Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.1
Fair Value Measurements
3 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 9 — FAIR VALUE MEASUREMENTS


The Company follows the guidance in ASC 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 Company classifies its U.S. Treasury and equivalent securities as held-to-maturity in accordance with ASC 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.


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 December 31, 2020, assets held in the Trust Account were comprised of $201,339,975 in money market funds, which are invested in U.S. Treasury securities.


At September 30, 2020, assets held in the Trust Account were comprised of $46,650 in cash and $201,276,689 in U.S. Treasury Bills.


Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between levels for the three months ended December 31, 2020 and 2019.


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 September 30, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


Description   Level   December 31, 2020     September 30, 2020  
Assets:                
Marketable securities held in Trust Account   1   $ 201,339,975     $ 201,276,435  
                     
Liabilities:                    
Warrant Liabilities – Public Warrants   1   $ 19,000,000     $ 15,000,000  
Warrant Liabilities – Private Placement Warrants   3   $ 12,375,000     $ 10,500,000  

The gross holding losses and fair value of held-to-maturity securities at September 30, 2020 are presented below. There were no held-to-maturity securities at December 31, 2020.


    Held-To-Maturity   Level   Amortized Cost     Gross
Holding
Loss
    Fair Value  
September 30, 2020   U.S. Treasury Securities (Matured on 10/22/2020)   1   $ 26,298,490     $ 195     $ 26,298,685  
September 30, 2020   U.S. Treasury Securities (Matured on 10/29/2020)   1   $ 24,998,590     $ (340 )   $ 24,998,250  
September 30, 2020   U.S. Treasury Securities (Matured on 11/5/2020)   1   $ 49,994,033     $ 1,967     $ 49,996,000  
September 30, 2020   U.S. Treasury Securities (Matured on 11/27/2020)   1   $ 49,993,862     $ (1,362 )   $ 49,992,500  
September 30, 2020   U.S. Treasury Securities (Matured on 12/10/2020)   1   $ 49,991,714     $ (714 )   $ 49,991,000  
            $ 201,276,689     $ (254 )   $ 201,276,435  

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying condensed balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within loss on warrant liabilities in the condensed statements of operations.


The Private Placement Warrants were valued using a Black Scholes Model, which is considered to be a Level 3 fair value measurement. The Public Warrants were valued using a Monte Carlo simulation. The primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the ordinary shares. The expected volatility was initially derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units was classified as Level 1 due to the use of an observable market quote in an active market. 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 as of each relevant date.


The following table presents the quantitative information regarding Level 3 fair value measurements:


   

As of

December 31,

2020

   

As of

September 30, 2020

 
Share Price     10.40     $ 9.93  
Term (in years)     5.5       5.5  
Volatility     23.7 %     23.5 %
Risk-free rate     0.43 %     0.33 %
Dividend yield     0.0 %     0.0 %

The following table presents the changes in the fair value of Level 3 warrant liabilities:


    Private Placement  
Fair value as of September 30, 2020   $ 10,500,000  
Change in fair value     1,875,000  
Fair value as of December 31, 2020   $ 12,375,000  

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period. There were no transfers between levels for the three months ended March 31, 2021.