NOTES
TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Note
1—Description of Organization, Business Operations and Basis of Presentation
TWC
Tech Holdings II Corp. (the “Company”) is a blank check company incorporated in Delaware on July 20, 2020. The Company
was formed for the purpose of effecting a merger, capital stock exchange, asset acquisition, stock purchase, reorganization or similar
business combination with one or more businesses (the “Business Combination”). The Company is an emerging growth company
and, as such, the Company is subject to all of the risks associated with emerging growth companies.
As of June 30, 2021, the
Company had not commenced any operations. All activity for the period from July 20, 2020 (inception) through June 30, 2021 relates
to the Company’s formation and Initial Public Offering as defined below described below, and the search for a target for its initial
Business Combination. The Company will not generate any operating revenues until after the completion of its initial Business Combination,
at the earliest. The Company will generate non-operating income in the form of interest income on cash and cash equivalents from
the proceeds derived from the Initial Public Offering and placed in Trust Account (as defined below) and will be subject to non-cash fluctuations
in its statement of operations due to changes in the fair value of its derivative warrant liabilities.
On
April 8, 2021, the Company entered into a Business Combination Agreement (as defined below), as discussed below.
The Company’s sponsor
is TWC Tech Holdings II, LLC (the “Sponsor”), a Delaware limited liability company and an affiliate of certain officers and
directors of the Company. The registration statement for the Company’s initial public offering (the “Initial Public Offering”)
was declared effective on September 10, 2020. On September 15, 2020, the Company consummated its Initial Public Offering of 60,000,000 units
(the “Units” and, with respect to the Class A common stock included in the Units being offered, the “Public Shares”), which
included 7,500,000 Units issued pursuant to the partial exercise by the underwriters of their over-allotment option, at $10.00 per
Unit, generating gross proceeds of $600.0 million, and incurring offering costs of approximately $33.6 million, inclusive of
$21.0 million in deferred underwriting commissions (Notes 4 and 5).
Simultaneously
with the closing of the Initial Public Offering, the Company consummated the private placement (“Private Placement”) of 9,666,667
warrants (each, a “Private Placement Warrant” and collectively, the “Private Placement Warrants”) to the Sponsor,
each exercisable to purchase one share of Class A common stock at $11.50 per share, at a price of $1.50 per Private Placement Warrant,
generating gross proceeds to the Company of $14.5 million (Note 4).
Upon
the closing of the Initial Public Offering and the Private Placement, $600.0 million of the net proceeds of the sale of
the Units in the Initial Public Offering and the sale of Private Placement Warrants in the Private Placement were placed in a trust
account (“Trust Account”) located in the United States with American Stock Transfer & Trust Company acting
as trustee, and invested only in U.S. “government securities” within the meaning of Section 2(a)(16) of the Investment
Company Act of 1940, as amended (the “Investment Company Act”) having a maturity of 185 days or less or in money market
funds meeting certain conditions under Rule 2a-7 promulgated under the Investment Company Act which invest only in direct U.S.
government treasury obligations, as determined by the Company. Except with respect to interest earned on the funds held in the Trust
Account that may be released to the Company for amounts withdrawn to fund the Company’s working capital requirements, subject to
an annual limit of $500,000, and/or to pay taxes, the funds held in the Trust Account will not be released until the earliest of: (1)
the completion of the initial Business Combination; (2) the redemption of any Public Shares properly submitted in connection with a stockholder
vote to amend the Company’s amended and restated certificate of incorporation (the “Certificate of Incorporation”)
(i) to modify the substance or timing of the Company’s obligation to provide for the redemption of its Public Shares in connection
with an initial Business Combination or to redeem 100% of its Public Shares if the Company does not complete its initial Business Combination
within the completion window or (ii) with respect to any other material provisions relating to the rights of holders of the Class A common
stock prior to the initial Business Combination or pre-initial Business Combination business activity; and (3) the redemption of all
of the Public Shares if the Company is unable to complete its initial Business Combination within the completion window, subject to applicable
law.
The
Company’s management has broad discretion with respect to the specific application of the net proceeds of the Initial Public Offering
and the sale of Private Placement Warrants, although substantially all of the net proceeds are intended to be applied generally toward
consummating a Business Combination. There is no assurance that the Company will be able to complete a Business Combination successfully.
The Company must complete one or more initial Business Combinations having an aggregate fair market value of at least 80% of the net
assets held in the Trust Account (net of amounts disbursed to management for working capital purposes and excluding the deferred underwriting
commissions and taxes payable on the interest earned on the Trust Account) at the time of the agreement to enter into the initial Business
Combination. However, the Company will only complete a Business Combination if the post-transaction company owns or acquires 50%
or more of the voting securities of the target or otherwise acquires a controlling interest in the target sufficient for it not to be
required to register as an investment company under the Investment Company Act.
The
Company will provide the holders (the “Public Stockholders”) of the Company’s Public Shares with the opportunity to
redeem all or a portion of their Public Shares upon the completion of the Business Combination in connection with a stockholder meeting
called to approve the Business Combination. The Public Stockholders will be entitled to redeem their Public Shares for a pro rata portion
of the amount then held in the Trust Account (initially anticipated to be $10.00 per Public Share). The per-share amount to be distributed
to Public Stockholders who redeem their Public Shares will not be reduced by the deferred underwriting commissions that the Company will
pay to the underwriters (as discussed in Note 5). These Public Shares were recorded at a redemption value and classified as temporary
equity upon the completion of the Initial Public Offering in accordance with the Financial Accounting Standards Board’s (“FASB”)
Accounting Standards Codification (“ASC”) Topic 480 “Distinguishing Liabilities from Equity.” The Company will
proceed with the Business Combination if a majority of the shares voted are voted in favor of the Business Combination. The Company will
offer to redeem shares in conjunction with a proxy solicitation pursuant to the proxy rules, and each Public Stockholder may elect to
redeem their Public Shares, irrespective of whether they vote for or against the proposed transaction. However, the Company will not
redeem the Public Shares in an amount that would cause its net tangible assets to be less than $5,000,001. When the Company seeks stockholder
approval in connection with the Business Combination, the Initial Stockholders (as defined below) have agreed to vote their Founder Shares
(as defined below) and any Public Shares purchased during or after the Initial Public Offering in favor of the Business Combination.
In addition, the Initial Stockholders have agreed to waive their redemption rights with respect to their Founder Shares and Public Shares
in connection with the completion of the Business Combination.
The
Certificate of Incorporation provides that a Public Stockholder, together with any affiliate of such stockholder or any other person
with whom such stockholder is acting in concert or as a “group” (as defined under Section 13 of the Securities Exchange
Act of 1934, as amended (the “Exchange Act”)), will be restricted from redeeming its shares with respect to more than an
aggregate of 15% or more of the Public Shares, without the prior consent of the Company.
The
Sponsor and any other holders of the Founder Shares immediately prior to the Initial Public Offering (the “Initial Stockholders”),
as well as the Company’s officers and directors, have agreed not to propose an amendment to the Certificate of Incorporation to
modify the substance or timing of the Company’s obligation to redeem 100% of the Public Shares if the Company does not complete
a Business Combination within the Combination Period (as defined below) or with respect to any other material provisions relating to
stockholders’ rights or pre-initial Business Combination activity, unless the Company provides the Public Stockholders with
the opportunity to redeem their Public Shares in conjunction with any such amendment.
If
the Company is unable to complete a Business Combination within 24 months from the closing of the Initial Public Offering, or September
15, 2022, (or 27 months from the closing of the Initial Public Offering if the Company has executed a letter of intent, agreement
in principle or definitive agreement for an initial Business Combination within 24 months from the closing of the Initial Public
Offering, or December 15, 2022) (the “Combination Period”), the Company will (i) cease all operations except for the
purpose of winding up; (2) as promptly as reasonably possible but not more than ten business days thereafter, redeem the Public
Shares, at a per share price, payable in cash, equal to the aggregate amount then on deposit in the Trust Account calculated as of two
business days prior to the consummation of the initial Business Combination, including interest (net of amounts withdrawn to fund our
working capital requirements, subject to an annual limit of $500,000, and/or to pay for the Company’s taxes and up to $100,000
of interest to pay dissolution expenses), divided by the number of then outstanding Public Shares, which redemption will completely extinguish
Public Stockholders’ rights as stockholders (including the right to receive further liquidating distributions, if any), subject
to applicable law; and (3) as promptly as reasonably possible following such redemption, subject to the approval of the remaining
stockholders and the board of directors, dissolve and liquidate, subject in each case to the Company’s obligations under Delaware
law to provide for claims of creditors and the requirements of other applicable law.
The
Initial Stockholders agreed to waive their rights to liquidating distributions from the Trust Account with respect to the Founder Shares
if the Company fails to complete a Business Combination within the Combination Period. However, if the Initial Stockholders acquire Public
Shares in or after the Initial Public Offering, they will be entitled to liquidating distributions from the Trust Account with respect
to such Public Shares if the Company fails to complete a Business Combination within the Combination Period. The underwriters have agreed
to waive their rights to the deferred underwriting commission (see Note 5) held in the Trust Account in the event the Company does not
complete a Business Combination within the Combination Period and, in such event, such amounts will be included with the other funds
held in the Trust Account that will be available to fund the redemption of the Public Shares. In the event of such distribution, it is
possible that the per share value of the residual assets remaining available for distribution (including Trust Account assets) will be
only $10.00. In order to protect the amounts held in the Trust Account, the Sponsor has agreed to be liable to the Company if and to
the extent any claims by a third party (except for the Company’s independent registered public accounting firm) for services rendered
or products sold to the Company, or a prospective target business with which the Company has entered into a letter of intent, confidentiality
or other similar agreement or business combination agreement (a “Target”), reduce the amount of funds in the Trust Account
to below the lesser of (i) $10.00 per Public Share and (ii) the actual amount per Public Share held in the Trust Account as of the date
of the liquidation of the Trust Account, if less than $10.00 per Public Share due to reductions in the value of the trust assets, less
taxes payable, provided that such liability will not apply to any claims by a third party or Target that executed a waiver of any and
all rights to the monies held in the Trust Account (whether or not such waiver is enforceable) nor will it apply to any claims under
the Company’s indemnity of the underwriters of the Initial Public Offering against certain liabilities, including liabilities under
the Securities Act of 1933, as amended (the “Securities Act”). The Company will seek to reduce the possibility that the Sponsor
will have to indemnify the Trust Account due to claims of creditors by endeavoring to have all vendors, service providers (except for
the Company’s independent registered public accounting firm), prospective target businesses or other entities with which the Company
does business, execute agreements with the Company waiving any right, title, interest or claim of any kind in or to monies held in the
Trust Account.
Proposed
Business Combination
On April 8, 2021, the Company,
Cellebrite DI Ltd., a company organized under the laws of the State of Israel (“Cellebrite”) and Cupcake Merger Sub, Inc.,
a Delaware corporation and a direct wholly owned subsidiary of Cellebrite (“Merger Sub”), entered into a Business Combination
Agreement and Plan of Merger (the “Business Combination Agreement”), providing for, among other things, and subject to the
terms and conditions therein, a Business Combination between the Company and Cellebrite (pursuant to which, among other things, Merger
Sub will merge with and into the Company at the Effective Time (as defined in the Business Combination Agreement), with the Company continuing
as the surviving entity and as a wholly owned subsidiary of Cellebrite.
The
Business Combination Agreement provides that, among other things and upon the terms and subject to the conditions thereof, the following
transactions will occur in order to effect the Business Combination:
(i) (a) immediately
prior to the Effective Time, the outstanding preferred shares of Cellebrite will be converted into ordinary shares of Cellebrite (“Cellebrite
Ordinary Shares” and each, a “Cellebrite Ordinary Share”), (b) immediately following such conversion, Cellebrite will
effect a stock split (the “Stock Split”) pursuant to which each Cellebrite Ordinary Share will be converted into a number
of Cellebrite Ordinary Shares equal to (A)(x) the equity value of Cellebrite (which will be based on an enterprise valuation of Cellebrite
of $1,707,192,607 and certain adjustments thereto as set forth in the Business Combination Agreement), divided by (y) the number
of Cellebrite Ordinary Shares (determined on a fully-diluted basis in the manner set forth in the Business Combination Agreement) issued
and outstanding following such conversion of preferred shares of Cellebrite, divided by (B) $10.00 (which shall be equitably
adjusted for stock splits, reverse stock splits, stock dividends, reorganizations, recapitalizations, reclassifications, combination,
exchange of shares or other like change or transaction with respect to shares of Class A common stock of the Company occurring prior to
the Effective Time) (the “Reference Price”), in each case as calculated pursuant to terms and methodologies set forth in the
Business Combination Agreement (the transactions described in the foregoing clauses (a) and (b), the “Capital Restructuring”),
(c) immediately prior to the Effective Time, each share of Class B common stock of the Company will be automatically converted into one
(1) share of Class A common stock of the Company (a “Company Share”), and (d) immediately prior to the Effective Time, the
Company Shares and the Company Public Warrants (as defined below) comprising each issued and outstanding Company unit shall be automatically
separated and the holder thereof shall be deemed to hold one (1) Company Share and 1/3 of one Company Public Warrant;
(ii) at
the closing of the transactions contemplated by the Business Combination Agreement (the “Closing”), upon the terms
and subject to the conditions thereof, and in accordance with the Delaware General Corporation Law, as amended or restated, Merger Sub
will merge with and into the Company at the Effective Time (the “Merger”), the separate corporate existence of Merger
Sub will cease and the Company will continue as the surviving corporation in the Merger and as a wholly owned subsidiary of Cellebrite;
(iii) at the Effective Time,
as a result of the Merger, (a) each Company Share will be converted into the right to receive: (x) an amount of cash equal to the greater
of $0 and the quotient of (A)(x) $120,000,000 minus (y) the amount of Company Stockholder redemptions, divided by (B)
the number of Company Shares outstanding as of immediately prior to the Effective Time but after the conversion described in sub-clause(i)
(c) above (other than any treasury shares of the Company) (the “Per Share Cash Consideration”) and (y) a number of Cellebrite
Ordinary Shares equal to the quotient of (A)(x) the Reference Price minus the (y) Per Share Cash Consideration, divided
by the (B) Reference Price (the “Per Share Equity Consideration” and together with the Per Share Cash Consideration,
the “Merger Consideration”), (b) each warrant of the Company will be converted into a warrant of Cellebrite (“Cellebrite
Warrants” and each, a “Cellebrite Warrant”), exercisable for the amount of Merger Consideration that the holder thereof
would have received if such warrant had been exercisable and exercised immediately prior to the Business Combination and (c) each option
and restricted stock unit of Cellebrite will remain outstanding, subject to adjusted terms to reflect the effect of the Stock Split on
Cellebrite Ordinary Shares; and
(iv)
following the Business Combination, holders of Cellebrite Ordinary Shares and vested restricted share units, in each case as of immediately
prior to the Effective Time, will be eligible to receive additional Cellebrite Ordinary Shares post-Closing upon the achievement of certain
trading price targets, or upon a Change of Control (as defined in the Business Combination Agreement) of Cellebrite, before the five
(5) year anniversary of the Closing Date.
On the date of Closing and prior
to the conversion of preferred shares of Cellebrite described above, an initial dividend of $21,300,000 will be declared by Cellebrite’s
board of directors and paid to the holders of Cellebrite Ordinary Shares and holders of vested restricted stock units of Cellebrite. An
additional dividend of $78,700,000 (which was approved by the Israeli district court on May 23, 2021) will also be payable at such time
to the holders of Cellebrite Ordinary Shares and holders of vested restricted stock units.
The Business Combination
Agreement is subject to the satisfaction or waiver of certain customary closing conditions, including, among others, (i) obtaining required
approvals of the Business Combination and related matters by the respective stockholders of the Company and Cellebrite, (ii) the effectiveness
of the registration statement on Form F-4 filed by Cellebrite in connection with the Business Combination, (iii) receipt of approval for
the listing on Nasdaq of Cellebrite Ordinary Shares and Cellebrite Warrants to be issued in connection with the Business Combination,
(iv) that Cellebrite has at least $2,000,001 of net tangible assets upon the Closing (after giving effect to any Company Stockholder redemptions),
(v) that the Company has at least $5,000,001 of net tangible assets (after giving effect to any Company Stockholder redemptions), (vi)
the completion of the Capital Restructuring, (vii) the absence of a continuing Company Material Adverse Effect (as defined in the Business
Combination Agreement), (viii) either (a) the issuance of a Transaction Tax Ruling (as defined in the Business Combination Agreement)
reasonably satisfactory to the Company or, at Cellebrite’s sole and absolute discretion, the written undertaking of Cellebrite to
indemnify Company Stockholders and holders of Company warrants from certain Israeli taxes incurred by such parties, (ix) the amount of
cash and cash equivalents in the Company’s Trust Account (after giving effect to redemptions of Company Shares and payment of Company
expenses), together with the aggregate amount actually received from the PIPE investor pursuant to the PIPE investment, any backstop financing
received by the Company prior to the Effective Time, and the amount of cash and cash equivalents held by the Company without restriction
outside of its Trust Account and interest earned on cash held inside of its Trust Account (less indebtedness or other accrued payment
obligations not constituting Company expenses), equaling at least $300,000,000, (x) the accuracy of the each party’s representations
and warranties, except generally as would not have a Company Material Adverse Effect or SPAC Material Adverse Effect (as applicable, and
in each case as defined in the Business Combination Agreement) and in the case of certain fundamental representations, in all material
respects, (xi) compliance with pre-closing covenants in all material respects, (xii) the absence of any legal restraints or injunctions
enjoining or prohibiting the consummation of the Business Combination and (xiii) the receipt, expiration or termination of applicable
government approvals and antitrust waiting periods.
For
additional information see the Company’s Current Report on Form 8-K filed with the SEC on April 8, 2021 including the announcement,
full Business Combination Agreement and other related agreements.
Basis
of Presentation
The
accompanying unaudited condensed financial statements of the Company have been prepared in accordance with United States generally accepted
accounting principles (“U.S. GAAP”) for financial information and Article 8 of Regulation S-X. Accordingly, they do not include
all of the information and footnotes required by U.S. GAAP. In the opinion of management, all adjustments (consisting of normal accruals)
considered for a fair presentation have been included. Operating results for the three and six months ended June 30, 2021 are not necessarily
indicative of the results that may be expected for the year ending December 31, 2021 or any future period.
The
accompanying unaudited condensed financial statements should be read in conjunction with the audited financial statements and notes thereto
included in the Form 10-K/A filed by the Company with the SEC on May 7, 2021.
Emerging
Growth Company
The
Company is an “emerging growth company,” as defined in Section 2(a) of the Securities Act, as modified by the Jumpstart
Our Business Startups Act of 2012 (the “JOBS Act”), and it may take advantage of certain exemptions from various reporting
requirements that are applicable to other public companies that are not emerging growth companies including, but not limited to, not
being required to comply with the independent registered public accounting firm attestation requirements of Section 404 of the Sarbanes-Oxley
Act of 2002, reduced disclosure obligations regarding executive compensation in its periodic reports and proxy statements, and exemptions
from the requirements of holding a nonbinding advisory vote on executive compensation and stockholder approval of any golden parachute
payments not previously approved.
Further,
Section 102(b)(1) of the JOBS Act exempts emerging growth companies from being required to comply with new or revised financial
accounting standards until private companies (that is, those that have not had a Securities Act registration statement declared effective
or do not have a class of securities registered under the Exchange Act) are required to comply with the new or revised financial accounting
standards. The JOBS Act provides that an emerging growth company can elect to opt out of the extended transition period and comply with
the requirements that apply to non-emerging growth companies but any such an election to opt out is irrevocable. The Company has
elected not to opt out of such extended transition period, which means that when a standard is issued or revised and it has different
application dates for public or private companies, the Company, as an emerging growth company, can adopt the new or revised standard
at the time private companies adopt the new or revised standard.
This
may make comparison of the Company’s financial statements with another public company that is neither an emerging growth company
nor an emerging growth company that has opted out of using the extended transition period difficult or impossible because of the potential
differences in accounting standards used.
Liquidity
and Capital Resources
As
of June 30, 2021, the Company had approximately $866,000 in its operating bank account and working capital deficit of approximately $953,000.
The
Company’s liquidity needs to date have been satisfied through a contribution of $25,000 from Sponsor to cover for certain expenses
in exchange for the issuance of the Founder Shares, the loan of approximately $264,000 from the Sponsor pursuant to a Note (defined below,
see Note 4), and the proceeds from the consummation of the Private Placement not held in the Trust Account. The Company fully repaid
the Note (as defined in Note 4) as of September 15, 2020. In addition, in order to finance transaction costs in connection with
a Business Combination, the Sponsor or an affiliate of the Sponsor, or certain of the Company’s officers and directors may, but
are not obligated to, provide the Company Working Capital Loans (defined below, see Note 4). As of June 30, 2021 and December 31, 2020,
there were no amounts outstanding under the Working Capital Loans.
Based
on the foregoing, management believes that the Company will have sufficient working capital and borrowing capacity from the Sponsor or
an affiliate of the Sponsor, or certain of the Company’s officers and directors to meet its needs through the earlier of the consummation
of a Business Combination or one year from this filing. Over this time period, the Company will be using these funds for paying existing
accounts payable, identifying and evaluating prospective initial Business Combination candidates, performing due diligence on prospective
target businesses, paying for travel expenditures, selecting the target business to merge with or acquire, and structuring, negotiating
and consummating the Business Combination.
Note
2—Summary of Significant Accounting Policies
Use
of Estimates
The
preparation of the unaudited condensed financial statements in conformity with U.S. GAAP requires the Company’s management to make
estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities
at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Making estimates
requires management to exercise significant judgment. It is at least reasonably possible that the estimate of the effect of a condition,
situation or set of circumstances that existed at the date of the financial statements, which management considered in formulating its
estimate, could change in the near term due to one or more future confirming events. One of the more significant accounting estimates
included in these financial statements is the determination of the fair value of the warrant liability. Such estimates may be subject
to change as more current information becomes available and, accordingly, the actual results could differ significantly from those estimates.
Cash
and Cash Equivalents
The
Company considers all short-term investments with an original maturity of three months or less when purchased to be cash equivalents.
As of June 30, 2021, there were no cash equivalents held outside the Trust Account.
Investments
Held in Trust Account
The
Company’s portfolio of investments is comprised of U.S. government securities, within the meaning set forth in Section 2(a)(16)
of the Investment Company Act, with a maturity of 185 days or less, or investments in money market funds that invest in U.S. government
securities and generally have a readily determinable fair value, or a combination thereof. When the Company’s investments held
in the Trust Account are comprised of U.S. government securities, the investments are classified as trading securities. When the Company’s
investments held in the Trust Account are comprised of money market funds, the investments are recognized at fair value. Trading securities
and investments in money market funds are presented on the balance sheets at fair value at the end of each reporting period. Gains and
losses resulting from the change in fair value of these securities is included in income on investments held in the Trust Account in
the accompanying unaudited condensed statement of operations. The estimated fair values of investments held in the Trust Account are
determined using available market information.
Concentration
of Credit Risk
Financial
instruments that potentially subject the Company to concentrations of credit risk consist of cash accounts in a financial institution,
which, at times, may exceed the Federal Deposit Insurance Corporation coverage limit of $250,000, and any investments held in Trust Account.
As of June 30, 2021, the Company had not experienced losses on these accounts and management believes the Company is not exposed to significant
risks on such accounts.
Fair
Value of Financial Instruments
Fair
value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction
between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs
used in measuring fair value.
The
hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1
measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers include:
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Level 1,
defined as observable inputs such as quoted prices for identical instruments in active markets;
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Level 2, defined as inputs
other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments
in active markets or quoted prices for identical or similar instruments in markets that are not active; and
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Level 3, defined as unobservable
inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations
derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
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In
some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In
those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the lowest level input
that is significant to the fair value measurement.
As
of June 30, 2021 and December 31, 2020, the carrying values of cash, prepaid expenses, accounts payable, accrued expenses, due to related
party, and franchise tax payable approximate their fair values due to the short-term nature of the instruments. The Company’s portfolio
of investments held in the Trust Account is comprised of investments in U.S. Treasury securities with an original maturity of 185 days
or less or investments in money market funds that invest in U.S. government securities, or a combination thereof. The fair value for
trading securities is determined using quoted market prices in active markets.
The
fair value of the Public Warrants issued in connection with the Initial Public Offering were initially measured at fair value using a
Monte Carlo simulation model and subsequently have been measured based on the listed market price of such warrants. The fair value of
the Private Placement Warrants has been estimated using Black-Scholes option pricing model.
Offering Costs
Associated with the Initial Public Offering
Offering
costs consisted of legal, accounting, underwriting fees and other costs incurred that were directly related to the Initial Public Offering.
Offering costs are allocated to the separable financial instruments issued in the Initial Public Offering based on a relative fair value
basis, compared to total proceeds received. Offering costs associated with derivative warrant liabilities are expensed as incurred, presented
as non-operating expenses in the unaudited condensed statement of operations. Offering costs associated with the Public Shares were charged
to stockholders’ equity upon the completion of the Initial Public Offering.
Derivative Warrant Liabilities
The
Company does not use derivative instruments to hedge exposures to cash flow, market, or foreign currency risks. Management evaluates
all of its financial instruments, including issued stock purchase warrants, to determine if such instruments are derivatives or contain
features that qualify as embedded derivatives, pursuant to ASC 480 and ASC 815-15. The classification of derivative instruments, including
whether such instruments should be recorded as liabilities or as equity, is re-assessed at the end of each reporting period. Offering
costs attributable to the issuance of the derivative warrant liabilities are recognized in the statement of operations as incurred.
The
Public Warrants and the Private Placement Warrants are recognized as derivative liabilities in accordance with ASC 815. Accordingly,
the Company recognizes the warrant instruments as liabilities at fair value and adjusts the carrying value of the instruments to fair
value at each reporting period until they are exercised. The initial fair value of the Public Warrants issued in connection with the
Initial Public Offering were estimated using a Monte Carlo model in a risk-neutral framework. The fair value of the Public Warrants as
of June 30, 2021 is based on observable listed prices for such warrants. The fair value of the Private Placement Warrants as of June
30, 2021 is determined using Black-Scholes option pricing model. The determination of the fair value of the warrant liability may be
subject to change as more current information becomes available and accordingly the actual results could differ significantly. Derivative
warrant liabilities are classified as non-current liabilities as their liquidation is not reasonably expected to require the use of current
assets or require the creation of current liabilities.
Class A Common
Stock Subject to Possible Redemption
The
Company accounts for its Class A common stock subject to possible redemption in accordance with the guidance in ASC Topic 480 “Distinguishing
Liabilities from Equity.” Shares of Class A common stock subject to mandatory redemption (if any) are classified as liability
instruments and are measured at fair value. Conditionally redeemable shares of Class A common stock (including shares of Class A
common stock that feature redemption rights that are either within the control of the holder or subject to redemption upon the occurrence
of uncertain events not solely within the Company’s control) are classified as temporary equity. At all other times, shares of
Class A common stock are classified as stockholders’ equity. Shares of Class A common stock of the Company feature certain
redemption rights that are considered to be outside of the Company’s control and subject to the occurrence of uncertain future
events. Accordingly, as of June 30, 2021 and December 31, 2020, 52,036,922 and 52,675,478 shares of Class A common stock subject
to possible redemption were presented as temporary equity, respectively, outside of the stockholders’ equity section of the Company’s
unaudited condensed balance sheet.
Income Taxes
The
Company follows the asset and liability method of accounting for income taxes. Deferred tax assets and liabilities are recognized for
the estimated future tax consequences attributable to differences between the financial statement carrying amounts of existing assets
and liabilities and their respective tax bases. Deferred tax assets and liabilities are measured using enacted tax rates expected to
apply to taxable income in the years in which those temporary differences are expected to be recovered or settled. The effect on deferred
tax assets and liabilities of a change in tax rates is recognized in income in the period that included the enactment date. Valuation
allowances are established, when necessary, to reduce deferred tax assets to the amount expected to be realized. As of June 30, 2021
and December 31, 2020, the Company had a deferred tax asset of approximately $533,000, and $38,000, respectively, each of which had a
full valuation allowance recorded against them.
The
Company complies with the accounting and reporting requirements of FASB ASC 740, “Income Taxes,” which requires an asset
and liability approach to financial accounting and reporting for income taxes. Deferred income tax assets and liabilities are computed
for differences between the financial statement and tax bases of assets and liabilities that will result in future taxable or deductible
amounts, based on enacted tax laws and rates applicable to the periods in which the differences are expected to affect taxable income.
Valuation allowances are established, when necessary, to reduce deferred tax assets to the amount expected to be realized. The Company
does not currently have taxable income but will generate taxable income in the future primarily consisting of interest income earned
on the Trust Account. The Company’s general and administrative costs are generally considered start-up costs and are not currently
deductible. During the three and six months ended June 30, 2021, the Company did not incur income tax expense.
There
were no unrecognized tax benefits as of June 30, 2021. FASB ASC 740 prescribes a recognition threshold and a measurement attribute for
the financial statement recognition and measurement of tax positions taken or expected to be taken in a tax return. For those benefits
to be recognized, a tax position must be more-likely-than-not to be sustained upon examination by taxing authorities. The Company recognizes
accrued interest and penalties related to unrecognized tax benefits as income tax expense. No amounts were accrued for the payment of
interest and penalties as of June 30, 2021 and December 31, 2020. The Company is currently not aware of any issues under review that
could result in significant payments, accruals or material deviation from its position. The Company is subject to income tax examinations
by major taxing authorities since inception. The Company’s management does not expect that the total amount of unrecognized tax
benefits will materially change over the next twelve months.
Net Income (Loss)
Per Share of Common Stock
The
Company’s condensed statements of operations include a presentation of net income (loss) per share for Class A common stock subject
to possible redemption in a manner similar to the two-class method of net income (loss) per common stock. Net income (loss) per common
stock, basic and diluted, for Class A common stock is calculated by dividing the interest income earned on the Trust Account, less interest
available to be withdrawn for the payment of taxes, by the weighted average number of Class A common stock outstanding for the periods.
Net income (loss) per common stock, basic and diluted, for Class B common stock is calculated by dividing the net income (loss), adjusted
for income attributable to Class A common stock, by the weighted average number of Class B common stock outstanding for the periods.
Class B common stock include the Founder Shares as these common stocks do not have any redemption features and do not participate in
the income earned on the Trust Account.
The
calculation of diluted net income (loss) per common stock does not consider the effect of the warrants issued in connection with the
(i) Initial Public Offering, (ii) exercise of over-allotment and (iii) Private Placement since the exercise price of the warrants is
in excess of the average common stock price for the period and therefore the inclusion of such warrants would be anti-dilutive.
The following
table reflects the calculation of basic and diluted net income (loss) per share of common stock:
|
|
For
the
three months
ended
June 30, 2021
|
|
|
For
the
six months
ended
June 30, 2021
|
|
Class A common stock
|
|
|
|
|
|
|
Numerator: Income allocable to Class A common stock
|
|
|
|
|
|
|
Income from investments held in Trust Account
|
|
$
|
47,574
|
|
|
$
|
78,043
|
|
Less: Company’s portion available
to be withdrawn to pay taxes
|
|
|
(47,574
|
)
|
|
|
(78,043
|
)
|
Net income attributable
|
|
$
|
-
|
|
|
$
|
-
|
|
Denominator: Weighted average Class A common stock
|
|
|
|
|
|
|
|
|
Basic and diluted weighted average
shares outstanding, Class A common stock
|
|
|
60,000,000
|
|
|
|
60,000,000
|
|
Basic and diluted net income per
share, Class A common stock
|
|
$
|
0.00
|
|
|
$
|
0.00
|
|
|
|
|
|
|
|
|
|
|
Class B common stock
|
|
|
|
|
|
|
|
|
Numerator: Net income (loss) minus net income allocable to Class A common
stock
|
|
|
|
|
|
|
|
|
Net income (loss)
|
|
$
|
(22,803,158
|
)
|
|
$
|
(6,399,767
|
)
|
Net income allocable to Class A
common stock
|
|
|
-
|
|
|
|
-
|
|
Net income (loss) attributable
|
|
$
|
(22,803,158
|
)
|
|
$
|
(6,399,767
|
)
|
Denominator: Weighted average Class B common stock
|
|
|
|
|
|
|
|
|
Basic and diluted weighted average
shares outstanding, Class B common stock
|
|
|
15,000,000
|
|
|
|
15,000,000
|
|
Basic and diluted net loss per share,
Class B common stock
|
|
$
|
(1.52
|
)
|
|
$
|
(0.43
|
)
|
Recent Accounting Standards
In
August 2020, the FASB issued ASU No. 2020-06, Debt—Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives
and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an
Entity’s Own Equity (“ASU 2020-06”), which simplifies accounting for convertible instruments by removing major
separation models required under current GAAP. The ASU also removes certain settlement conditions that are required for equity-linked
contracts to qualify for the derivative scope exception, and it simplifies the diluted earnings per share calculation in certain areas. The
Company early adopted ASU 2020-06 on January 1, 2021. Adoption of the ASU did not impact the Company’s financial position, results
of operations or cash flows.
The
Company’s management does not believe that any other recently issued, but not yet effective, accounting standards if currently
adopted would have a material effect on the accompanying financial statements.
Note 3—Initial Public Offering
On September 15, 2020,
the Company consummated its Initial Public Offering of 60,000,000 Units, which included 7,500,000 Units issued pursuant
to the partial exercise by the underwriters of their over-allotment option, at $10.00 per Unit, generating gross proceeds of $600.0 million,
and incurring offering costs of approximately $33.6 million, inclusive of $21.0 million in deferred underwriting commissions.
Each
Unit consists of one share of Class A common stock and one-third of one redeemable warrant (each, a “Public Warrant”).
Each Public Warrant entitles the holder to purchase one share of Class A common stock at a price of $11.50 per share, subject to
adjustment (see Note 6).
Note 4—Related
Party Transactions
Founder Shares
On
July 20, 2020, the Sponsor subscribed to purchase 15,093,750 shares of the Company’s Class B common stock, par value
$0.0001 per share (the “Founder Shares”), for an aggregate price of $25,000, and subsequently paid for the subscription on
July 24, 2020. The Sponsor agreed to forfeit up to 1,968,750 Founder Shares to the extent that the over-allotment option was
not exercised in full by the underwriters. Subsequently, the Sponsor transferred 25,000 Founder Shares to each of the four independent
director nominees, at the original per share purchase price. The aggregate 100,000 Founder Shares held by the independent director nominees
were not subject to forfeiture in the event the underwriters’ over-allotment option was not exercised. The forfeiture would
be adjusted to the extent that the over-allotment option was not exercised in full by the underwriters so that the Founder Shares
would represent 20% of the Company’s issued and outstanding shares after the Initial Public Offering (assuming the Initial Stockholders
do not purchase any Units in the Initial Public Offering). The underwriters partially exercised their over-allotment option on September
15, 2020 and 93,750 Founder Shares were forfeited by the Sponsor accordingly.
The
Initial Stockholders agreed, subject to limited exceptions, not to transfer, assign or sell any of the Founder Shares until (i) with
respect to 50% of the Founder Shares, the earlier to occur of: (A) 180 days after completion of our initial Business Combination;
or (B) if the closing price of the common stock equals or exceeds $12.00 per share (as adjusted for stock splits, stock dividends,
reorganizations, recapitalizations and the like) for any 20 trading days within any 30-trading day period commencing any time 90
days after completion of the initial Business Combination and (ii) with respect to the remaining 50% of the Founder Shares, only
if the closing price of the common stock equals or exceeds $12.00 per share (as adjusted for stock splits, stock dividends, reorganizations,
recapitalizations and the like) for any 20 trading days within any 30-trading day period commencing any time 90 days after completion
of the initial Business Combination. Any permitted transferees would be subject to the same restrictions (the “lock-up”)
and other agreements of the Sponsor with respect to any Founder Shares. Notwithstanding the foregoing, if the Company completes a liquidation,
merger, stock exchange, reorganization or other similar transaction after the initial Business Combination that results in all of the
Public Stockholders having the right to exchange their Public Shares for cash, securities or other property, the Founder Shares will
be released from the lock-up.
Private Placement Warrants
Simultaneously
with the closing of the Initial Public Offering, the Company consummated the Private Placement of 9,666,667 Private Placement Warrants
to the Sponsor, each exercisable to purchase one share of Class A common stock at $11.50 per share, at a price of $1.50 per Private
Placement Warrant, generating gross proceeds to the Company of $14.5 million.
Each
Private Placement Warrant is exercisable for one whole share of Class A common stock at a price of $11.50 per share. A portion of
the proceeds from the sale of the Private Placement Warrants to the Sponsor was added to the proceeds from the Initial Public Offering
held in the Trust Account. If the Company does not complete a Business Combination within the Combination Period, the Private Placement
Warrants will expire worthless. Except as set forth below, the Private Placement Warrants will be non-redeemable for cash and exercisable
on a cashless basis so long as they are held by the Sponsor or their permitted transferees.
The
Sponsor agreed, subject to limited exceptions, not to transfer, assign or sell any of its Private Placement Warrants until 30 days
after the completion of the initial Business Combination.
Related Party Loans
On
July 20, 2020, the Sponsor agreed to loan the Company an aggregate of up to $350,000 to cover expenses related to the Initial Public
Offering pursuant to a promissory note (the “Note”). This loan was non-interest bearing and payable upon the completion
of the Initial Public Offering. The Company borrowed approximately $264,000 under the Note and repaid this Note in full on September
15, 2020.
As
of June 30, 2021 and December 31, 2020, there is an outstanding balance of $27,874 and $5,401 due to True Wind Capital LLC, respectively,
for certain reimbursable expenses and other expenses paid on the Company’s behalf.
In
addition, in order to finance transaction costs in connection with a Business Combination, the Sponsor or an affiliate of the Sponsor,
or certain of the Company’s officers and directors may, but are not obligated to, loan the Company funds as may be required (“Working
Capital Loans”). If the Company completes a Business Combination, the Company would repay the Working Capital Loans out of the
proceeds of the Trust Account released to the Company. Otherwise, the Working Capital Loans would be repaid only out of funds held outside
the Trust Account. In the event that a Business Combination does not close, the Company may use a portion of proceeds held outside the
Trust Account to repay the Working Capital Loans but no proceeds held in the Trust Account would be used to repay the Working Capital
Loans. The Working Capital Loans would either be repaid upon consummation of a Business Combination or, at the lender’s discretion,
up to $1.5 million of such Working Capital Loans may be convertible into warrants of the post Business Combination entity at a price
of $1.50 per warrant. The warrants would be identical to the Private Placement Warrants. Except for the foregoing, the terms of such
Working Capital Loans, if any, have not been determined and no written agreements exist with respect to such loans. To date, the Company
had no borrowings under the Working Capital Loans.
Note 5—Commitments and
Contingencies
Forward Purchase Agreements
In
connection with the consummation of the Initial Public Offering, the Company had entered into forward purchase agreements with certain
institutional accredited investors (“Forward Purchasers”) that would have provided for the aggregate purchase of at least
$100,000,000 of Class A common stock at $10.00 per share, in a private placement that would have closed concurrently with the closing
of the Business Combination. The Forward Purchasers’ commitments under the forward purchase agreements were subject to certain
conditions described in the prospectus for the Initial Public Offering. The obligations under the forward purchase agreements would not
have depended on whether any shares of Class A common stock were redeemed by the Company’s Public Stockholders. The Forward Purchasers
would not have received any Founder Shares or warrants as part of the forward purchase agreements. The forward purchase shares would
have been identical to the shares of Class A common stock included in the Units being sold in the Initial Public Offering, except that
the forward purchase shares would have been subject to certain transfer restrictions and have certain registration rights. On April 8,
2021, these forward purchase agreements were terminated.
Share Purchase Agreement
Concurrently
with the termination of the forward purchase agreements, the Company along with certain shareholders of Cellebrite entered into a share
purchase agreement with certain accredited institutional investors on April 8, 2021 that will provide for an aggregate purchase price
of $300 million or 30,000,000 ordinary shares at $10 per share of the post Business Combination entity.
Registration Rights
The
holders of Founder Shares, Private Placement Warrants and warrants that may be issued upon conversion of Working Capital Loans (and any
shares of common stock issuable upon the exercise of the Private Placement Warrants or warrants issued upon conversion of the Working
Capital Loans and upon conversion of the Founder Shares), as well as the Forward Purchasers and their permitted transferees, are entitled
to registration rights pursuant to a registration rights agreement. These holders will be entitled to certain demand and “piggyback”
registration rights. The Company will bear the expenses incurred in connection with the filing of any such registration statements.
Underwriting Agreement
The
underwriters were entitled to an underwriting discount of $0.20 per unit, or $12.0 million in the aggregate, paid upon the closing
of the Initial Public Offering. An additional fee of $0.35 per unit, or $21.0 million in the aggregate, will be payable to the underwriters
for deferred underwriting commissions. The deferred fee will become payable to the underwriters from the amounts held in the Trust Account
solely in the event that the Company completes a Business Combination, subject to the terms of the underwriting agreement.
Risks and uncertainties
Management
continues to evaluate the impact of the COVID-19 pandemic on the industry and has concluded that while it is reasonably possible that
the virus could have an effect on the Company’s financial position, results of its operations and/or search for a target company,
the specific impact is not readily determinable as of the date of these financial statements. The financial statements do not include
any adjustments that might result from the outcome of this uncertainty.
Note 6—Derivative Warrant Liabilities
As
of June 30, 2021 and December 31, 2020, the Company had 20,000,000 Public Warrants and 9,666,667 Private Placement Warrants outstanding.
Public
Warrants may only be exercised for a whole number of shares. No fractional Public Warrants will be issued upon separation of the Units
and only whole Public Warrants will trade. The Public Warrants will become exercisable on the later of (a) 30 days after the completion
of a Business Combination or (b) 12 months from the closing of the Initial Public Offering; provided in each case that the Company
has an effective registration statement under the Securities Act covering the shares of Class A common stock issuable upon exercise
of the Public Warrants and a current prospectus relating to them is available (or the Company permits holders to exercise their Public
Warrants on a cashless basis and such cashless exercise is exempt from registration under the Securities Act). The Company has agreed
that as soon as practicable, but in no event later than 15 business days after the closing of the initial Business Combination, the Company
will use its best efforts to file with the SEC and have an effective registration statement covering the shares of Class A common
stock issuable upon exercise of the warrants and to maintain a current prospectus relating to those shares of Class A common stock
until the warrants expire or are redeemed. If a registration statement covering the Class A common stock issuable upon exercise
of the warrants is not effective by the 60th business day after the closing of the initial Business Combination, warrant
holders may, until such time as there is an effective registration statement and during any period when the Company will have failed
to maintain an effective registration statement, exercise warrants on a “cashless basis” in accordance with Section 3(a)(9)
of the Securities Act or another exemption. Notwithstanding the above, if the Company’s shares of Class A common stock are
at the time of any exercise of a warrant not listed on a national securities exchange such that they satisfy the definition of a “covered
security” under Section 18(b)(1) of the Securities Act, the Company may, at its option, require holders of Public Warrants
who exercise their warrants to do so on a “cashless basis” in accordance with Section 3(a)(9) of the Securities Act
and, in the event the Company so elect, it will not be required to file or maintain in effect a registration statement, and in the event
the Company does not so elect, it will use our best efforts to register or qualify the shares under applicable blue sky laws to the extent
an exemption is not available.
The
warrants have an exercise price of $11.50 per share, subject to adjustments, and will expire five years after the completion of a Business
Combination or earlier upon redemption or liquidation. In addition, if (x) the Company issues additional shares of Class A
common stock or equity-linked securities for capital raising purposes in connection with the closing of the initial Business Combination
at an issue price or effective issue price of less than $9.20 per share of Class A common stock (with such issue price or effective
issue price to be determined in good faith by the board of directors and, in the case of any such issuance to the Sponsor or its affiliates,
without taking into account any Founder Shares held by the Sponsor or such affiliates, as applicable, prior to such issuance) (the “Newly
Issued Price”), (y) the aggregate gross proceeds from such issuances represent more than 60% of the total equity proceeds,
and interest thereon, available for the funding of the initial Business Combination on the date of the consummation of the initial Business
Combination (net of redemptions), and (z) the volume weighted average trading price of Class A common stock during the 20 trading
day period starting on the trading day prior to the day on which the Company consummates its initial Business Combination (such price,
the “Market Value”) is below $9.20 per share, the exercise price of the warrants will be adjusted (to the nearest cent) to
be equal to 115% of the higher of the Market Value and the Newly Issued Price, the $18.00 per share redemption trigger price will be
adjusted (to the nearest cent) to be equal to 180% of the higher of the Market Value and the Newly Issued Price, and the $10.00 per share
redemption trigger price will be adjusted (to the nearest cent) to be equal to the higher of the Market Value and the Newly Issued Price.
The
Private Placement Warrants are identical to the Public Warrants, except that the Private Placement Warrants and the shares of Class A
common stock issuable upon exercise of the Private Placement Warrants will not be transferable, assignable or salable until the completion
of a Business Combination, subject to certain limited exceptions. Additionally, except as set forth below, the Private Placement Warrants
will be non-redeemable so long as they are held by the Sponsor or their permitted transferees. If the Private Placement Warrants
are held by someone other than the Sponsor or their permitted transferees, the Private Placement Warrants will be redeemable by the Company
and exercisable by such holders on the same basis as the Public Warrants.
In
no event will the Company be required to net cash settle any warrant. If the Company is unable to complete a Business Combination within
the Combination Period and the Company liquidates the funds held in the Trust Account, holders of warrants will not receive any of such
funds with respect to their warrants, nor will they receive any distribution from the Company’s assets held outside of the Trust
Account with the respect to such warrants. Accordingly, the warrants may expire worthless.
Note 7—Stockholders’
Equity
Preferred
Stock — The Company is authorized to issue 1,000,000 shares of preferred stock, par value $0.0001 per share,
with such designations, voting and other rights and preferences as may be determined from time to time by the Company’s board of
directors. As of June 30, 2021 and December 31, 2020, there were no shares of preferred stock issued or outstanding.
Class A
Common Stock — The Company is authorized to issue 200,000,000 shares of Class A common stock with a par
value of $0.0001 per share. As of June 30, 2021 and December 31, 2020, there were 60,000,000 shares of Class A common stock outstanding,
including 52,036,922 shares and 52,675,478 shares of Class A common stock subject to possible redemption that were classified as temporary
equity in the accompanying unaudited condensed balance sheet, respectively.
Class B
Common Stock — The Company is authorized to issue 20,000,000 shares of Class B common stock with a par value
of $0.0001 per share. As of June 30, 2021 and December 31, 2020, there were 15,000,000 shares of Class B common stock outstanding.
Common
stockholders of record are entitled to one vote for each share held on all matters to be voted on by stockholders. Holders of Class B
common stock will have the right to elect all of the Company’s directors prior to the consummation of the initial Business Combination.
On any other matter submitted to a vote of the Company’s stockholders, holders of Class B common stock and holders of Class A
common stock will vote together as a single class, except as required by applicable law or stock exchange rule.
The
Class B common stock will automatically convert into Class A common stock at the time of the initial Business Combination on
a one-for-one basis, subject to adjustment as provided herein. In the case that additional shares of Class A common stock (“equity-linked securities”)
are issued or deemed issued in excess of the amounts sold in the Initial Public Offering and related to the closing of the initial Business
Combination, the ratio at which shares of Class B common stock shall convert into shares of Class A common stock will be adjusted
(unless the holders of a majority of the outstanding shares of Class B common stock agree to waive such anti-dilution adjustment
with respect to any such issuance or deemed issuance) so that the number of shares of Class A common stock issuable upon conversion
of all shares of Class B common stock will equal, in the aggregate, on an as-converted basis, 20% of the total number of all
shares of common stock outstanding upon completion of the Initial Public Offering plus all shares of Class A common stock and equity-linked securities
issued or deemed issued in connection with the initial Business Combination (including the forward purchase shares) excluding any shares
or equity-linked securities issued, or to be issued, to any seller in the initial Business Combination in consideration for such
seller’s interest in the Business Combination target and any Private Placement Warrants issued upon the conversion of Working Capital
Loans made to the Company.
Note 8—Fair Value Measurements
The
following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring
basis and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
June 30, 2021
Description
|
|
Quoted Prices in Active Markets
(Level 1)
|
|
|
Significant Other Observable Inputs
(Level 2)
|
|
|
Significant Other Unobservable Inputs
(Level 3)
|
|
Assets held in Trust Account:
|
|
|
|
|
|
|
|
|
|
Mutual funds
|
|
$
|
600,131,947
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative warrant liabilities - Public
|
|
$
|
34,700,000
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Derivative warrant liabilities - Private
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
18,109,530
|
|
December 31, 2020
Description
|
|
Quoted Prices in Active Markets
(Level 1)
|
|
|
Significant Other Observable Inputs
(Level 2)
|
|
|
Significant Other Unobservable Inputs
(Level 3)
|
|
Assets held in Trust Account:
|
|
|
|
|
|
|
|
|
|
Mutual funds
|
|
$
|
600,053,904
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative warrant liabilities - Public
|
|
$
|
33,000,000
|
|
|
$
|
-
|
|
|
$
|
-
|
|
Derivative warrant liabilities - Private
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
15,950,000
|
|
Transfers
to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers between levels in the three
and six months ended June 30, 2021.
Level
1 instruments include investments in mutual funds invested in U.S. government securities. The Company uses inputs such as actual trade
data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.
The
fair value of the Public Warrants issued in connection with the Initial Public Offering were initially measured at fair value using a
Monte Carlo simulation model and for periods subsequent to the detachment of the Public Warrants from the Units, the fair value of the
Public Warrants is based on the listed market price of such warrants, a Level 1 measurement, as of June 30, 2021. The fair value of the
Private Placement Warrants was estimated using Black-Scholes option pricing model. For the three and six months ended June 30, 2021, the
Company recognized a loss to the statement of operations resulting from an increase in the fair value of liabilities of approximately
$21.5 million and $3.9 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying
unaudited condensed statements of operations.
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. Inherent in these valuations are assumptions related to expected stock-price volatility, expected life, risk-free
interest rate and dividend yield. The Company estimates the volatility of its common stock based on historical and implied volatilities
of select peer companies as well as its own that matches the expected remaining life of the warrants. The risk-free interest rate is
based on the U.S. Treasury zero-coupon yield 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 their remaining contractual term. The dividend rate is based on the
historical rate, which the Company anticipates remaining at zero.
The
following table provides quantitative information regarding Level 3 fair value measurements inputs utilized to measure the fair value
of the Private Placement Warrants at the measurement dates:
|
|
As of
December 31,
2020
|
|
|
As of
March 31,
2021
|
|
|
As of
June 30,
2021
|
|
Volatility
|
|
|
19
|
%
|
|
|
16
|
%
|
|
|
25
|
%
|
Stock price
|
|
$
|
10.54
|
|
|
$
|
9.82
|
|
|
$
|
9.93
|
|
Expected life of the options to convert
|
|
|
5.6
|
|
|
|
5.48
|
|
|
|
5.25
|
|
Risk-free rate
|
|
|
0.45
|
%
|
|
|
1.03
|
%
|
|
|
0.91
|
%
|
Dividend yield
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
The
change in the fair value of the derivative warrant liabilities for the Private Placement Warrants for the period from January 1, 2021
through June 30, 2021 is summarized as follows:
Derivative warrant liabilities at January 1, 2021
|
|
$
|
15,950,000
|
|
Change in fair value of derivative warrant liabilities
|
|
|
(5,606,670
|
)
|
Derivative warrant liabilities at March 31, 2021
|
|
|
10,343,330
|
|
Change in fair value of derivative warrant liabilities
|
|
|
7,766,200
|
|
Derivative warrant liabilities at June 30, 2021
|
|
$
|
18,109,530
|
|
Note 9—Subsequent Events
The
Company evaluated subsequent events and transactions that occurred after the balance sheet date up to the date that the unaudited condensed
financial statements were issued. Based upon this review, the Company did not identify any subsequent events that would have required
adjustment or disclosure in the unaudited condensed financial statements.