v3.21.2
Recurring Fair Value Measurements
5 Months Ended 6 Months Ended
Dec. 31, 2020
Jun. 30, 2021
CIK_0001819810_Genesis Park Acquisition Corp [Member]    
Recurring Fair Value Measurements

Note 7 — Recurring Fair Value Measurements

Investment Held in Trust Account

As of December 31, 2020, the investments in the Company’s Trust Account consisted of $95 in U.S. Money Market funds and $166,243,519 in U.S. Treasury Securities. All of the U.S. Treasury Securities mature on May 27, 2021. The Company classifies its United States Treasury securities as held-to-maturity in accordance with FASB ASC 320 “Investments — Debt and Equity

Securities.” Held-to-maturity treasury securities are recorded at amortized cost and adjusted for the amortization or accretion of premiums or discounts. The Company considers all investments with original maturities of more than three months but less than one year to be short-term investments. The carrying value approximates the fair value due to its short-term maturity. The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on December 31, 2020 are as follows:

Fair Value

Carrying

Gross

Gross

as of

Value/Amortized

 Unrealized

Unrealized

December 31,

    

  Cost

    

 Gains

    

  Losses

    

   2020

U.S. Money Market

$

95

$

$

$

95

U.S. Treasury Securities

166,243,519

10,751

(12,968)

166,230,551

$

166,243,614

$

10,751

$

(12,968)

$

166,230,646

Fair values of its investments are classified as Level 1 utilizing quoted prices (unadjusted) in active markets for identical assets.

Warrant Liability

At December 31, 2020, the Company’s warrant liability was valued at $36,549,753. Under the guidance in ASC 815-40 the warrants do not meet the criteria for equity treatment. As such, the warrants must be recorded on the balance sheet at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s Statement of Operations.

Recurring Fair Value Measurements

The following table presents fair value information as of December 31, 2020 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. Since all of the Company’s permitted investments consist of U. S. Treasury Bills or U.S. Money Market, fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets. The Company’s warrant liability is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The fair value of the warrant liability is classified within Level 3 of the fair value hierarchy. For the period ending December 31, 2020 there were to transfers into or out of Level 1, Level 2 or Level 3 classification.

The following table sets forth by level within the fair value hierarchy our financial assets and liabilities that were accounted for at fair value on a recurring basis:

Significant

Significant Other

Other

Quoted Prices in

Observable

Unobservable

    

 Active Markets 

    

 Inputs 

    

   Inputs 

(Level 1)

(Level 2)

(Level 3)

Assets

Investments held in Trust Account—U.S. Money Market

$

95

$

$

Investments held in Trust Account—U.S. Treasury

$

166,230,551

$

$

Liabilities

  

  

  

Public Warrants

$

$

$

17,605,944

Private Warrants

$

$

$

18,943,809

Measurement

The Company established the initial fair value for the Warrants on November 27, 2020, the date of the consummation of the Company’s IPO. On December 31, 2020 the fair value was remeasured. For both periods, neither the Public Warrants nor the Private Warrants were separately traded on an open market. As such, the Company used a Monte Carlo simulation model to value the Public Warrants and a modified Black-Scholes model to value the Private Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary shares and one-half of one Public Warrant), (ii) the sale of Private Warrants, and (iii) the issuance of Class B ordinary shares, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption (temporary

equity), Class A ordinary shares (permanent equity) and Class B ordinary shares (permanent equity) based on their relative fair values at the initial measurement date. The Warrants were classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs.

The key inputs into the Monte Carlo simulation model and the modified Black-Scholes model were as follows at initial measurement and at December 31, 2020:

November 27, 2020

Input

    

 (Initial Measurement)

    

December 31, 2020

 

Risk-free interest rate

0.44

%  

0.43

%

Expected term (years)

5.0

5.0

 

Expected volatility

 

40.0

%  

40.0

%

Exercise price

$

11.50

$

11.50

Probability of completing a Business Combination

 

80

%  

 

80

%

Dividend yield

 

0

%  

 

0

%

Expected stock price at De-SPAC

$

10.00

$

10.00

The change in the fair value of the warrant liabilities for the period ended December 31, 2020 is summarized as follows:

Fair value at issuance November 27, 2020

    

$

36,549,753

Change in fair value

 

Fair Value at December 31, 2020

$

36,549,753

Note 7 — Recurring Fair Value Measurements

Investments Held in Trust Account

As of December 31, 2020, the investments in the Company’s Trust Account consisted of $95 in U.S. Money Market funds and $166,243,519 in U.S. Treasury Securities. All of the U.S. Treasury Securities matured on May 27, 2021. The Company classifies its United States Treasury securities as held-to-maturity in accordance with FASB ASC 320 “Investments — Debt and Equity Securities.” Held-to-maturity treasury securities are recorded at amortized cost and adjusted for the amortization or accretion of premiums or discounts. The Company considers all investments with original maturities of more than three months but less than one year to be short-term investments. The carrying value approximates the fair value due to its short-term maturity.

The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on December 31, 2020 are as follows:

    

Carrying

    

    

    

Fair Value

    

Value/

    

Gross

    

Gross

    

as of

    

Amortized

    

Unrealized

    

Unrealized

    

December 31,

    

Cost

    

Gains

    

Losses

    

2020

U.S. Money Market

$

95

$

$

$

95

U.S. Treasury Securities

 

166,243,519

 

10,751

 

(12,968)

 

166,230,551

$

166,243,614

$

10,751

$

(12,968)

$

166,230,646

At June 30, 2021, all of the Company’s trust assets on the consolidated balance sheet consist of U. S. Money Market funds which are classified as cash equivalents. Fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets.

Warrant Liability

At June 30, 2021 and December 31, 2020, the Company’s warrant liability was valued at $41,166,837 and $36,549,753, respectively. Under the guidance in ASC 815-40 the warrants do not meet the criteria for equity treatment. As such, the warrants must be recorded on the balance sheet at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations.

Recurring Fair Value Measurements

The following tables presents fair value information as of June 30, 2021 and December 31, 2020 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. Since all of the Company’s permitted investments consist U.S. Money Market funds, fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets. The Company’s warrant liability for the Private Warrants is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The fair value of the Private Warrant liability is classified within Level 3 of the fair value hierarchy. The Company’s warrant liability for the Public Warrants is based on quoted prices (unadjusted) with less volume and transaction frequency than active markets. The fair value of the

Public Warrant liability is classified within Level 2 of the fair value hierarchy. For the period ending June 30, 2021 the Public Warrants were reclassified from a Level 3 to a Level 2 classification.

The following table sets forth by level within the fair value hierarchy our financial assets and liabilities that were accounted for at fair value on a recurring basis:

June 30, 2021

 

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets

 

  

 

  

 

  

Investments held in Trust Account—U.S. Money Market

$

166,290,257

$

$

Invest Liabilities

 

  

 

  

 

  

Public Warrants

$

$

19,980,699

$

Private Warrants

$

$

$

21,186,138

December 31, 2020

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets

Investments held in Trust Account—T-Bills

$

166,232,864

$

$

Invest Liabilities

 

  

 

  

 

  

Public Warrants

$

$

17,605,944

$

Private Warrants

$

$

$

18,943,809

Measurement

On June 30, 2021 and December 31, 2020, the Company used a modified Black-Scholes model to value the Private Warrants. The warrants were classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs.

The key inputs into the modified Black Scholes model were as follows at December 31, 2020 and at June 30, 2021:

 

Input

    

December 31, 2020

    

June 30, 2021

 

Risk-free interest rate

 

0.43

%  

0.90

%

Expected term (years)

 

5.0

 

5.17

Expected volatility

 

40.0

%  

32.5

%

Exercise price

$

11.50

$

11.50

Probability of completing a Business Combination

 

80

%  

 

N/A

Dividend yield

 

0

%  

 

0

%

Expected stock price at De-SPAC

$

10.00

$

10.31

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for our Warrants classified as Level 3:

 

Fair value at December 31, 2020

    

$

36,549,753

Public Warrants reclassified to level 2(1)

 

(17,933,496)

Change in fair value

 

2,569,881

Fair Value at June 30, 2021

$

21,186,138

(1)

Assumes the Public Warrants were reclassified on March 31, 2021.