XML 29 R15.htm IDEA: XBRL DOCUMENT
v3.21.2

Fair Value Measurements | 4 Months Ended | 6 Months Ended
--- | --- | ---
Dec. 31, 2020 | Jun. 30, 2021
Fair Value Disclosures [Abstract] |  |
Fair Value Measurements | Note 9—Fair Value Measurements The following table presents information about the Company’s assets that are measured at fair value on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
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 |  | $ | 402,578,522 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities warrant |  | $ | 27,504,170 |  |  | $ | — |  |  | $ | 14,070,000 |
Deriviative liabilities - Forward purchase agreements |  | $ | — |  |  | $ | — |  |  | $ | 8,100,000 |
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning 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. Level 1 instruments include investments in mutual funds invested in government securities and Public Warrants. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments. The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially and subsequently measured at fair value using a Monte Carlo simulation model. The fair value of the forward purchase agreements is determined as the estimated unit value less the net present value of the forward purchase agreements. For the period from August 31, 2020 (inception) through December 31, 2020, the Company recognized a non-cash loss resulting from an increase in the fair value of liabilities of approximately $24.2 million presented as change in fair value of derivative liabilities on the accompanying statement of operations. The estimated fair value of the Private Placement Warrants, forward purchase agreements 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 estimates the volatility of its common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s 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 for the warrants:
|  | As of October 23, 2020 |  |  | As of December 31, 2020 |
Volatility |  |  | 21.00 | % |  |  | 21.75 | %
Stock price |  | $ | 10.00 |  |  | $ | 11.00 |
Expected life of the options to convert |  |  | 5.833 |  |  |  | 5.647 |
Risk-free rate |  |  | 0.460 | % |  |  | 0.469 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
The following table provides quantitative Level 3 fair value measurement inputs at their measurement dates for the forward purchase agreement:
|  | As of October 23, 2020 |  |  | As of December 31, 2020 |
Risk-free rate |  |  | 0.117 | % |  |  | 0.93 | %
Term |  |  | 0.833 |  |  |  | 0.647 |
The change in the fair value of the derivative liabilities utilizing Level 3 measurements for the period from August 31, 2020 (inception) through December 31, 2020 is summarized as follows:
Derivative liabilities at August 31, 2020 (inception) |  | $ | — |
Issuance of Public and Private Warrants and forward purchase agreements - Level 3 |  |  | 25,481,000 |
Transfer of Public Warrants to Level 1 measurement |  |  | (16,905,000 | )
Change in fair value of derivative liabilities - Level 3 |  |  | 13,594,000 |
Derivative liabilities at Level 3, December 31, 2020 |  | $ | 22,170,000 |
| Note 8—Fair Value Measurements The following tables present information about the Company’s assets that are measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value. June 30, 2021
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 |  | $ | 402,685,072 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities—Public Warrants |  | $ | 20,661,670 |  |  | $ | — |  |  | $ | — |
Derivative liabilities—Private Placement Warrants |  | $ | — |  |  | $ | — |  |  | $ | 10,452,000 |
Derivative liabilities—Forward Purchase Agreements |  | $ | — |  |  | $ | — |  |  | $ | 2,150,000 |
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 |  | $ | 402,578,522 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Derivative liabilities—Public Warrants |  | $ | 27,504,170 |  |  | $ | — |  |  | $ | — |
Derivative liabilities—Private Placement Warrants |  |  |  |  |  |  |  |  |  | $ | 14,070,000 |
Derivative liabilities—Forward Purchase Agreements |  | $ | — |  |  | $ | — |  |  | $ | 8,100,000 |
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers to/from Levels 1,2, and 3 for the three and six months ended June 30, 2021. Level 1 instruments include investments in mutual funds invested in government securities and Public Warrants. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments. The fair value of warrants issued in connection with the Initial Public Offering and Private Placement were initially measured at fair value using a Monte Carlo simulation model and subsequently, the fair value of the Private Placement warrants have been estimated using a Monte Carlo simulation model each measurement date. The fair value of Warrants issued in connection with the Company’s Initial Public Offering have subsequently been measured based on the listed market price of such warrants. The fair value of the forward purchase agreements is determined as the estimated unit value less the net present value of the forward purchase agreements. For the three and six months ended June 30, 2021, the Company recognized a non-cash gain resulting from a decrease in the fair value of liabilities of approximately $8.0 million and $16.4 million, respectively presented as change in fair value of derivative liabilities on the accompanying unaudited consolidated condensed statement of operations. The estimated fair value of the Private Placement Warrants, forward purchase agreements 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 estimates the volatility of its common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s 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. Changes to these assumptions can change the valuation significantly. The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates for the warrants:
|  | As of December 31, 2020 |  |  | As of March 31, 2021 |  |  | As of June 30, 2021 |
Volatility |  |  | 21.75 | % |  |  | 24.25 | % |  |  | 22.13 | %
Stock price |  | $ | 11.00 |  |  | $ | 10.11 |  |  | $ | 9.93 |
Expected life of the options to convert |  |  | 5.647 |  |  |  | 5.297 |  |  |  | 5.047 |
Risk-free rate |  |  | 0.469 | % |  |  | 0.980 | % |  |  | 0.870 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | % |  |  | 0.00 | %
The following table provides quantitative Level 3 fair value measurement inputs at their measurement dates for the forward purchase agreements:
|  | As of December 31, 2020 |  |  | As of March 31, 2021 |  |  | As of June 30, 2021 |
Risk-free rate |  |  | 0.093 | % |  |  | 0.037 | % |  |  | 0.050 | %
Term |  |  | 0.647 |  |  |  | 0.297 |  |  |  | 0.047 |
The change in the fair value of the derivative liabilities utilizing Level 3 measurements for the three and six months ended June 30, 2021 is summarized as follows:
Derivative liabilities at Level 3 at December 31, 2020 |  | $ | 22,170,000 |
Change in fair value of Private Placement Warrants |  |  | (1,139,000 | )
Change in fair value of Forward Purchase Agreements |  |  | (4,600,000 | )
Derivative liabilities at Level 3 at March 31, 2021 |  | $ | 16,431,000 |
Change in fair value of Private Placement Warrants |  |  | (2,479,000 | )
Change in fair value of Forward Purchase Agreements |  |  | (1,350,000 | )
Derivative liabilities at Level 3 at June 30, 2021 |  | $ | 12,602,000 |

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration