FAIR VALUE MEASUREMENTS

3 Months Ended

Dec. 31, 2020

NOTE 10. FAIR VALUE MEASUREMENTS

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


Beginning of period	$	—
Acquisition date fair value of derivative liabilities:
Public warrants issued in the initial public offering		19,458,000
Private placement warrants issued in connection with the initial public offering (1)		10,415,200
Forward Purchase Agreement liability (2)		4,045,920
Total acquisition date fair value of derivative liabilities		33,919,120
Change in fair value of warrant liabilities - Public		1,932,000
Change in fair value of warrant liabilities - Private		1,034,130
Change in fair value of forward purchase agreement		3,647,030
End of period	$	40,532,280

(1)

The acquisition date fair value of the private placement warrants issued in connection with the initial public offering is $10,415,200. The private placement warrants were issued at $11,080,000 (See Note 5. Private Placement above) therefore $664,800 of Cash received in private placement excess of initial fair value is recorded in Additional Paid-in Capital on the Statement of Changes in Shareholders Deficit.

(2)

The liability associated with the forward purchase agreement entered on December 15, 2020, was recorded as a loss from issuance of the forward purchase agreement and is included in the change in fair value of derivative liabilities as of December 31, 2020.

The following table presents information about the Company’s assets and liabilities that are measured on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.


	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 (Restated)	$	—	$	—	$	40,532,280	$	40,532,280

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers between levels for the period ended December 31, 2020.

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. For the period from September 28, 2020 (inception) through December 31, 2020, the Company recognized a non-operating loss in the statement of operations resulting from an increase in the fair value of derivative liabilities of approximately $10.7 million presented as change in fair value of derivative liabilities in the accompanying 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. 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 at their measurement dates:


	As of			As of
	December 15,			December 31,
	2020			2020
Share price	$	9.81		$	10.02
Exercise price	$	11.50		$	11.50
Term (in years)		6.00			6.00
Volatility		20.50	%		21.00	%
Risk-free interest rate		0.51	%		0.50	%
Expected dividends		0.00	%		0.00	%

The change in the fair value of derivative liabilities measured using Level 3 inputs for the period from September 28, 2020 (inception) through December 31, 2020 is summarized as follows:


Level 3 derivative liabilities at December 15, 2020
Issuance of Public, Private Warrants	$	29,873,200
Change in fair value of derivative liabilities		10,659,080
Level 3 derivative liabilities at December 31, 2020	$	40,532,280

- 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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