XML 33 R15.htm IDEA: XBRL DOCUMENT v3.21.1
FAIR VALUE MEASUREMENTS
 4 Months Ended
Dec. 31, 2020
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 9 — FAIR VALUE MEASUREMENTS

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.

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:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Asset

    

Level

    

Fair Value

December 31, 2020

 

U.S. Treasury Securities Money Market Fund

 

1

 

232,301,973

 

The Warrants are accounted for as liabilities pursuant to ASC 815-40 and are measured at fair value as of each reporting period. Changes in the fair value of the Warrants are recorded in the statement of operations each period.

The following table presents our fair value hierarchy for liabilities measured at fair value on a recurring basis as of December 31, 2021:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Level 1

    

Level 2

    

Level 3

    

Total

Warrant liabilities:

 

 

  

 

 

  

 

 

  

 

 

  

Public Warrants

 

$

18,975,000

 

$

 —

 

$

 —

 

$

18,975,000

Private Placement Warrants

 

 

 —

 

 

 —

 

 

14,685,000

 

 

14,685,000

Total warrant liabilities

 

$

18,975,000

 

$

 0

 

$

14,685,000

 

$

33,660,000

 

The Private Placement Warrants were valued using a Black Scholes Model, which is considered to be a Level 3 fair value measurement.

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

 

 

 

 

 

 

 

 

 

 

 

 

    

 

 

 

 

 

    

As of December 31, 

 

 

 

At issuance

 

2020

 

Exercise price

 

$

11.50

 

$

11.50

 

IPO price

 

$

10.00

 

$

10.00

 

Implied stock price range (or underlying asset price at December 31, 2020)

 

$

9.35

-

$

9.66

 

$

10.12

 

Volatility

 

 

14% 

-

23% 

 

 

21%

 

Term

 

 

5.75

 

 

5.70

 

Risk-free rate

 

 

0.46%

 

 

0.46%

 

Dividend yield

 

 

0.0%

 

 

0.0%

 

 

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

 

 

 

 

 

 

 

 

 

 

 

    

Private

 

 

 

 

Warrant

 

 

Placement

 

Public

 

Liabilities

Initial measurement on November 27, 2020

 

$

9,879,000

 

$

12,650,000

 

$

22,529,000

Change in valuation inputs or other assumptions(1)

 

 

4,806,000

 

 

6,325,000

 

 

11,131,000

Fair value as of December 31, 2020

 

$

14,685,000

 

$

18,975,000

 

$

33,660,000

(1)

Due to the use of quoted prices in an active market (Level 1) to measure the fair value of the Public Warrants, subsequent to initial measurement, the Company had transfers out of Level 3 totaling $6,325,000 during the period from November 27, 2020 through December 31, 2020.

The non-cash loss on revaluation of the Private Placement Warrants is included in recognized loss on change in fair value of warrant liabilities on the statement of operations.