Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
4 Months Ended
Dec. 31, 2020
Fair Value Disclosures [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 table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
 
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
   $ 402,500,000      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities—Public
   $ —        $ —        $ 19,588,333  
Derivative warrant liabilities—Private
   $ —        $ —        $ 9,782,000  
 
Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between levels for the period from September 7, 2020 (inception) through December 31, 2020.
Level 1 instruments include investments in money market funds and U.S. 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 fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were measured at fair value using a Monte Carlo simulation model both at issuance and as of December 31, 2020. For the period from September 7, 2020 (inception) through December 31, 2020, the Company recognized a charge to the statement of operations resulting from an increase in the fair value of liabilities of approximately $3.5 million presented as change in fair value of derivative warrant liabilities on the accompanying statement of operations.
The estimated fair value of the Public Warrants, prior to being separately listed and traded, and the Private Placement Warrants were determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares warrants based on implied volatility from historical volatility of select peer company’s ordinary shares 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 the initial measurement date:
 
    
As of

November
23,

2020
   
As of

November
27,

2020
   
As of

December
31,

2020
 
Share price
   $ 9.57     $ 9.63     $ 9.79  
Exercise price
   $ 11.50     $ 11.50     $ 11.50  
Risk-free interest rate
     0.71     0.67     0.69
Volatility
     22.0     22.0     23.0
Expected term (years)
     5.0       5.0       5.0  
Dividend yield
     0.0     0.0     0.0
The change in the fair value of the derivative warrant liabilities for the period from September 7, 2020 (inception) through December 31, 2020 is summarized as follows:
 
Warrant liabilities at September 7, 2020 (inception)
   $ —    
Issuance of Public and Private Warrants at November 23, 2020
     22,613,330  
Issuance of Public and Private Warrants at November 27, 2020
     3,234,000  
Change in fair value of warrant liabilities
     3,523,003  
    
 
 
 
Warrant liabilities at December 31, 2020
   $  29,370,333  
    
 
 
 
The Warrants were accounted for as liabilities in accordance with ASC
815-40
and are presented within warrant liabilities on the Company’s 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 statement of operations.