NOTE 11. FAIR VALUE MEASUREMENTS

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

Level 1:

Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Level 2:

Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

Level 3:

Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

The Company classifies its U.S. Treasury and equivalent securities as held-to-maturity in accordance with ASC Topic 320 “Investments - Debt and Equity Securities.” Held-to-maturity securities are those securities which the Company has the ability and intent to hold until maturity. Held-to-maturity treasury securities are recorded at amortized cost on the accompanying balance sheet and adjusted for the amortization or accretion of premiums or discounts.

At December 31, 2020, assets held in the Trust Account were comprised of $91 in cash and $312,507,938 in U.S. Treasury securities. During the year ended December 31, 2020, the Company did not withdraw any interest income from the Trust Account.

The following table presents information about the gross holding gains and fair value of held-to-maturity securities at December 31, 2020:

	Held-To-Maturity		Level				Amortized Cost				Gross Holding Gain				Fair Value
December 31, 2020	U.S. Treasury Securities (Matured on 3/11/2021)			1			$	312,507,938			$	(10,694	)		$	312,497,244

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

	Level		December 31, 2020
Assets:
Marketable securities held in Trust Account		1	$	312,497,244

Liabilities:
Warrant Liability – Public Warrants		3	$	20,625,000
Warrant Liability – Private Placement Warrants		3	$	10,982,000

Initial Measurement

The Company established the initial fair value for the Warrants on December 11, 2020, the date of the Company’s Initial Public Offering, using a Monte Carlo Simulation for the Public Warrants and a Black-Scholes analysis for the Private Placement Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary shares and one-half of one Public Warrant), (ii) the sale of Private Placement Warrants, (iii) the sale of Private Placement Units (which is inclusive of one Private Placement Share and one-half of one redeemable warrant (CAVU Private Placement Warrant)) and (iv) the issuance of Class B ordinary shares, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption, Class A ordinary shares and Class B ordinary shares based on their relative fair values at the initial measurement date. The CAVU Private Placement Warrants are included within the Public Warrant value throughout the tables below.

The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

Warrant Liability – Public Warrants			3			$	15,156,250
Warrant Liability – Private Placement Warrants			3			$	8,075,000

The key inputs into the Black-Scholes and Monte Carlo simulation models, respectively, for the Private Placement Warrants and Public Warrants were as follows at initial measurement:

Input	December 11, 2020 (Initial Measurement)
Risk-free interest rate		0.57	%
Tine to maturity		6.50
Dividend yield		0.00	%
Expected volatility		17.50	%
Exercise price	$	11.50
Unit Price	$	9.51

On December 11, 2020, the Private Placement Warrants, Public Warrants and CAVU Private Placement Warrants were determined to be $1.00, $0.97 and $0.97 per warrant for aggregate values of $8.08 million and $15.16 million, respectively.

Subsequent Measurement

The Warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants was calculated using the Monte Carlo simulation. The subsequent measurement of the Private Placement Warrants was calculated using a Black Scholes analysis; however, this relies upon inputs derived from the Monte Carlo simulation of the public warrants; namely, the underlying stock price and the implied volatility from the traded Public Warrant price.

The key inputs into the warrant valuation for the Public Warrants and the Private Placement Warrants were as follows at December 31, 2020:

Input	Public Warrants			Private Placement Warrants
Risk-free interest rate		0.57	%		0.57	%
Expected Term		6.45			6.45
Dividend yield		0.00	%		0.00	%
Expected volatility		17.50	%		17.50	%
Exercise price	$	11.50		$	11.50
Unit Price	$	10.36		$	10.36

As of December 31, 2020, the aggregate values of the Private Placement Warrants and Public Warrants were $10.98 million and $20.63 million, respectively.

The following table presents the changes in the fair value of warrant liabilities:

	Private Placement		Public		Warrant Liabilities
Fair value as of October 5, 2020 (inception)	$	—	$	—	$	—
Initial measurement on December 11, 2020		8,075,000		15,156,250		23,231,250
Change in valuation of warrant liability		2,907,000		5,468,750		8,375,750
Fair value as of December 31, 2020	$	10,982,000	$	20,625,000	$	31,607,000

Subsequent to the initial measurement, the Company had no transfers in or out of Level 3 during the period from December 11, 2020 through December 31, 2020.

Level 3 financial liabilities consist of the Public Warrant and the Private Placement Warrant liability for which there is no current market for these securities such that the determination of fair value requires significant judgment or estimation. Changes in fair value measurements categorized within Level 3 of the fair value hierarchy are analyzed each period based on changes in estimates or assumptions and recorded as appropriate.