Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS

v3.21.1
FAIR VALUE MEASUREMENTS
4 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Disclosures
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 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 sheet and adjusted for the amortization or accretion of premiums or discounts.
At December 31, 2020, assets held in the Trust Account were comprised of $737 in cash and $275,037,291 in U.S. Treasury securities. During the year ended December 31, 2020, the Company did not withdraw any interest income from the Trust Account.
At December 31, 2020, there were 9,166,666 Public Warrants and 5,000,000 Private Placement Warrants outstanding.
 
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:
 
Description
  
December 31,
2020
 
  
Quoted Prices

in Active

Markets

(Level 1)
 
  
Significant

Other

Observable

Inputs

(Level 2)
 
  
Significant

Other

Unobservable

Inputs

(Level 3)
 
Assets:
  
     
  
     
  
     
  
     
Cash and marketable securities held in Trust Account
  
$
275,038,028
 
  
$
275,038,028
 
  
$
—  
 
  
$
—  
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Liabilities:
  
     
  
     
  
     
  
     
Warrant Liability – Public Warrants
  
$
21,343,306
 
  
$
—  
 
  
$
 
  
$
21,343,306
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Warrant Liability – Private Placement Warrants
  
$
13,631,507
 
  
$
—  
 
  
$
  —
 
  
$
13,631,507
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
The Company utilizes a Monte Carlo simulation model to value the warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the warrant liability is determined using Level 3 inputs. Inherent in a binomial options pricing model 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 based on historical volatility 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 to remain at zero.

The aforementioned warrant liabilities are not subject to qualified hedge accounting.

There were no transfers between Levels 1, 2 or 3 during the year ended December 31, 2020.
The following table provides quantitative information regarding Level 3 fair value measurements:
 
 
  
At
October 27,
2020
(Initial
Measurement)
 
 
As of
December 31,
2020
 
Stock price
  
$
8.50  
 
 
$
9.23  
 
Strike price
  
$
11.50
 
 
$
11.50
 
Term (in years)
  
 
5.0
 
 
 
5.0
 
Volatility
  
 
40.0
%
 
 
40.0
%
Risk-free rate
  
 
0.5
%
 
 
0.6
%
Dividend yield
 
 
 
0.0
%
 
 
 
0.0
%
Fair value of warrants
 
$
 
2.
3
3
 
 
$
 
2.73
 
 
The following table presents the changes in the fair value of warrant liabilities:
 
 
  
 
Private
Placement
 
 
  
 
Public
 
  
 
Warrant
Liabilities
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of August 20, 2020
  
$
—  
 
  
$
—  
 
  
$
—  
 
Initial measurement on October 27, 2020
  
 
11,651,159
 
  
 
18,303,782
 
  
 
29,954,941
 
Change in valuation inputs or other assumptions
  
 
1,980,348
 
  
 
3,039,524
 
  
 
5,019,872
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of December 31, 2020
  
$
13,631,507
 
  
$
21,343,306
 
  
$
34,974,813
 
 
  
 
 
 
  
 
 
 
  
 
 
 
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
Loss
    
Fair Value
 
December 31, 2020 U.S. Treasury Securities (Mature on 04/29/2021)
     1      $ 275,037,291      $ (6,186    $ 275,031,105