XML 24 R15.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

6 Months Ended

Jun. 30, 2021

Fair Value Measurements

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 June 30, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.


June 30, 2021
		Quoted Prices in Active			Significant Other			Significant Other
		Markets			Observable Inputs			Unobservable Inputs
Description		(Level 1)			(Level 2)			(Level 3)
Assets
Money market securities held in Trust Account		$	544,019,046		$	—		$	—

Liabilities
Derivative warrant liabilities -Public Warrants		$	32,276,400		$	—		$	—
Derivative warrant liabilities -Private Warrants		$	—		$	—		$	11,605,230


December 31, 2020
		Quoted Prices in Active			Significant Other			Significant Other
		Markets			Observable Inputs			Unobservable Inputs
Description		(Level 1)			(Level 2)			(Level 3)
Assets
Money market securities held in Trust Account		$	544,002,795		$	—		$	—

Liabilities
Derivative warrant liabilities -Public Warrants		$	26,292,580		$	—		$	—
Derivative warrant liabilities -Private Warrants		$	—		$	—		$	9,453,700

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. During the three and six months ended June 30, 2021 there were no transfers to/from Levels 1, 2, and 3.

Level 1 assets include investments in mutual funds that invest 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 Private Placement Warrants was initially and subsequently (each measurement date) measured using a Monte Carlo simulation model. The fair value of the Public Warrants were initially and subsequently measured at fair value using the Monte Carlo simulation model. Beginning as of December 31, 2020, the Public Warrants have been measured based on the listed market price of such warrants, a Level 1 measurement. For the three and six months ended June 30, 2021, the Company recognized a charge to the condensed statements of operations resulting from an increase in the fair value of liabilities of approximately $16.8 million and $8.1 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed statements of operations.

The estimated fair value of the Private Placement Warrants 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 ordinary share warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary share 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:


		6/30/2021			3/31/2021			12/31/2020
Volatility			25.86	%		17.70	%		22.10	%
Share price		$	9.95		$	9.88		$	10.02
Risk-free rate			0.87	%		0.92	%		0.36	%
Dividend yield			0.0	%		0.0	%		0.0	%

The change in the fair value of the derivative warrant liabilities for the period for the six months ended June 30, 2021 is summarized as follows:


		Public warrants			Private Warrants			Total
Warrant liabilities at December 31, 2020		$	26,292,580		$	9,453,700		$	35,746,280
Change in fair value of warrant liabilities			(6,346,490)			(2,281,930)			(8,628,420)
Warrant liabilities at March 31, 2021		$	19,946,090		$	7,171,770		$	27,117,860
Change in fair value of warrant liabilities			12,330,310			4,433,460			16,763,770
Warrant liabilities at June 30, 2021		$	32,276,400		$	11,605,230		$	43,881,630

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 + Details