Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

v3.21.1
FAIR VALUE MEASUREMENTS
3 Months Ended
Mar. 31, 2021
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

 

The Company follows the guidance in ASC Topic 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually.

 

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 March 31, 2021 and December 31, 2020, there were 7,991,544 Public Warrants and 4,529,950 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 March 31, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31,

 

December 31,

Description

 

Level

 

2021

 

2020

Assets:

    

  

 

 

 

    

 

  

Marketable securities held in Trust Account

 

 1

 

$

239,840,428

 

$

239,795,125

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

Warrant Liability – Public Warrants

 

 1

 

 

11,347,992

 

 

8,471,037

Warrant Liability – Private Placement Warrants

 

 3

 

 

6,432,529

 

 

4,801,747

 

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on our accompanying March 31, 2021 condensed 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 condensed statement of operations.

 

The Company established the initial fair value for the Warrants on September 25, 2020, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model for the Private Placement Warrants and the Public Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary shares and one-fourth of one Public Warrant), (ii) the sale of Private Placement Warrants, and (iii) the issuance of Class B ordinary shares, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption, Class A ordinary shares and Class B ordinary shares based on their relative fair values at the initial measurement date. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.  The measurement of the Public Warrants as of March 31, 2021 and December 31, 2020 is classified as Level 1 due to the use of an observable market quote in an active market.

 

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants at March 31, 2021 and December 31, 2020 is as follows:

 

 

 

 

 

 

 

 

 

 

 

March 31, 

    

December 31, 

 

Input

    

2021

    

2020

 

Risk-free interest rate

 

 

1.01

%  

 

0.43

%

Expected term (years)

 

 

5.42

 

 

5.49

 

Expected volatility

 

 

25.0

%  

 

20.0

%

Exercise price

 

$

11.50

 

$

11.50

 

Fair value of Units

 

$

10.01

 

$

9.97

 

Probability of Acquisition

 

 

95

%  

 

85

%

 

The following table presents the changes in the fair value of warrant liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Private 

 

 

 

 

Warrant

 

    

Placement

    

Public

 

 Liabilities

Fair value as of January 1, 2021

 

$

4,801,747

 

$

8,471,037

 

$

13,272,784

Change in valuation inputs or other assumptions

 

 

1,630,782

 

 

2,876,955

 

 

4,507,737

Fair value as of March 31, 2021

 

$

6,432,529

 

$

11,347,992

 

$

17,780,521