Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.21.1
FAIR VALUE MEASUREMENTS (Tables)
6 Months Ended
Dec. 31, 2020
FAIR VALUE MEASUREMENTS  
Summary of assets and liabilities that are measured at fair value on a recurring basis

 

 

 

 

 

 

 

    

 

 

    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

 

Summary of significant inputs in the valuation model for the fair value of warrant liabilities

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%

 

Summary of change in fair value of the warrant liabilities

 

 

 

 

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.