Registration of securities issued in business combination transactions

Fair value measurements

v3.21.2
Fair value measurements
 3 Months Ended 12 Months Ended
Mar. 31, 2021
Dec. 31, 2020
Fair Value Disclosures [Abstract]    
Fair value measurements
NOTE 10—FAIR VALUE MEASUREMENTS
The Company follows the guidance in ASC 820 for its financial assets and liabilities that are
re-measured
and reported at fair value at each reporting period, and
non-financial
assets and liabilities that are
re-measured
and reported at fair value at least annually.
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 the Company’s assessment of the assumptions that market participants would use in pricing the asset or liability.
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at March 31, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Description
   
Level
     
March 31,
2021
     
December 31,
2020
  
Assets:
                           
Marketable securities held in Trust Account
      1      $ 318,053,820      $ 318,041,728  
Liabilities:
                           
Warrant Liability – Public Warrants
      1        26,723,125        23,244,375  
Warrant Liability – Private Placement Warrants
      3        19,730,250        12,487,500  
 
The Warrants were accounted for as liabilities in accordance with
ASC 815-40 and
are presented within warrant liabilities on our balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the consolidated statement of operations.
The Private Placement and Public Warrants were initially valued using a Binomial Lattice Model, which is considered to be a Level 3 fair value measurement. The Binomial Lattice Model’s primary unobservable input utilized in determining the fair value of the Public and Private Placement Warrants is the expected volatility of the common stock. The expected volatility as of the IPO date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The expected volatility as of subsequent valuation dates was implied from the Company’s own public warrant pricing. A Binomial Lattice Model was used in estimating the fair value of the Public Warrants for periods where no observable traded price were available, using the same expected volatility as was used in measuring the fair value of the Private Placement Warrants. For periods subsequent to the detachment of the warrants from the Units, the closing price of the Public Warrants was used as the fair value as of each relevant date.
The key inputs into the Binomial Lattice Model for the initial measurement of Public Warrants and Private Placement Warrants and subsequent measurement of the Private Place Warrants are as follows:
 
Input
   
March 31, 202
1
    
December 31, 2020
  
Risk-free interest rate
      0.88 %      0.38 % 
Market price of public stock
    $ 10.32     $ 10.47  
Dividend Yield
      0.00 %      0.00 % 
Implied volatility
      23.8 %      21.8 % 
Exercise price
      11.50     $ 11.50  
On December 31, 2020, the Private Placement Warrants and Public Warrants were determined to be valued at 
$
1.50
and $
1.47
per warrant for aggregate values of $
12.5
 million and $
23.2
 
million, respectively. On March 31, 2021, the Private Placement Warrants and Public Warrants were determined to be valued at 
$
2.37
and $
1.69
 per warrant for aggregate values of $
19.7
 million and $
26.7
 million, respectively.
The following table presents the changes in the fair value of warrant liabilities:
 
For the three month-period ended Mach 31, 2021
   
Private
Placement
     
Public
     
Warrant
Liabilities
  
Fair value as of January 1, 2021
    $ 12,487,500      $ 23,244,375      $ 35,731,875  
Change in valuation inputs or other assumptions
      7,242,750        3,478,750        10,721,500  
    
 
 
     
 
 
     
 
 
  
Fair value as of December 31, 2020
    $ 19,730,250      $ 26,723,125      $ 46,453,375  
    
 
 
     
 
 
     
 
 
  
 
For the three month-period ended Mach 31, 2020
   
Private
Placement
     
Public
     
Warrant
Liabilities
  
Fair value as of January 1, 2020
    $ 7,575,750      $ 14,231,250      $ 21,807,000  
Change in valuation inputs or other assumptions
      (1,914,750 )       (3,478,750 )       (5,393,500 ) 
    
 
 
     
 
 
     
 
 
  
Fair value as of March 31, 2020
    $ 5,661,000      $ 10,752,500      $ 16,413,500  
    
 
 
     
 
 
     
 
 
  
During the three-month periods ended March 31, 2021 and March 31, 2020, respectively, there were no transfers out of Level 3.
NOTE 12—FAIR VALUE MEASUREMENTS
The Company follows the guidance in ASC 820 for its financial assets and liabilities that are
re-measured
and reported at fair value at each reporting period, and
non-financial
assets and liabilities that are
re-measured
and reported at fair value at least annually.
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 the Company’s assessment of the assumptions that market participants would use in pricing the asset or liability.
 
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, 2019, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Description
   
Level
     
December 31,
2020
     
December 31,
2019
  
Assets:
                           
Marketable securities held in Trust Account
      1      $ 318,041,728      $ 316,958,514  
       
Liabilities:
                           
Warrant Liability – Public Warrants
      1        23,244,375        14,231,250  
Warrant Liability – Private Placement Warrants
      3        12,487,500        7,575,750  
The Warrants were accounted for as liabilities in accordance with ASC
815-40
and are presented within warrant liabilities on our balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the consolidated statement of operations.
The Private and Public Warrants were initially valued using a Binomial Lattice Model, which is considered to be a Level 3 fair value measurement. The Binomial Lattice Model’s primary unobservable input utilized in determining the fair value of the Public and Private Warrants is the expected volatility of the common stock. The expected volatility as of the IPO date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The expected volatility as of subsequent valuation dates was implied from the Company’s own public warrant pricing. A Binomial Lattice Model was used in estimating the fair value of the public warrants for periods where no observable traded price were available, using the same expected volatility as was used in measuring the fair value of the Private Warrants. For periods subsequent to the detachment of the warrants from the Units, the close price of the public warrant price was used as the fair value as of each relevant date.
 
The key inputs into the Binomial Lattice Model for the initial measurement of Public Warrants and Private Placement Warrants and subsequent measurement of the Private Place Warrants are as follows:
 
Input
  
November 5,
2019 (Initial
Measurement)
 
 
December 31,
2019
 
 
March 31,
2020
 
 
June 30,
2020
 
 
September 30,
2020
 
 
December 31,
2020
 
Risk-free interest rate
  
 
1.66
% 
 
 
1.76
% 
 
 
0.45
% 
 
 
0.35
% 
 
 
0.32
% 
 
 
0.38
% 
Market price of public stock
  
$
9.69
 
 
$
9.78
 
 
$
9.72
 
 
$
10.05
 
 
$
10.19
 
 
$
10.47
 
Dividend Yield
  
 
0.0
% 
 
 
0.0
% 
 
 
0.0
% 
 
 
0.0
% 
 
 
0.0
% 
 
 
0.0
% 
Implied volatility
  
 
10.7
% 
 
 
13.8
% 
 
 
14.4
% 
 
 
17.9
% 
 
 
22.1
% 
 
 
21.8
% 
Exercise price
  
$
11.50
 
 
$
11.50
 
 
$
11.50
 
 
$
11.50
 
 
$
11.50
 
 
$
11.50
 
On November 5, 2019, the Private Placement Warrants and Public Warrants were determined to be $0.62 and $0.61 per warrant for aggregate values of $4.7 million and $8.4 million, respectively. On December 31, 2019, the Private Placement Warrants and Public Warrants were determined to be $0.91 and $0.90 per warrant for aggregate values of $7.6 million and $14.2 million, respectively. On December 31, 2020, the Private Placement Warrants and Public Warrants were determined to be $1.50 and $1.47 per warrant for aggregate values of $12.5 million and $23.2 million, respectively.
The following table presents the changes in the fair value of warrant liabilities:
 
 
  
Private
Placement
 
  
Public
 
  
Warrant
Liabilities
 
Fair value as of January 1, 2018
  
$
—  
  
  
$
—  
  
  
$
—  
  
Initial measurement on November 5, 2019 (IPO)
  
 
4,650,000
 
  
 
8,387,500
 
  
 
13,037,500
 
Initial measurement on November 13, 2019 (over-allotment)
  
 
511,500
 
  
 
1,258,125
 
  
 
1,769,625
 
Change in valuation inputs or other assumptions
  
 
2,414,250
 
  
 
4,585,625
 
  
 
6,999,875
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of December 31, 2019
  
 
7,575,750
 
  
 
14,231,250
 
  
 
21,807,000
 
Change in valuation inputs or other assumptions
  
 
(1,914,750
) 
  
 
(3,478,750
) 
  
 
(5,393,000
) 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of March 31, 2020
  
 
5,661,000
 
  
 
10,752,500
 
  
 
16,413,500
 
Change in valuation inputs or other assumptions
  
 
3,163,500
 
  
 
5,850,625
 
  
 
9,014,125
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of June 30, 2020
  
 
8,824,500
 
  
 
16,603,125
 
  
 
25,427,625
 
Change in valuation inputs or other assumptions
  
 
3,080,250
 
  
 
5,534,375
 
  
 
8,614,625
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of September 30, 2020
  
 
11,904,750
 
  
 
22,137,500
 
  
 
34,042,250
 
Change in valuation inputs or other assumptions
  
 
582,750
 
  
 
1,106,875
 
  
 
1,689,625
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of December 31, 2020
  
$
12,487,500
 
  
$
23,244,375
 
  
$
35,731,875
 
 
  
 
 
 
  
 
 
 
  
 
 
 
 
 
  
Private
Placement
 
  
Public
 
  
Warrant
Liabilities
 
Fair value as of January 1, 2018
  
$
—  
  
  
$
—  
  
  
$
—  
  
Initial measurement on November 5, 2019
  
 
4,650,000
 
  
 
8,387,500
 
  
 
13,037,500
 
Initial measurement on November 13, 2019 (over-allotment)
  
 
511,500
 
  
 
1,258,125
 
  
 
1,769,625
 
Change in valuation inputs or other assumptions
  
 
2,414,250
 
  
 
4,585,625
 
  
 
6,999,875
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of December 31, 2019
  
 
7,575,750
 
  
 
14,231,250
 
  
 
21,807,000
 
Change in valuation inputs or other assumptions
  
 
4,911,750
 
  
 
9,013,125
 
  
 
13,924,875
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value as of December 31, 2020
  
$
12,487,500
 
  
$
23,244,375
 
  
$
35,731,875
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Due to the use of quoted prices in an active market (Level 1) to measure the fair value of the Public Warrants, subsequent to initial measurement, the Company had transfers out of Level 3 totaling $9,645,625 during the period from November 11, 2019 through December 31, 2019.