Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.21.1
Fair Value Measurements
5 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 9 — Fair Value Measurements


The following table presents information about the Company’s financial assets that are measured at fair value on a recurring basis as of December 31, 2020 by level within the fair value hierarchy:


December 31, 2020


Description   Quoted Prices in Active Markets
(Level 1)
    Significant Other Observable Inputs
(Level 2)
    Significant Other Unobservable Inputs
(Level 3)
 
Assets:                  
U.S. Treasury Bills   $ 230,007,668     $ -     $ -  
Liabilities:                        
Derivative warrant liabilities - Public Warrants   $ -     $ -     $ 11,883,330  
Derivative warrant liabilities - Private Warrants   $ -     $ -     $ 7,733,330  

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between levels of the hierarchy in during the period from September 11, 2020 (inception) through December 31, 2020. There were no transfers between levels for the period from August 6, 2020 (inception) through December 31, 2020.


The fair value of the Public Warrants issued in connection with the Initial Public Offering and Private Placement Warrants were initially and subsequently been measured at fair value using a Monte Carlo simulation model at each measurement date. For the period ended December 31, 2020, the Company recognized a charge to the statement of operations resulting from an increase in the fair value of liabilities of approximately $3.5 million presented as change in fair value of derivative warrant liabilities on the accompanying statement of operations.


The estimated fair value of the Private Placement Warrants, and the Public Warrants, 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 estimated the volatility of its Class A common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s Class A 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.


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


    As of
December 8,
2020
    As of December 31,
2020
 
Volatility     21.0 %     21.0 %
Stock price   $ 9.58     $ 10.12  
Expected life of the options to convert     6.00       6.00  
Risk-free rate     0.52 %     0.51 %
Dividend yield     0.0 %     0.0 %

The change in the fair value of the derivative warrant liabilities for the period from August 6, 2020 (inception) through December 31, 2020 is summarized as follows:


Change in FV of warrant liablilities


    Public Warrants     Private Warrants  
Derivative warrant liabilities at August 6, 2020 (inception)   $ -     $ -  
Issuance of Public and Private Warrants     6,331,670       9,813,330  
Change in fair value of derivative warrant liabilities     1,401,667       2,070,000  
Derivative warrant liabilities at December 31, 2020   $ 7,733,337     $ 11,883,330