Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.1
Fair Value Measurements
3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements
NOTE 9. FAIR VALUE MEASUREMENTS
 
The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2021 by level within the fair value hierarchy:
 
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
   $ 495,914,245      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities
   $ —        $ —        $ 18,047,120  
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.
Level 1 instruments include investments in mutual funds invested in government securities. 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 has been measured at fair value using a Modified Monte Carlo simulation. The fair value of the Private Warrants has been measured at fair value using a Modified Black Scholes method. For the three months ended March 31, 2021, the Company recognized a gain to the unaudited condensed statement of operations resulting from a decrease in the fair value of liabilities of approximately $3.0 million presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed 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 and Modified Black Scholes method are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s 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 dates:
 
    
As of
March 9, 2021
   
As of
March 31, 2021
 
Volatility
     17.0     15.0
Stock price
   $ 10.00     $ 10.00  
Expected life of the options to convert
     5       5  
Risk-free rate
     0.83     0.92
Dividend yield
     0.0     0.0
The change in the fair value of the derivative warrant liabilities for the period for the three months ended March 31, 2021 is summarized as follows:
 
Level 3- Derivative warrant liabilities at December 31, 2020
   $ —    
Issuance of derivative warrant liabilities
     21,086,630  
Change in fair value of derivative warrant liabilities
     (3,039,510
Level 3 -Derivative warrant liabilities at March 31, 2021
   $ 18,047,120