Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS

v3.21.2
FAIR VALUE MEASUREMENTS
12 Months Ended
Dec. 31, 2020
FAIR VALUE MEASUREMENTS [Abstract]  
FAIR VALUE MEASUREMENTS
NOTE 11. 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 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. During the period ended December 31, 2020, 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 December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The gross holding gains and fair value of held-to-maturity securities at December 31, 2020 are as follows:

Held-To-Maturity
 
Level
   
Amortized
Cost
   
Gross
Holding
Gain
   
Fair Value
 
U.S. Treasury Securities (Matured on 2/4/2021)
   
1
   
$
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 December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

    
Level
   
December 31,
2020
 
Assets:
           
Marketable securities held in Trust Account
   
1
   
$
449,977,500
 
                 
Liabilities:
               
Warrant Liability – Public Warrants
   
1
   
$
10,097,710
 
Warrant Liability – Private Placement Warrants
   
3
   
$
4,909,424
 

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

The 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 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. 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:

   
At
October 6, 2020
(Initial
Measurement)
   
As of
December 31,
2020
 
Stock price
 
$
9.55
   
$
10.12
 
Term (in years)
   
6.63
     
6.08
 
Volatility
   
16.1
%
   
33.0
%
Risk-free rate
   
0.52
%
   
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
   
Public
   
Warrant Liabilities
 
Fair value as of July 30, 2020 (inception)
 
$
   
$
   
$
 
Initial measurement on October 6, 2020 (inclusive of the over-allotment
   
9,940,576
     
20,277,290
     
30,217,866
 
Change in fair value      4,909,424        10,097,710        15,007,134  
Transfer to Level 1
   
     
(30,375,000
)
   
(30,375,000
)
Fair value as of December 31, 2020
 
$
14,850,000
   
$
   
$
14,850,000
 

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 during the period from July 30, 2020 (inception) through December 31, 2020 was $30,375,000.