Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
5 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
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.
The Company classifies its U.S. Treasury and equivalent securities as
held-to-maturity
in accordance with ASC Topic 320 “Investments—Debt and Equity Securities.”
Held-to-maturity
securities are those securities which the Company has the ability and intent to hold until maturity.
Held-to-maturity
treasury securities are recorded at amortized cost on the accompanying balance sheets and adjusted for the amortization or accretion of premiums or discounts.
At December 31, 2020, assets held in the Trust Account were comprised of $83 in cash and $400,085,021
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 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.
The gross holding gains and fair value of
held-to-maturity
securities at December 31, 2020 are as follows:
 
 
  
Level
    
Amortized

Cost
    
Gross

Holding

Gain
    
Fair Value
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Held-to-Maturity Investments—U.S. Treasury Securities (Mature on
April 8, 2021)
     1      $ 400,085,021      $ 5,549      $ 400,090,570  
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Warrant Liability – Public Warrants
 
 
1
 
 
 
 
 
 
 
 
 
30,800,000
 
Warrant Liability – Private Placement
 
 
2
 
 
 
 
 
 
 
 
 
16,170,000
 
    
 
 
    
 
 
    
 
 
    
 
 
 
The Warrants were accounted for as liabilities in accordance with ASC
815-40
and are presented within warrant liabilities in the accompanying 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.
The Warrants were valued as of October 5, 2020 using a binomial lattice model, which is considered to be a Level 3 fair value measurement. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the ordinary shares. 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 for the Warrants as of each relevant date. The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units is classified as Level 1 due to the use of an observable market quote in an active market. The subsequent measurements of the Private Placement Warrants after the detachment of the Public Warrants from the Units is classified as Level 2 due to the use of an observable market quote for a similar asset in an active market.
 
The following table presents the quantitative information regarding Level 3 fair value measurements:
 
 
  
At

October 5, 2020
(Initial
measurement)
 
Unit price
  
$
9.95
 
Term to initial business combination (in years)
  
 
1.0
 
Volatility
  
 
16.5
Risk-free rate
  
 
0.44
Dividend yield
  
 
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 29, 2020
  
$
—  
 
  
$
—  
 
  
$
—  
 
Initial measurement on October 5, 2020
  
 
9,660,000
 
  
 
18,400,000
 
  
 
28,060,000
 
Transfer to Level 1
  
 
—  
 
  
 
(30,800,000
  
 
(30,800,000
Transfer to Level 2
  
 
(16,170,000
  
 
—  
 
  
 
(16,170,000
Change in fair value
  
 
6,510,000
 
  
 
12,400,000
 
  
 
18,910,000
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of December 31, 2020
  
$
—  
 
  
$
—  
 
  
$
—  
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement during the period ended December 31, 2020 was $30,800,000. The estimated fair value of the Private Placement Warrants transferred from a Level 3 measurement to a Level 2 fair value measurement during the period ended December 31, 2020 was $16,170,000.