Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

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.

June 30, 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

 

$

402,685,072

 

 

$

-

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative liabilities - Public Warrants

 

$

20,661,670

 

 

$

-

 

 

$

-

 

Derivative liabilities - Private Placement Warrants

 

$

-

 

 

$

-

 

 

$

10,452,000

 

Derivative liabilities - Forward Purchase Agreements

 

$

-

 

 

$

-

 

 

$

2,150,000

 

 

 

December 31, 2020

 

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

 

$

402,578,522

 

 

$

-

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative liabilities - Public Warrants

 

$

27,504,170

 

 

$

-

 

 

$

-

 

Derivative liabilities - Private Placement Warrants

 

 

 

 

 

 

 

 

 

$

14,070,000

 

Derivative liabilities - Forward Purchase Agreements

 

$

-

 

 

$

-

 

 

$

8,100,000

 

 

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers to/from Levels 1,2, and 3 for the three and six months ended June 30, 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 warrants issued in connection with the Initial Public Offering and Private Placement were initially measured at fair value using a Monte Carlo simulation model and subsequently, the fair value of the Private Placement warrants have been estimated using a Monte Carlo simulation model each measurement date. The fair value of Warrants issued in connection with the Company’s Initial Public Offering have subsequently been measured based on the listed market price of such warrants. The fair value of the forward purchase agreements is determined as the estimated unit value less the net present value of the forward purchase agreements. For the three and six months ended June 30, 2021, the Company recognized a non-cash gain resulting from a decrease in the fair value of liabilities of approximately $8.0 million and $16.4 million, respectively presented as change in fair value of derivative liabilities on the accompanying unaudited consolidated condensed statement of operations.

The estimated fair value of the Private Placement Warrants, forward purchase agreements and the Public Warrants prior to being separately listed and traded, is determined using Level 3 inputs. Inherent in a Monte Carlo simulation 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 warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock 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. Changes to these assumptions can change the valuation significantly.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates for the warrants:

 

 

 

As of December 31,

2020

 

 

As of March 31,

2021

 

 

As of June 30,

2021

 

Volatility

 

21.75%

 

 

24.25%

 

 

22.13%

 

Stock price

 

$

11.00

 

 

$

10.11

 

 

$

9.93

 

Expected life of the options to convert

 

5.647

 

 

5.297

 

 

5.047

 

Risk-free rate

 

0.469%

 

 

0.980%

 

 

0.870%

 

Dividend yield

 

0.00%

 

 

0.00%

 

 

0.00%

 

 

 

The following table provides quantitative Level 3 fair value measurement inputs at their measurement dates for the forward purchase agreements:

 

 

 

As of December 31,

2020

 

 

As of March 31,

2021

 

 

As of June 30,

2021

 

Risk-free rate

 

0.093%

 

 

0.037%

 

 

0.050%

 

Term

 

0.647

 

 

0.297

 

 

0.047

 

 

The change in the fair value of the derivative liabilities utilizing Level 3 measurements for the three and six months ended June 30, 2021 is summarized as follows:

 

Derivative liabilities at Level 3 at December 31, 2020

 

$

22,170,000

 

Change in fair value of Private Placement Warrants

 

 

(1,139,000

)

Change in fair value of Forward Purchase Agreements

 

 

(4,600,000

)

Derivative liabilities at Level 3 at March 31, 2021

 

$

16,431,000

 

Change in fair value of Private Placement Warrants

 

 

(2,479,000

)

Change in fair value of Forward Purchase Agreements

 

 

(1,350,000

)

Derivative liabilities at Level 3 at June 30, 2021

 

$

12,602,000