Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.21.4
Fair Value Measurements
4 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurement and Measurement Inputs, Recurring and Nonrecurring [Text Block]
NOTE 9. FAIR VALUE MEASUREMENTS
The following table presents information about the Company’s financial assets and financial liabilities 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:
  
     
  
     
  
     
Investments held in Trust Account
  
$
363,951,287
 
  
$
—  
 
  
$
—  
 
Liabilities:
  
     
  
     
  
     
Derivative warrant liabilities - Public
  
$
15,892,270
 
  
$
—  
 
  
$
—  
 
Derivative warrant liabilities - Private
  
$
—  
 
  
$
8,103,570
 
  
$
—  
 
Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement in December 2020, when the Public Warrants were separately listed and traded. The estimated fair value of the Private Warrants transferred to a Level 2 measurement by referring to the market price of the Public Warrants.
The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model. The fair value of Public Warrants issued in connection with the Initial Public Offering have been measured based on the listed market price of such warrants, a Level 1 measurement, since December 2020. The fair value of the Private Placement Warrants has subsequently been measured by reference to the trading price of the Public Warrants For the period ended December 31, 2020, the Company recognized a charge to the statement of operations resulting from a decrease in the fair value of liabilities of approximately $8.7 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 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 estimated the volatility of its Class A ordinary shares warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s Class A ordinary shares 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:
 
 
  
As of October 23, 2020
 
Volatility
  
 
15.7
Stock price
  
$
9.72
 
Expected life of the options to convert
  
 
1.50
 
Risk-free rate
  
 
0.55
Dividend yield
  
 
0.0

 
The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the period from September 2, 2020 (inception) through December 31, 2020 is summarized as follows:
 
Derivative warrant liabilities at September 2, 2020 (inception)
  
$
—  
 
Issuance of Public and Private Warrants - Level 3 measurements
  
 
15,256,840
 
Change in fair value of derivative warrant liabilities with Level 3 inputs
  
 
8,739,000
 
Transfer of Public Warrants to Level 1
  
 
(15,892,270
Transfer of Private Warrants to Level 2
  
 
(8,103,570
 
  
 
 
 
Derivative warrant liabilities at December 31, 2020 with Level 3 inputs
  
$
—