
|
|
Significant Other Observable Inputs
(Level 2)
|
|
|
|
Significant Other Unobservable Inputs
(Level 3)
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account
|
|
$
|
275,000,000
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative warrant liabilities
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
16,905,000
|
|
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 as of March 31, 2021.
Level 1 instruments include
investments in mutual funds invested in government securities and Public Warrants. 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 fair value of the Public
Warrants issued in connection with the Public Offering was initially measured at fair value using a Monte Carlo simulation model and subsequently
based on the listed market price of such warrants, a Level 1 measurement, as of March 31, 2021. The fair value of the Private Placement
Warrants was estimated using the Black-Scholes model. For the period ended March 31, 2021, the Company recognized income on the unaudited
condensed statement of operations resulting from an decrease in the fair value of liabilities of approximately $0.7 million presented
as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed statement of operations.
The estimated fair value
of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, is determined using Level 3 inputs.
Inherent in these valuations 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 based on historical and implied volatilities of select peer companies
as well as its own 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 utilized to measure the fair value of the Private Placement
Warrants at the measurement dates and the Public Warrants as of December 31, 2021 only:
|
|
As of
December 31,
2020
|
|
|
As of
March 31,
2021
|
|
Volatility
|
|
|
14% - 23%
|
|
|
|
21.0
|
%
|
Stock price
|
|
|
$10.41 - $10.56
|
|
|
$
|
9.92
|
|
Expected life of the options to convert
|
|
|
5.72
|
|
|
|
5.25
|
|
Risk-free rate
|
|
|
0.46
|
%
|
|
|
0.98
|
%
|
Dividend yield
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
The change in the fair value
of the derivative warrant liabilities for the three months ended March 31, 2021 is summarized as follows:
Derivative warrant liabilities as of January 1, 2021
|
|
$
|
16,905,000
|
|
Change in fair value of derivative warrant liabilities
|
|
$
|
(691,670
|
)
|
Derivative warrant liabilities as of March 31, 2021
|
|
$
|
16,213,330
|
|
Note 9—Subsequent
Events
Management
has evaluated subsequent events to determine if events or transactions occurring through May __, 2021, the date the unaudited condensed
financial statements were available for issuance, require potential adjustment to or disclosure in the unaudited condensed financial statements
and has concluded that, other than contained herein, all such events that would require recognition or disclosure have been recognized
or disclosed.