Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS

v3.21.1
FAIR VALUE MEASUREMENTS
6 Months Ended
Dec. 31, 2020
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 8. 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 our 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 indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

 

 

 

 

 

 

    

 

 

    December

 

 

 

 

31,

Description

 

Level

 

2020

Assets:

 

  

 

 

  

Marketable securities held in Trust Account

 

Level 1

 

$

243,380,833

Liabilities:

 

 

 

 

 

Public Warrants

 

Level 1

 

$

17,235,686

Private Unit Warrants

 

Level 3

 

 

209,629

$11.50 Exercise Price Warrants

 

Level 3

 

 

3,488,911

$15 Exercise Price Warrants

 

Level 3

 

 

1,447,997

Underwriter Warrants

 

Level 3

 

 

53,880

Total warrant liabilities

 

 

 

$

22,436,103

 

The fair value of the marketable securities held in the Trust Account approximates the carrying amount primarily due to their short-term nature.

The estimated fair value of Private Unit Warrants, $11.50 Exercise Price Warrants, $15 Exercise Price Warrants and Underwriter Warrants is determined using Level 3 inputs in a Monte-Carlo simulation model. Inherent in a Monte-Carlo simulation model are assumptions related to expected stock-price volatility (pre-merger and post-merger), expected term, dividend yield and risk-free interest rate. The Company estimates the volatility of its common stock based on factors including but not limited to the historical performance of the Nasdaq Financial Technology Index (KFTX) and managements understanding of the volatility associated with instruments of other similar entities. The risk-free interest rate is based on the U.S. Treasury Constant Maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.

Following are the significant inputs in the valuation model for the fair value of warrant liabilities as of December 31, 2020:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

 

 

    

$11.50

    

$15.00

    

 

 

 

Private Unit

 

Exercise Price 

 

Exercise Price

 

Underwriter

Inputs

 

Warrant

 

Warrant

 

Warrant

 

Warrant

Exercise price

 

$

11.50

 

$

11.50

 

$

15.00

 

$

11.50

Unit price

 

$

10.00

 

$

10.00

 

$

10.00

 

$

10.00

Volatility

 

 

5% pre-merger  / 20% post-merger

 

 

5% pre-merger  / 20% post-merger

 

 

5% pre-merger  / 20% post-merger

 

 

5% pre-merger  / 20% post-merger

Probability of completing a Business Combination

 

 

60%

 

 

60%

 

 

60%

 

 

60%

Expected term of the warrants

 

 

6.75

 

 

6.75

 

 

11.75

 

 

6.75

Risk-free rate

 

 

0.12% pre- merger / 0.36% post-merger

 

 

0.12% pre- merger / 0.36% post-merger

 

 

0.12% pre- merger / 0.93% post-merger

 

 

0.12% pre- merger / 0.36% post-merger

Dividend yield

 

 

0

 

 

0

 

 

0

 

 

0

Discount for lack of marketability

 

 

15%

 

 

15%

 

 

15%

 

 

15%

 

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

 

 

 

 

Warrant liabilities as of June 24, 2020 (inception)

    

$

 —

Warrant liability recorded at issuance of warrants at close of IPO and private placement as of October 2, 2020, as adjusted for the issuance of warrants pursuant to the Underwriters’ over-allotment option

 

 

14,583,290

Total warrant liabilities as of October 2, 2020, including for warrants issued in over-allotment

 

$

14,583,290

Change in fair value of warrant liabilities

 

 

7,852,813

Total warrant liabilities as of December 31, 2020(1)

 

$

22,436,103

 

(1)Due to the use of quoted prices in an active market for Public Warrants as of December 31, 2020, the Company had transfers out of Level 3 to Level 1 amounting to $17,235,686 as of December 31, 2020.  The Company deems the transfer between levels to have occurred at the end of the period.