Fair Value Measurements

12 Months Ended

Dec. 31, 2020

Note 8—Fair Value Measurements

The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020 and 2019 and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

December 31, 2020


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets
Investments held in Trust Account Money Market Funds	$	316,991,065	$	—	$	—
Liabilities
Public Warrants		161,456,462		—		—
Private Placement Warrants		—		—		158,469,002

		161,456,462		—		158,469,002

December 31, 2019


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets
Investments held in Trust Account Money Market Funds	$	316,398,889	$	—	$	—
Liabilities
Public Warrants		6,282,349		—		—
Private Placement Warrants		—		—		3,312,941

		6,282,349		—		3,312,941

Level 1 instruments include investments in money market funds and U.S. Treasury securities, and the Public Warrants when representative market prices were available based on the public trading of the Public Warrants.

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. In the case of the Public Warrants, the Company used a Binomial-Lattice Model (“BLM”) that assumes optimal exercise of the Company’s redemption option at the earliest possible date. In the case of the Private Placement Warrants, since they were also subject to the make-whole table, the Company used a BLM as well. Inherent in options pricing models are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility input based on the observed price of its Public Warrants, when available. Otherwise, the volatility input is based on implied volatilities of guideline companies. The risk-free interest rate is based on the U.S. Treasury 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 a probability-weighted average between a two-year life (in the event that there is no business combination) and the contractual life (if a business combination is consummated) of the Warrants. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. For all of the periods presented, the probability assigned to the consummation of a business combination was in the range of 75% - 90%. For the below valuation dates, when a public market price for the stock was not available, the closest available date where a public market price was available for such stock was used instead.

The following table provides quantitative information regarding fair value assumptions for the Public Warrants (fair values, and related inputs and assumptions, of Private Placement Warrants and Public Warrants were materially consistent between July 30, 2019 (IPO Closing Date) and September 6, 2019 (Overallotment Option exercise date by investors):

The following table provides quantitative information regarding fair value assumptions for the Public Warrants:


	Initial measurement (July 30 and September 6, 2019)
Stock price		9.82
Exercise price		11.50
Expected term		5.38
Volatility		8.60	%
Risk-free rate		1.85	%
Dividend yield		0	%
Probability of completing a Business Combination		75	%

The following table provides quantitative information regarding fair value assumptions for the Private Placement Warrants:


	Initial measurement (July 30 and September 6, 2019)			September 30, 2019			December 31, 2019
Market price of public stock		9.82			9.71			9.80
Exercise price		11.50			11.50			11.50
Expected term		5.38			5.21			4.96
Volatility		8.60	%		14.10	%		10.50	%
Risk-free rate		1.85	%		1.55	%		1.68	%
Dividend yield		0	%		0	%		0	%
Probability of completing a Business Combination		75	%		75	%		75	%


	March 30, 2020			June 30, 2020			September 30, 2020			December 31, 2020
Market price of public stock		9.65			10.05			15.60			40.08
Exercise price		11.50			11.50			11.50			11.50
Expected term		4.71			4.46			4.59			4.47
Volatility		14.20	%		15.10	%		46.30	%		74.30	%
Risk-free rate		0.36	%		0.26	%		0.26	%		0.31	%
Dividend yield		0	%		0	%		0	%		0	%
Probability of completing a Business Combination		75	%		75	%		90	%		90	%

The change in the fair value of the warrant liabilities is summarized as follows:


	Warrant liabilities (Level 3)
Fair value as of May 10, 2019 (inception)		—
Issuance of Public Warrants and Private Placement Warrants		8,635,764
Change in fair value of Public Warrants and Private Placement Warrants		959,526
Transfer of Public Warrants from Level 3 to Level 1 measurement		(6,282,349	)

Fair value of Private Placement Warrants as of December 31, 2019		3,312,941
Change in fair value of Private Placement Warrant s		155,156,061
Fair value of Private Placement Warrants as of December 31, 2020		158,469,002

Transfers to/from Levels 1 and 3 are recognized at the end of the reporting period. There were no transfers between levels for the year ended December 31, 2020. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value

measurement at December 31, 2019.

- 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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