Fair Value Measurements

3 Months Ended

Mar. 31, 2021

Fair Value Measurements

Fair Value Measurements

Note 9—Fair Value Measurements

A reconciliation of the beginning and ending balances of the derivative liabilities is summarized below:

Beginning of period
Warrant liabilities – Public		21,390,000
Warrant liabilities – Private		11,449,330
Forward purchase agreement		7,692,950
Beginning of period total	$	40,532,280
Change in fair value of warrant liabilities – Public		(9,246,000)
Change in fair value of warrant liabilities – Private		(4,949,060)
Change in fair value of forward purchase agreement		(6,935,120)
End of period	$	19,402,100

The following tables present information about the Company’s financial assets that are measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020, respectively, by level within the fair value hierarchy:

	Fair Value Measured as of March 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	414,080,084	$	—	$	—	$	414,080,084
Liabilities:
Derivative liabilities - public warrants	$	12,144,000	$	—	$	—	$	12,144,000
Derivative liabilities - private placement warrants	$	—	$	6,500,270	$	—	$	6,500,270
Derivative liabilities - forward purchase agreement	$	—	$	—	$	757,830	$	757,830
Total liabilities	$	12,144,000	$	6,500,270	$	757,830	$	19,402,100

	Fair Value Measured as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	414,020,525	$	—	$	—	$	414,020,525
Liabilities:
Derivative liabilities - public warrants	$	—	$	—	$	21,390,000	$	21,390,000
Derivative liabilities - private placement warrants	$	—	$	—	$	11,449,330	$	11,449,330
Derivative liabilities - forward purchase agreement	$	—	$	—	$	7,692,950	$	7,692,950
Total liabilities	$	—	$	—	$	40,532,280	$	40,532,280

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 and the estimated fair value of the Private Placement Warrants transferred from a Level 3 measurement to a Level 2 fair value measurement, as a result of the Public Warrants being listed price in an active in February 2021.

Prior to the Public Warrants being separately traded in an active market, the fair value of the Public Warrants issued in connection with the Public Offering and the Private Placement Warrants were measured using a binomial lattice model in a risk-neutral framework. The fair value of the forward purchase agreement is based on the fair value of the Company’s publicly traded Units on each valuation date, less the present value of the contractually stipulated forward price of $10.00. Beginning in February 2021, the fair value of the Public Warrants are determined based on the listed price in an active market for such warrants and the fair value of the Private Placement Warrants is estimated to be approximately equal to that of the Public Warrants given the low likelihood of the Company’s ordinary share price exceeding $18.00 by the start of the exercise period.

For the three months ended March 31, 2021, the Company recognized a non-operating gain in the unaudited condensed statement of operations resulting from a decrease in the fair value of derivative liabilities of approximately $21.1 million, which is presented as change in fair value of derivative liabilities in the accompanying unaudited condensed statement of operations.

The estimated fair value of the Private Placement Warrants and the Public Warrants, as of December 31, 2020 was determined using Level 3 inputs. The Company estimates the volatility of its ordinary share warrants based on implied volatility from historical volatility of select peer company’s ordinary shares that matches the expected remaining life of the warrants.

The following table provides quantitative information regarding Level 3 fair value measurements inputs as of each measurement date:

	As of			As of
	March 31, 2021			December 31, 2020
Share price, used in warrant valuations		n/a		$	10.02
Unit price, used in forward valuation	$	10.05		$	10.54
Exercise price, warrants		n/a		$	11.50
Exercise price, forward	$	10.00		$	10.00
Term (in years), used in warrant valuations		n/a			6.00
Term (in years), used in forward valuation		0.71			0.96
Volatility		n/a			21.00	%
Risk-free interest rate, used in warrant valuations		n/a			0.50	%
Risk-free interest rate, used in forward valuation		0.06	%		0.10	%
Expected dividends		n/a			n/a

The change in the fair value of the derivative warrant liabilities, classified as Level 3, for the period for the three months ended March 31, 2021 is summarized as follows:

Level 3 derivative liabilities at December 31, 2020	$	40,532,280
Transfers out of Level 3		(32,839,330)
Change in fair value		(6,935,120)
Level 3 derivative liabilities at March 31, 2021	$	757,830