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Recurring Fair Value Measurements
 3 Months Ended
Mar. 31, 2021
Assets Held-in-trust [Abstract]  
Recurring Fair Value Measurements
Note 6—Recurring Fair Value Measurements
As of March 31, 2021, investment securities in the Company’s Trust Account consisted of a treasury securities fund in the amount of $277,852,728 which was held as money market funds. The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of March 31, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.
 
   
Carrying
Value
   
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 – Money Market Fund
  $277,852,728   $277,852,728   $—     $—   
   
 
 
   
 
 
   
 
 
   
 
 
 
   
$
277,852,728   
$
277,852,728   
$
—     
$
—   
   
 
 
   
 
 
   
 
 
   
 
 
 
Liabilities:
                    
Warrant Liabilities—Public Warrants
  $15,318,000   $
15,318,000
   
—     
—
 

 
Warrant Liabilities—Private Warrants
  $8,873,600    —      —     $8,873,600 
   
 
 
   
 
 
   
 
 
   
 
 
 
   $24,191,600   $
15,318,000
   
—     $8,873,600 
   
 
 
   
 
 
   
 
 
   
 
 
 
The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2020, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.
 
   
Carrying
Value
   
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 – Money Market Fund
  $277,845,876   $277,845,876   $—     $—   
   
 
 
   
 
 
   
 
 
   
 
 
 
   
$
277,845,876   
$
277,845,876   
$
—     
$
—   
   
 
 
   
 
 
   
 
 
   
 
 
 
Liabilities:
                    
Warrant Liabilities—Public Warrants
  $23,460,000   $
23,460,000
    —      
—
 
 

 
Warrant Liabilities—Private Warrants
  $13,160,000    —      —     $13,160,000 
   
 
 
   
 
 
   
 
 
   
 
 
 
   $36,620,000   $
23,460,000
    —     $13,160,000 
   
 
 
   
 
 
   
 
 
   
 
 
The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the consolidated statement of operations. The Private Warrants were initially valued using a Black Scholes Option Pricing Model.
The Private Warrants are considered to be a Level 3 fair value measurements due to the use of unobservable inputs. The Black Scholes Option Pricing Model’s primary unobservable input utilized in determining the fair value of the Private Warrants is the expected volatility of the ordinary shares. The expected volatility as of the IPO date was derived from the post-merger announced publicly traded warrants for comparable SPAC companies as of the valuation date. A Monte Carlo Simulation Method was used in estimating the fair value of the public warrants for periods where no observable traded price was available, using the same expected volatility as was used in measuring the fair value of the Private Warrants. For periods subsequent to the detachment of the warrants from the Units, including March 31, 2021, the closing price of the public warrants was used as the fair value as of each relevant date.
The key inputs into the Black Scholes Option Pricing Model for the Private Warrants were as follows at initial measurement and each of the following balance sheet dates:
 
Input
  
December 31, 2020
 
 
March 31, 2021
 
Risk-free interest rate
  
 
0.47
% 
 
 
1.14
% 
Expected term (years)
  
 
5.00
 
 
 
5.00
 
Expected volatility
  
 
22.0
% 
 
 
17.0
% 
Dividend yield
  
 
0.0
% 
 
 
0.0
% 
Exercise price
  
$
11.50
 
 
$
11.50
 
Asset Price
  
$
10.48
 
 
$
10.00
 
The following table presents the changes in the fair value of warrant liabilities:
 
 
  
Private Warrants
 
  
Public Warrants
 
  
Warrant Liabilities
 
Fair value as of December 31, 2020
  
$
13,160,000
 
  
$
23,460,000
 
  
$
36,620,000
 
Change in valuation inputs or other assumptions
  
 
(4,286,400
) 
  
 
(8,142,000
) 
  
 
(12,428,400
) 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of March 31, 2021
  
$
8,873,600
 
  
$
15,318,000
 
  
$
24,191,600
 
 
  
 
 
 
  
 
 
 
  
 
 
 
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.