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Fair Value Measurements

3 Months Ended

Jun. 30, 2021

4. Fair Value Measurements

The Company's fair value hierarchy for its financial assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2021, is as follows:


	Level 1		Level 2		Level 3		Total
	(in thousands)
Liabilities
Public Warrants	$	51,363,551	$	—	$	—	$	51,363,551
Private Placement Warrants		—		24,585,417		—		24,585,417
Total liabilities	$	51,363,551	$	24,585,417	$	—	$	75,948,968

The fair value of cash, restricted cash, accounts receivable, accounts payable, and accrued liabilities are stated at their carrying value, which approximates fair value due to the short time to the expected receipt or payment date as of June 30, 2021 and March 31, 2021. The Public Warrants are classified as Level 1 due to the use of an observable market quote in an active market. The Private Placement Warrants (“Private Warrants”) are classified as Level 2 due to the use of observable market data for identical or similar liabilities. There were no financial instruments as of March 31, 2021 and no other financial instruments in the Level 1, Level 2 or Level 3 categories as of June 30, 2021.

As of June 30, 2021, the Company has Private Placement Warrants and Public Warrants ("Warrants") defined and discussed in Note 10, "Common Stock and Warrants". The Warrants are measured at fair value on a recurring basis. The Company performs routine procedures such as comparing prices obtained from independent sources to ensure that appropriate fair values are recorded. Because the transfer of Private Placement Warrants to anyone outside of certain permitted transferees of VG Acquisition Sponsor LLC (the “Sponsor”) would result in the Private Placement Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant is consistent with that of a Public Warrant, with an insignificant adjustment for short-term marketability restrictions. Accordingly, the Private Placement Warrants are classified as Level 2 financial instruments. The Public and Private Warrants were valued as of June 30, 2021 using the listed trading price of $3.03 per Public Warrant.

The change in the fair value of warrant liabilities is as follows:


	Warrant Liabilities
	(in thousands)
Balance at March 31, 2021	$	—
Private Placement Warrants and Public Warrants		75,415
Exercised warrants		—
Change in fair value of warrants		534
Balance at June 30, 2021	$	75,949

As of June 30, 2021, the Company had no transfers between levels of the fair value hierarchy of its assets or liabilities measured at fair value.

- 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.

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