Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS

v3.22.2.2
FAIR VALUE MEASUREMENTS
12 Months Ended
Dec. 31, 2020
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 11. 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 2019, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

 

 

 

 

 

 

 

 

 

 

    

 

    

December 31,

    

December 31,

Description

    

Level

    

 2020

    

 2019

Assets:

 

 

 

 

 

 

 

 

Cash and marketable securities held in Trust Account

 

 1

 

$

696,957,196

 

$

695,295,418

 

 

 

 

 

 

 

 

 

Liabilities: Warrant Liabilities – Public Warrants

 

 1

 

 

45,310,000

 

 

32,660,000

Warrant Liabilities – Private Placement Warrants

 

 3

 

 

32,548,000

 

 

23,700,000

Prosus Agreement liability

 

 3

 

 

50,481,190

 

 

 —

Conversion option liability

 

 3

 

 

1,604,359

 

 

 —

 

The Derivative Instruments were accounted for as liabilities in accordance with ASC 815‑40 and are measured at fair value at inception and on a recurring basis, with changes in fair value recorded in the statement of operations.

The Warrants were valued as of July 1, 2019 using a Monte Carlo simulation, which is considered to be a Level 3 fair value measurement. The Monte Carlo simulation’s primary unobservable input utilized in determining the fair value of the Warrants is the probability of consummation of the Business Combination. The probability assigned to the consummation of the Business Combination was 80% which was estimated based on the observed success rates of business combinations for special purpose acquisition companies. The expected volatility as of the Initial Public Offering date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units is classified as Level 1 due to the use of an observable market quote in an active market under the ticker CVII.WS.

As of December 31, 2019 and December 31, 2020, the estimated fair value of Warrant Liability – Private Placement Warrants were determined using a Black-Scholes valuation and based on the following significant inputs:

 

 

 

 

 

 

 

 

 

 

 

As of December 31,

 

As of December 31,

 

 

    

 2019

    

 2020

 

Exercise price

 

$

11.50

 

$

11.50

 

Stock price

 

$

10.44

 

$

10.35

 

Volatility

 

 

20.00

%  

 

30.0

%

Probability of completing a Business Combination

 

 

80.0

%  

 

85

%

Term

 

 

5.33

 

 

5.11

 

Risk-free rate

 

 

1.74

%  

 

0.38

%

Dividend yield

 

 

0.0

%  

 

0.0

%

 

At inception, the Prosus Agreement Liability consisted of two components: a commitment for the First Step Investment and a call option for the Second Step Investment. Subsequent to Prosus exercising its call option, the Prosus Agreement Liability represented a commitment. The commitment and call option were valued using forward contract valuation methodology and a Black Scholes model, respectively. Both valuation methodologies were considered to be Level 3 fair value measurements. As of December 31, 2020 the Option had been exercised and the First Step Investment commitment was valued using a forward contract valuation methodology. As of inception and December 31, 2020, the estimated fair value of Prosus Agreement Liability was determined based on the following significant inputs:

 

 

 

 

 

 

 

 

 

 

 

As of October 12, 

 

As of December 31,

 

 

    

2020

    

 2020

 

Exercise price

 

$

*400.0

M  

$

500.0

M

Underlying value

 

$

436.8

M  

$

550.3

M

Volatility

 

 

40

%  

 

N/A

 

Term

 

 

0.08

 

 

0.33

 

Risk-free rate

 

 

0.10

%  

 

0.09

%

Dividend yield

 

 

0.00

%  

 

0.00

%


(*) M is defined as million.

The Conversion option liability was valued using a Black Scholes model, which was considered to be a Level 3 fair value measurement. At inception and December 31, 2020, the estimated fair value of Conversion option liability was determined based on the following significant inputs:

 

 

 

 

 

 

 

 

 

 

 

As of November 2,

 

As of December 31,

 

 

    

2020

    

2020

 

Exercise price

 

$

1.00

 

$

1.00

 

Underlying warrant value

 

$

1.92

*

$

 2.06

*

Volatility

 

 

125.0

%  

 

110.0

%

Number of Class A Shares

 

 

*1.5

M

 

1.5

M

Term

 

 

0.28

 

 

0.11

 

Risk-free rate

 

 

0.09

%  

 

0.08

%

Dividend yield

 

 

0.0

%  

 

0.0

%


(*) M is defined as million.

*The underlying warrant value equals the calculated fair value of the private placement warrants as of each date presented and determined based on the following significant inputs:

 

 

 

 

 

 

 

 

 

 

 

As of November 2,

 

As of December 31,

 

 

    

 2020

    

 2020

 

Exercise price

 

$

11.50

 

$

11.50

 

Stock price

 

$

9.97

 

$

10.35

 

Volatility

 

 

30.0

%  

 

30.0

%

Probability of completing a Business Combination

 

 

85.0

%  

 

85.0

%

Term

 

 

5.28

 

 

5.11

 

Risk-free rate

 

 

0.41

%  

 

0.38

%

Dividend yield

 

 

0.0

%  

 

0.0

%

 

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

 

 

 

 

 

 

 

 

 

 

 

 

    

 

 

    

 

 

    

Warrant 

 

    

Private Placement

    

Public

    

Liabilities

Fair value as of April 11, 2019 (inception)

 

$

 —

 

$

 —

 

$

 —

Initial measurement on July 1, 2019

 

 

15,800,000

 

 

22,310,000

 

 

38,110,000

Change in valuation inputs or other assumptions

 

 

7,900,000

 

 

10,350,000

 

 

18,250,000

Fair value as of December 31, 2019

 

 

23,700,000

 

 

32,660,000

 

 

56,360,000

Change in valuation inputs and other assumptions

 

 

8,848,000

 

 

12,650,000

 

 

21,498,000

Fair value as of December 31, 2020

 

$

32,548,000

 

$

45,310,000

 

$

77,858,000

 

The following table presents the change in the fair value of the Prosus Agreement liability:

 

 

 

 

 

Fair value as of January 1, 2020

    

$

 —

Initial measurement on October 12, 2020

 

 

45,045,478

Change in valuation inputs and other assumptions

 

 

5,432,712

Fair value as of December 31, 2020

 

$

50,481,190

 

The following table presents the change in the fair value of conversion option:

 

 

 

 

 

Fair value as of January 1, 2020

    

$

 —

Initial measurement on November 2, 2020

 

 

1,493,877

Change in valuation inputs and other assumptions

 

 

110,482

Fair value as of December 31, 2020

 

$

1,604,359