NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Note 1 — Description
of Organization, Business Operations and Basis of Presentation
Organization and General
Horizon Acquisition Corporation II (the “Company”)
is a blank check company incorporated as a Cayman Islands exempted company on July 22, 2020. The Company was incorporated for the
purpose of effecting a merger, share exchange, asset acquisition, share purchase, reorganization or similar business combination with
one or more businesses that the Company has not yet identified (“Business Combination”). Although the Company is not limited
to a particular industry or geographic region for purposes of consummating a Business Combination, the Company intends to focus on the
media and entertainment industries. The Company is an “emerging growth company,” as defined in Section 2(a) of the
Securities Act of 1933, as amended (the “Securities Act”), as modified by the Jumpstart our Business Startups Act of 2012
(the “JOBS Act”).
As of March 31, 2021, the Company had not
yet commenced operations. All activity for the period from July 22, 2020 (inception) through March 31, 2021 relates to the Company’s
formation and the initial public offering (the “Initial Public Offering”), which is described below, and since offering, the
search for a prospective initial Business Combination. The Company will not generate any operating revenue until after the completion
of its initial Business Combination, at the earliest. The Company generates non-operating income in the form of income earned on investments
in the Trust Account. The Company has selected December 31 as its fiscal year end.
Sponsor and Initial Public Offering
The Company’s sponsor is Horizon II Sponsor,
LLC, a Delaware limited liability company (the “Sponsor”). The registration statement for the Initial Public Offering was
declared effective on October 19, 2020. On October 22, 2020, the Company consummated the Initial Public Offering of 50,000,000
units (the “Units” and, with respect to the Class A ordinary shares included in the Units, the “Public Shares”),
at $10.00 per Unit, generating gross proceeds of $500.0 million, and incurring offering costs of approximately $19.6 million, inclusive
of approximately $12.1 million in deferred underwriting commissions (Note 6). The underwriter was granted a 45-day option from the date
of the final prospectus relating to the Initial Public Offering to purchase up to 5,175,000 additional Units to cover over-allotments,
if any, at $10.00 per Unit. The Underwriters exercised the over-allotment option on November 24, 2020 to purchase an additional 2,500,000
Units (the “Over-Allotment Units”), which closed on November 27, 2020 generating gross proceeds of $25.0 million (the
“Over-Allotment”), and incurring additional offering costs of approximately $1.4 million in underwriting fees (inclusive
of approximately $0.9 million in deferred underwriting fees).
Simultaneously with the closing of the Initial
Public Offering, the Company consummated the private placement (“Private Placement”) of 5,933,333 warrants (each, a “Private
Placement Warrant” and collectively, the “Private Placement Warrants”) to the Sponsor, each exercisable to purchase
one Class A ordinary share at $11.50 per share, at a price of $1.50 per Private Placement Warrant, generating gross proceeds to the
Company of approximately $8.9 million (Note 4), pursuant to the Private Placement Warrants Purchase
Agreement, dated October 19, 2020 (the “Private Placement Purchase Agreement”), by and between the Company and the Sponsor.
The Private Placement Purchase Agreement provided for a second closing (the “Second Closing”)
of the Private Placement simultaneously with the closing of the Over-Allotment Units. Accordingly, on November 27, 2020, the Second
Closing of the Private Placement was consummated, resulting in the purchase of an aggregate of 333,334 Private Placement Warrants
by the Sponsor, generating gross proceeds of $0.5 million.
The Sponsor agreed to forfeit up to 1,875,000
Class B ordinary shares, par value $0.0001 (the “Founder Shares”) to the extent that the over-allotment option is not
exercised in full by the underwriters, so that the Founder Shares will represent 20% of the Company’s issued and outstanding shares
after the IPO. On October 22, 2020, in connection with consummation of the Sponsor IPO Units, the Sponsor surrendered 581,250 Founder
Shares to the Company for no consideration, thus reducing the amount of Class B ordinary shares subject to forfeiture to 1,293,750
Class B ordinary shares. As a result of the underwriters’ partial exercise of the over-allotment option, and the remainder
of the over-allotment units expiring unexercised, on December 3, 2020, an additional 668,750 Class B ordinary shares were automatically
surrendered for no consideration by the Sponsor.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Trust Account
Upon the closing of the Initial Public Offering,
the Over-Allotment, and the Private Placements, a total of $525.0 million ($10.00 per Unit) of the net proceeds of the Initial Public
Offering and Over-Allotment, and certain of the proceeds of the Private Placement was placed in a trust account (“Trust Account”)
with Continental Stock Transfer & Trust Company acting as trustee and invested in United States “government securities”
within the meaning of Section 2(a)(16) of 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, until the earlier of: (i) the completion of a Business Combination and (ii) the
distribution of the Trust Account as described below.
Initial Business Combination
The Company’s management has broad discretion
with respect to the specific application of the net proceeds of its 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. The Company’s
initial Business Combination must be with one or more operating businesses or assets with a fair market value equal to at least 80% of
the net assets held in the Trust Account (excluding the deferred underwriting commissions and taxes payable on the income earned on the
Trust Account) at the time the Company signs a definitive agreement in connection with 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 outstanding voting
securities of the target business or otherwise acquires a controlling interest in the target business sufficient for it not to be required
to register as an investment company under the Investment Company Act 1940, as amended, or the Investment Company Act.
The Company will provide its holders of the Public
Shares (the “Public Shareholders”) with the opportunity to redeem all or a portion of their Public Shares upon the completion
of a Business Combination either (i) in connection with a general meeting called to approve the Business Combination or (ii) by
means of a tender offer. The decision as to whether the Company will seek shareholder approval of a Business Combination or conduct a
tender offer will be made by the Company. The public shareholders will be entitled to redeem their Public Shares for a pro rata portion
of the amount then in the Trust Account (initially anticipated to be $10.00 per share, plus any pro rata interest earned on the funds
held in the Trust Account and not previously released to the Company to pay its tax obligations). The per-share amount to be distributed
to public shareholders who redeem their Public Shares will not be reduced by the deferred underwriting commissions the Company will pay
to the underwriters (as discussed in Note 6). 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 Accounting Standards Codification (“ASC”) Topic 480
“Distinguishing Liabilities from Equity.” In such case, the Company will proceed with a Business Combination if the Company
has net tangible assets of at least $5,000,001 upon such consummation of a Business Combination and a majority of the shares voted are
voted in favor of the Business Combination. If a shareholder vote is not required by applicable law or stock exchange listing requirements
and the Company does not decide to hold a shareholder vote for business or other reasons, the Company will, pursuant to the amended and
restated memorandum and articles of association which will be adopted by the Company upon the consummation of the Initial Public Offering
(the “Amended and Restated Memorandum and Articles of Association”), conduct the redemptions pursuant to the tender offer
rules of the U.S. Securities and Exchange Commission (the “SEC”), and file tender offer documents with the SEC prior
to completing a Business Combination. If, however, a shareholder approval of the transactions is required by applicable law or stock exchange
listing requirements, or the Company decides to obtain shareholder approval for business or other reasons, the Company will offer to redeem
shares in conjunction with a proxy solicitation pursuant to the proxy rules and not pursuant to the tender offer rules. Additionally,
each public shareholder may elect to redeem their Public Shares irrespective of whether they vote for or against the proposed transaction
or whether they were a public shareholder on the record date for the general meeting held to approve the proposed transaction. If the
Company seeks shareholder approval in connection with a Business Combination, the holders of the Founder Shares prior to this Initial
Public Offering (the “Initial Shareholders”) have agreed to vote their Founder Shares (as defined in Note 5) and any Public
Shares purchased during or after the Initial Public Offering in favor of a Business Combination. In addition, the Initial Shareholders
have agreed to waive their redemption rights with respect to their Founder Shares and Public Shares in connection with the completion
of a Business Combination. In addition, the Company has agreed not to enter into a definitive agreement regarding an initial Business
Combination without the prior consent of the Sponsor.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Notwithstanding the foregoing, the Company’s
Amended and Restated Memorandum and Articles of Association will provide that a public shareholder, together with any affiliate of such
shareholder or any other person with whom such shareholder 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 Class A ordinary shares sold in the Initial Public Offering, without the
prior consent of the Company.
The Company’s Sponsor, officers, directors
and director nominees have agreed not to propose an amendment to the Company’s Amended and Restated Memorandum and Articles of Association
(A) to modify the substance or timing of the Company’s obligation to allow the redemption of its Public Shares in connection
with a Business Combination or to redeem 100% of its Public Shares if the Company does not complete a Business Combination within 24 months
from the closing of the Initial Public Offering, October 22, 2022 (the “Combination Period”), or (B) with respect
to any other provisions relating to shareholders’ rights or pre-initial business combination activity, unless the Company provides
the public shareholders with the opportunity to redeem their Class A ordinary shares in conjunction with any such amendment.
If the Company is unable to complete a Business
Combination within the Combination Period, the Company will (i) cease all operations except for the purpose of winding up, (ii) 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, including interest (which interest shall be net of taxes
payable and up to $100,000 of interest to pay dissolution expenses), divided by the number of then issued and outstanding Public Shares,
which redemption will completely extinguish Public Shareholders’ rights as shareholders (including the right to receive further
liquidation distributions, if any) and (iii) as promptly as reasonably possible following such redemption, subject to the approval
of the remaining shareholders and the board of directors, liquidate and dissolve, subject in the case of clauses (ii) and (iii) to
the Company’s obligations under Cayman Islands law to provide for claims of creditors and in all cases subject to the other requirements
of applicable law.
In connection with the redemption of 100% of the
Company’s outstanding Public Shares for a portion of the funds held in the Trust Account, each holder will receive a full pro rata
portion of the amount then in the Trust Account, plus any pro rata interest earned on the funds held in the Trust Account and not previously
released to the Company to pay the Company’s taxes payable (less taxes payable and up to $100,000 of interest to pay dissolution
expenses).
The Initial Shareholders have agreed to waive
their liquidation rights with respect to the Founder Shares if the Company fails to complete a Business Combination within the Combination
Period. However, if the Initial Shareholders should 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 their deferred underwriting commission (see Note
6) held in the Trust Account in the event the Company does not complete a Business Combination within in the Combination Period and, in
such event, such amounts will be included with the funds held in the Trust Account that will be available to fund the redemption of the
Company’s Public Shares. In the event of such distribution, it is possible that the per share value of the residual assets remaining
available for distribution in the Trust Account will be less than the $10.00 per share initially held in the Trust Account. In order to
protect the amounts held in the Trust Account, the Sponsor has agreed that it will be liable to the Company if and to the extent any claims
by a third party for services rendered or products sold to the Company, or a prospective target business with which the Company has entered
into a written letter of intent, confidentiality or other similar agreement or business combination agreement, 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 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 prospective target
business who 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”). In the event that
an executed waiver is deemed to be unenforceable against a third party, the Sponsor will not be responsible to the extent of any liability
for such third-party claims. 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 vendors, service providers (except 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. There can be no guarantee that the
Company will be successful in obtaining such waivers from its targeted vendors and service providers.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Basis of presentation
The accompanying unaudited
condensed financial statements are presented in U.S. dollars in conformity with accounting principles generally accepted in the United
States of America (“GAAP”) for financial information and pursuant to the rules and regulations of the SEC. Accordingly,
they do not include all of the information and footnotes required by GAAP. In the opinion of management, the unaudited condensed financial
statements reflect all adjustments, which include only normal recurring adjustments necessary for the fair statement of the balances and
results for the periods presented. Operating results for the three months ended March 31, 2021 are not necessarily indicative of
the results that may be expected through December 31, 2021, or any future period.
The accompanying unaudited
condensed financial statement should be read in conjunction with the audited financial statements and notes thereto included in the Form 10-K,
as amended, filed by the Company with the SEC on May 18, 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 auditor 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
shareholder 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 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 statement with another public company which is neither an emerging growth company
nor an emerging growth company which 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 March 31, 2021, the Company had approximately
$784,000 outside of the Trust Account.
The Company’s liquidity needs up to March
31, 2021 have been satisfied through the payment of $25,000 from the Sponsor to cover certain
expenses in exchange for the issuance of the Founder Shares (as defined in Note 5), a loan of approximately
$161,000 pursuant to the Note issued to the Sponsor (Note 5). The Company repaid the Note in full on October 22, 2020. Subsequent
to the consummation of the Initial Public Offering and Private Placement, the Company’s liquidity needs have been satisfied with
the proceeds from the consummation of the Private Placement not held in the Trust Account. In addition, in order to finance transaction
costs in connection with a Business Combination, the Sponsor may, but is not obligated to, provide the Company Working Capital Loans
(see Note 5). As of March 31, 2021 and December 31,
2020, there were no amounts outstanding under any Working Capital Loan.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Based on the foregoing,
management believes that the Company will have sufficient working capital and borrowing capacity 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 financial
statements in conformity with GAAP requires 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 revenues
and expenses during the reporting period. One of the more significant accounting estimates included in these financial statements is the
determination of the fair value of the warrant liability.
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. 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. There were no cash equivalents at March 31,
2021 or December 31, 2020.
Concentration of Credit Risk
Financial instruments that potentially
subject the Company to concentration of credit risk consist of cash accounts in a financial institution which, at times, may exceed
the federal depository insurance coverage of $250,000, and investments held in Trust Account. The Company has not experienced losses
on these accounts and management believes the Company is not exposed to significant risks on such accounts. The Company’s
investments held in the Trust Account as of December 31, 2020 is comprised of investments in U.S. Treasury securities with an
original maturity of 185 days or less or investments in a money market funds that comprise only U.S. treasury securities money
market funds.
Investments Held in the Trust Account
The Company’s portfolio of investments held
in the Trust Account 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, or a
combination thereof. The Company’s investments held in the Trust Account are classified as trading securities. Trading securities
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 net gain on investments held in Trust Account in the accompanying statement of operations. The
estimated fair values of investments held in the Trust Account are determined using available market information.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Fair Value of Financial Instruments
The fair value of the Company’s assets and
liabilities, which qualify as financial instruments under the FASB ASC 820, “Fair Value Measurements and Disclosures,” approximates
the carrying amounts represented in the balance sheet.
Fair Value Measurements
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. 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 (unadjusted) 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 March 31, 2021 and December 31, 2020,
the carrying values of cash, accounts payable and accrued expenses approximate their fair values due to the short-term nature of the instruments.
The Company’s marketable securities held in Trust Account is comprised of investments in U.S. Treasury securities with an original
maturity of 185 days or less and are recognized at fair value. The fair value of marketable securities held in Trust Account is determined
using quoted prices in active markets.
The fair value of warrants
issued in connection with the Initial Public Offering, exercise of the over-allotment option and Private Placement were initially and
subsequently measured at fair value using a Monte Carlo simulation model. Beginning as of December 31, 2020, the fair value of Public
Warrants have been measured based on the listed market price of such the Public Warrants. The Private Placement Warrants continue to be
measured at fair value using a Monte Carlo simulation model through March 31, 2021.
Derivative warrant liabilities
The Company
does not use derivative instruments to hedge exposures to cash flow, market, or foreign currency risks. The Company 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.
The
17,500,000 issued in connection with the Initial Public Offering (the “Public Warrants”) and the 6,266,667 Private Placement
Warrants are recognized as derivative liabilities in accordance with ASC 815-40. Accordingly, the Company recognizes the warrant instruments
as liabilities at fair value and adjusts the instruments to fair value at each reporting period. The liabilities are subject to re-measurement
at each balance sheet date until exercised, and any change in fair value is recognized in the Company’s statement of operations.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Offering costs associated with Initial Public
Offering
Offering costs consist of legal, accounting, underwriting
fees and other costs incurred through the balance sheet date that are 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 warrant liabilities are expensed as incurred and presented as non-operating
expenses in the statement of operations. Offering costs associated with the Public Shares were charged to shareholders’ equity.
Of the total offering costs of the Initial Public Offering, approximately $1.1 million was expensed as incurred and $19.9 million is included
in stockholders’ equity.
Class A Ordinary Shares Subject to
Possible Redemption
Class A ordinary shares subject to mandatory
redemption (if any) are classified as liability instruments and are measured at fair value. Conditionally redeemable Class A ordinary
shares (including Class A ordinary shares 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, Class A ordinary shares are classified as shareholders’ equity. The Company’s Class A ordinary
shares 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 March 31, 2021 and December 31, 2020, 45,856,291 and 46,301,564 shares of Class A
ordinary shares subject to possible redemption, respectively, are presented as temporary equity, outside of the shareholders’ equity
section of the balance sheet.
Income Taxes
FASB ASC Topic 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. There were no unrecognized tax benefits as of March 31, 2021 or December 31, 2020. The Company’s
management determined that the Cayman Islands is the Company’s only major tax jurisdiction. 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 March 31, 2021 or 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.
There is currently no
taxation imposed on income by the Government of the Cayman Islands. In accordance with Cayman Islands income tax regulations, income taxes
are not levied on the Company. Consequently, income taxes are not reflected in the Company’s financial statements. The Company’s
management does not expect that the total amount of unrecognized tax benefits will materially change over the next twelve months.
Net (Loss) per
Ordinary Share
The Company complies with accounting and disclosure
requirements of FASB ASC Topic 260, “Earnings Per Share.” Net loss per share is computed by dividing net loss by the weighted
average number of ordinary shares outstanding during the period, excluding ordinary shares that remain subject to forfeiture. The Company
has not considered the effect of the warrants sold in the Initial Public Offering and Private Placement to purchase an aggregate of 23,766,667
shares of Class A ordinary shares in the calculation of diluted earnings per share, since their inclusion would be anti-dilutive
under the treasury stock method. As a result, diluted loss per share is the same as basic loss per share for the periods presented.
The Company’s statement of operations includes
a presentation of loss per common share for Class A ordinary shares subject to possible redemption in a manner similar to the two-class
method of loss per common share. Net loss per common share, basic and diluted, for Class A ordinary shares subject to possible redemption
is calculated by dividing the proportionate share of income or loss on marketable securities held by the Trust Account, net of applicable
franchise and income taxes, by the weighted average number of shares of Class A ordinary shares subject to possible redemption outstanding
since original issuance.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Net income (loss) per ordinary share, basic and
diluted, for non-redeemable common stock is calculated by dividing the net income (loss), adjusted for income or loss on marketable securities
attributable to common stock subject to possible redemption, by the weighted average number of non-redeemable common stock outstanding
for the period.
Non-redeemable ordinary shares include Founder
Shares and non-redeemable shares of Class A ordinary shares as these shares do not have any redemption features. Non-redeemable ordinary
shares participate in the income or loss on marketable securities based on non-redeemable shares’ proportionate interest.
Recent Adopted
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, 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 also simplifies the diluted earnings per share calculation in certain areas. The Company early adopted the ASU on January 1,
2021. Adoption of the ASU did not impact the Company’s financial position, results of operations or cash flows.
Recent Issued Accounting
Standards
The Company’s management
does not believe that any recently issued, but not yet effective, accounting standards updates, if currently adopted, would have a material
effect on the accompanying financial statement.
Note 3 — Initial
Public Offering
On October 22, 2020, the Company consummated
the Initial Public Offering of 50,000,000 Units, at $10.00 per Unit, generating gross proceeds of $500.0 million, and incurring offering
costs of approximately $19.6 million, inclusive of approximately $12.1 million in deferred underwriting commissions. The Sponsor had purchased
15,500,000 Units (the “Sponsor IPO Units”) at the Initial Public Offering price. The underwriters did not receive any underwriting
discounts or commissions on the Sponsor IPO Units.
The underwriter is granted a 45-day option from
the date of the final prospectus relating to the Initial Public Offering to purchase up to 5,175,000 additional Units to cover over-allotments,
if any, at $10.00 per Unit. The Underwriters exercised the over-allotment option on November 24, 2020 to purchase an additional 2,500,000
Units (the “Over-Allotment Units”), which closed on November 27, 2020 generating gross proceeds of $25.0 million, and
incurring additional offering costs of approximately $1.4 million in underwriting fees (inclusive of approximately $0.9 million in deferred
underwriting fees).
Each Unit will consist of one Class A ordinary
share and one-third of one redeemable warrant (“Public Warrant”). Each whole Public Warrant will entitle the holder to purchase
one Class A ordinary share at an exercise price of $11.50 per share, subject to adjustment (see Note 7).
Note 4 — Private
Placement
Simultaneously with the closing of the Initial
Public Offering, the Company consummated the Private Placement of 5,933,333 Private Placement Warrants to the Sponsor, each exercisable
to purchase one Class A ordinary share at $11.50 per share, at a price of $1.50 per Private Placement Warrant, generating gross proceeds
to the Company of approximately $8.9 million. On November 27, 2020, the Second Closing of the
Private Placement was consummated, resulting in the purchase of an aggregate of 333,334 Private Placement Warrants by the Sponsor,
generating gross proceeds of $0.5 million.
Each whole Private Placement Warrant is exercisable
for one whole Class A ordinary share at a price of $11.50 per share.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
If the Company does not complete a Business Combination
within the Combination Period, the Private Placement Warrants will expire worthless. The Private Placement Warrants will be non-redeemable
except as described below in Note 7 and exercisable on a cashless basis so long as they are held by the Sponsor or its permitted transferees.
The Sponsor and the Company’s officers and
directors will agree, subject to limited exceptions, not to transfer, assign or sell any of their Private Placement Warrants until 30
days after the completion of the initial Business Combination.
Note 5 — Related
Party Transactions
Founder Shares
On August 7, 2020, the Sponsor paid an aggregate
of $25,000 for certain expenses on behalf of the Company in exchange for issuance of 14,375,000 Class B ordinary shares (the “Founder
Shares”). The Sponsor agreed to forfeit up to 1,875,000 Class B ordinary shares, par value $0.0001 (the “Founder Shares”)
to the extent that the over-allotment option is not exercised in full by the underwriters, so that the Founder Shares will represent 20%
of the Company’s issued and outstanding shares after the IPO. On October 22, 2020, in connection with consummation of the Sponsor
IPO Units, the Sponsor surrendered 581,250 Founder Shares to the Company for no consideration, thus reducing the amount of Class B
ordinary shares subject to forfeiture to 1,293,750 Class B ordinary shares. As a result of the underwriters’ partial exercise
of the over-allotment option, and the remainder of the over-allotment units expiring unexercised, on December 3, 2020, 668,750 Class B
ordinary shares were automatically surrendered for no consideration by the Sponsor.
The Initial Shareholders agreed not to transfer,
assign or sell any of their Founder Shares until the earlier to occur of: (A) one year after the completion of the initial Business
Combination or earlier if, subsequent to the initial Business Combination, the closing price of the Class A ordinary share equals
or exceeds $12.00 per share (as adjusted for share sub-divisions, capitalization of shares, share dividends, rights issuances, subdivisions
reorganizations, recapitalizations and the like) for any 20 trading days within any 30-trading day period commencing at least 150 days
after the initial Business Combination, and (B) the date following the completion of the initial Business Combination on which the
Company completes a liquidation, merger, share exchange or other similar transaction that results in all of the Company’s shareholders
having the right to exchange their Class A ordinary shares for cash, securities or other property.
Related Party Loans
On August 7, 2020, the Sponsor agreed to
loan the Company up to $300,000 to be used for the payment of costs related to the Initial Public Offering pursuant to a promissory note
(the “Note”). The Note is non-interest bearing, unsecured and due upon the closing of the Initial Public Offering. The Company
borrowed approximately $161,000 under the Note and fully repaid the Note on October 22, 2020.
In addition, in order to fund working capital
deficiencies or 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 may repay the Working Capital Loans out of the proceeds
of the Trust Account released to the Company. Otherwise, the Working Capital Loans may 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, without interest, 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. As of March 31, 2021
and December 31, 2020, the Company had no borrowings under the Working Capital Loans.
HORIZON ACQUISITION CORPORATION II
NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Administrative Support Agreement
The Company agreed to pay the Sponsor a total
of $10,000 per month, commencing on the date of listing on the NYSE, for office space, utilities, secretarial and administrative support
services provided to members of the management team. Upon completion of the initial Business Combination or the Company’s liquidation,
the Company will cease paying these monthly fees. From the date the securities were first listed on the NYSE through March 31, 2021,
the Sponsor waived the fee.
In addition, the Sponsor, officers and directors,
or any of their respective affiliates will be reimbursed for any out-of-pocket expenses incurred in connection with activities on the
Company’s behalf such as identifying potential target businesses and performing due diligence on suitable Business Combinations.
The Audit Committee of the Board of Directors will review on a quarterly basis all payments that are made by the Company to the Sponsor,
officers or directors, or their affiliates. Any such payments prior to an initial Business Combination will be made from funds held outside
the Trust Account.
Note 6 — Commitments
and Contingencies
Registration and Shareholder Rights
The holders of the Founder Shares, Private Placement
Warrants and warrants that may be issued upon conversion of Working Capital Loans (and any Class A ordinary shares issuable upon
the exercise of the Private Placement Warrants and warrants that may be issued upon conversion of Working Capital Loans) are entitled
to registration rights pursuant to a registration and shareholder rights. The holders of these securities are entitled to make up to three
demands, excluding short form demands, that the Company registers such securities. In addition, the holders have certain “piggy-back”
registration rights with respect to registration statements filed subsequent to the completion of the initial Business Combination. The
Company will bear the expenses incurred in connection with the filing of any such registration statements.
Underwriting Agreement
The Company granted the underwriters a 45-day
option from October 16, 2020, the date of the final prospectus, to purchase up to 5,175,000 additional Units at the Initial Public
Offering price less the underwriting discounts and commissions. On November 27, 2020, the Company issued an additional of 2,500,000
Units at the Initial Public Offering price at $10.00 per Unit pursuant to the partial exercise of the underwriters’ over-allotment
option.
The underwriters were entitled to an underwriting
discount of $0.20 per unit (excluding the Sponsor IPO Units), or $7.4 million in the aggregate, paid upon the closing of the Initial Public
Offering. In addition, $0.35 per unit (excluding the Affiliated Units), or $12.95 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.
In connection with the consummation of the sale
of Units pursuant to the over-allotment option on November 27, 2020, the underwriters were entitled to an additional fee of approximately
$1.4 million paid upon closing and an additional deferred underwriting commissions of approximately $0.9 million.
Risks and Uncertainties
Management continues to evaluate the impact of
the COVID-19 pandemic and has concluded that, while it is reasonably possible that the virus could have a negative effect on the Company’s
financial position, results of its operations, close of the Initial Public Offering 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.
HORIZON ACQUISITION CORPORATION II
NOTES
TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Note 7 — Derivative Warrant Liabilities
As of March 31, 2021 and December 31, 2020,
the Company had 17,500,000 and 6,266,667 Public Warrants and Private Placement Warrants, respectively, 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 and (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 Class A ordinary shares issuable upon exercise of the Public Warrants and a current prospectus
relating to them is available and such shares are registered, qualified or exempt from registration under the securities, or blue sky,
laws of the state of residence of the holder (or the Company permit holders to exercise their warrants on a cashless basis under certain
circumstances). 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 commercially reasonable efforts to file with the SEC a registration statement covering
the Class A ordinary shares issuable upon exercise of the warrants and to maintain a current prospectus relating to those Class A
ordinary shares until the warrants expire or are redeemed, as specified in the warrant agreement. If a registration statement covering
the Class A ordinary shares issuable upon exercise of the warrants is not effective by the 60th 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 Class A ordinary shares
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” and, in the event the Company so elects, the Company 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 commercially
reasonable 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 Class A ordinary shares 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 Class A ordinary share (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 Initial Shareholders or their affiliates, without taking into account any Founder
Shares held by the Initial Shareholders 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 ordinary shares during the 10-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, then 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 See “—
Redemption of warrants when the price per class A ordinary share equals or exceeds $18.00” and “— Redemption of warrants
when the price per class A ordinary share equals or exceeds $10.00” as described below).
The Private Placement Warrants are identical to
the Public Warrants underlying the Units sold in the Initial Public Offering, except (i) that the Private Placement Warrants and
the Class A ordinary shares issuable upon exercise of the Private Placement Warrants will not be transferable, assignable or salable
until 30 days after the completion of a Business Combination, subject to certain limited exceptions, (ii) except as described below,
the Private Placement Warrants will be non-redeemable so long as they are held by the Sponsor or such its permitted transferees and (iii) the
Sponsor or its permitted transferees will have the option to exercise the Private Placement Warrants on a cashless basis and have certain
registration rights. If the Private Placement Warrants are held by someone other than the Sponsor or its permitted transferees, the Private
Placement Warrants will be redeemable by the Company in all redemption scenarios and exercisable by such holders on the same basis as
the Public Warrants.
HORIZON ACQUISITION CORPORATION II
NOTES
TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Redemption of warrants when the price per Class A
ordinary share equals or exceeds $18.00:
Once the warrants become exercisable, the Company
may call the outstanding warrants for redemption (except as described herein with respect to the Private Placement Warrants):
|
|
•
|
in whole and not in part;
|
|
|
•
|
at a price of $0.01 per warrant;
|
|
|
•
|
upon a minimum of 30 days’ prior written notice of redemption to each warrant holder; and
|
|
|
•
|
if, and only if, the last reported sale price (the “closing price”) of Class A ordinary shares equals or exceeds $18.00 per share (as adjusted) for any 20 trading days within a 30-trading day period ending on the third trading day prior to the date on which the Company sends the notice of redemption to the warrant holders.
|
The Company will not redeem the warrants as described
above unless a registration statement under the Securities Act covering the issuance of the Class A ordinary shares issuable upon
exercise of the warrants is then effective and a current prospectus relating to those Class A ordinary shares is available throughout
the 30-day redemption period.
Redemption of warrants when the price per Class A
ordinary share equals or exceeds $10.00:
Once the warrants become exercisable, the Company
may call the outstanding warrants for redemption (except as described herein with respect to the Private Placement Warrants):
|
|
•
|
in whole and not in part;
|
|
|
•
|
at $0.10 per warrant upon a minimum of 30 days’ prior written notice of redemption provided that holders will be able to exercise their warrants on a cashless basis prior to redemption and receive that number of Class A ordinary shares to be determined by reference to an agreed table based on the redemption date and the “fair market value” of Class A ordinary shares;
|
|
|
•
|
if, and only if, the closing price of Class A ordinary shares equals or exceeds $10.00 per share (as adjusted) for any 20 trading days within the 30-trading day period ending three trading days before the Company sends the notice of redemption to the warrant holders; and
|
|
|
•
|
if the closing price of the Class A ordinary shares for any 20 trading days within a 30-trading day period ending on the third trading day prior to the date on which the Company sends the notice of redemption to the warrant holders is less than $18.00 per share (as adjusted), the Private Placement Warrants must also be concurrently called for redemption on the same terms as the outstanding Public Warrants, as described above.
|
The “fair market value” of Class A
ordinary shares for the above purpose shall mean the volume weighted average price of Class A ordinary shares during the 10 trading
days immediately following the date on which the notice of redemption is sent to the holders of warrants. In no event will the warrants
be exercisable on a cashless basis in connection with this redemption feature for more than 0.361 Class A ordinary shares per warrant
(subject to adjustment).
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 8 — Shareholders’
Equity
Class A
Ordinary Shares — The Company is authorized to issue 400,000,000 Class A ordinary shares
with a par value of $0.0001 per share. Holders of the Company’s Class A ordinary shares are entitled to one vote for each share.
At March 31, 2021, there were 52,500,000 Class A ordinary shares issued or outstanding,
including 45,856,291 Class A ordinary shares subject to possible redemption. At December 31, 2020, there
were 52,500,000 Class A ordinary shares issued or outstanding, including 46,301,564 Class A ordinary shares subject to
possible redemption.
HORIZON ACQUISITION CORPORATION II
NOTES
TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
Class B
Ordinary Shares — The Company is authorized to issue 40,000,000 Class B ordinary shares
with a par value of $0.0001 per share. On August 7, 2020, 14,375,000 Class B ordinary shares were issued and outstanding including
an aggregate of up to 1,875,000 Class B ordinary shares that are subject to forfeiture, to the Company by the Initial Shareholders
for no consideration to the extent that the underwriters’ over-allotment option is not exercised in full or in part, so that the
Class B ordinary shares will collectively represent 20% of the Company’s issued and outstanding ordinary shares after the Initial
Public Offering. On October 22, 2020, in connection with consummation of the Sponsor IPO Units, the Sponsor surrendered 581,250 Founder
Shares to the Company for no consideration, thus reducing the amount of Class B ordinary shares subject to forfeiture to 1,293,750
Class B ordinary shares. As a result of the underwriters’ partial exercise of the over-allotment option, which closed on November 27,
2020, and the remaining over-allotment units expiring unexercised, 668,750 Class B ordinary shares were surrendered by the Sponsor
on December 3, 2020. Accordingly, as of March 31, 2021 and December 31, 2020, there were 13,125,000 Class B ordinary shares
outstanding, with no shares were subject to forfeiture, respectively.
Ordinary shareholders of record are entitled to
one vote for each share held on all matters to be voted on by shareholders and holders of Class A ordinary shares and holders of
Class B ordinary shares will vote together as a single class on all matters submitted to a vote of the shareholders except as required
by law; provided that only holders of Class B ordinary shares will have the right to vote on the appointment of directors prior to
or in connection with the completion of the initial Business Combination.
The Class B ordinary shares will automatically
convert into Class A ordinary shares at the time of the consummation of the initial Business Combination on a one-for-one basis,
subject to adjustment for share sub-divisions, share capitalizations, reorganizations, recapitalizations and the like, and subject to
further adjustment. In the case that additional Class A ordinary shares or equity-linked securities are issued or deemed issued in
connection with the initial Business Combination, the number of Class A ordinary shares issuable upon conversion of all Founder Shares
will equal, in the aggregate, on an as-converted basis, 20% of the total number of Class A ordinary shares outstanding after such
conversion (after giving effect to any redemptions of Class A ordinary shares by Public Shareholders), including the total number
of Class A ordinary shares issued, or deemed issued or issuable upon conversion or exercise of any equity-linked securities or rights
issued or deemed issued, by the Company in connection with or in relation to the consummation of the initial Business Combination, excluding
any Class A ordinary shares or equity-linked securities exercisable for or convertible into Class A ordinary shares issued,
or to be issued, to any seller in the initial Business Combination and any Private Placement Warrants issued upon conversion of Working
Capital Loans; provided that such conversion of Founder Shares will never occur on a less than one-for-one basis.
Preference
Shares — The Company is authorized to issue 1,000,000 preference with a par value of $0.0001 per share. As of March 31,
2021 and December 31, 2020, there were no preference shares issued or outstanding.
Note 9 — Fair Value Measurements
The following table presents information about
the Company’s assets that are measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020 and
indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
HORIZON ACQUISITION CORPORATION II
NOTES
TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
|
March 31, 2021
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Quoted Prices in Active
Markets
(Level 1)
|
|
|
Significant Other
Observable Inputs
(Level 2)
|
|
|
Significant Other
Unobservable Inputs
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account
|
|
$
|
525,010,900
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative warrant liabilities -Public Warrants
|
|
$
|
35,875,000
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
Derivative warrant liabilities -Private Warrants
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
12,846,670
|
|
|
December 31, 2020
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Quoted Prices in Active
Markets
(Level 1)
|
|
|
Significant Other
Observable Inputs
(Level 2)
|
|
|
Significant Other
Unobservable Inputs
(Level 3)
|
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account
|
|
$
|
525,003,145
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative warrant liabilities - Public Warrants
|
|
$
|
33,250,000
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
Derivative warrant liabilities - Private Warrants
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
11,906,670
|
|
Transfers
to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. During the period there were no transfers to/from Levels
1, 2, and 3.
Level
1 instruments include investments in mutual funds invested in 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 Private Placement Warrants were initially and subsequently (each measurement date) measured using a Monte Carlo simulation
model. The fair value of Public Warrants issued in connection with the Initial Public Offering are measured based on the listed market
price of such warrants, a Level 1 measurement. For the three months ended March 31, 2021, the Company recognized a charge to the
statement of operations resulting from an increase in the fair value of liabilities of $3.6 million presented as change in fair value
of derivative warrant liabilities on the accompanying unaudited condensed statement of operations.
The estimated
fair value of the Private Placement Warrants is determined using Level 3 inputs. Inherent in a Monte Carlo simulation 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 warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select
peer company’s common stock 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 at their measurement dates:
HORIZON ACQUISITION CORPORATION II
NOTES
TO UNAUDITED CONDENSED FINANCIAL STATEMENTS
|
|
|
March 31, 2021
|
|
|
December 31, 2020
|
|
|
Volatility
|
|
|
27.7
|
%
|
|
|
25.8
|
%
|
|
Share price
|
|
$
|
10.20
|
|
|
$
|
10.33
|
|
|
Risk-free rate
|
|
|
0.92
|
%
|
|
|
0.36
|
%
|
|
Dividend yield
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
The change
in the fair value of the derivative warrant liabilities for the period for the three months ended March 31, 2021 is summarized as
follows:
|
Warrant liabilities at December 31, 2020
|
|
$
|
45,156,670
|
|
|
Change in fair value of warrant liabilities
|
|
|
3,565,000
|
|
|
Warrant liabilities at March 31, 2021
|
|
$
|
48,721,670
|
|
Note 10 — Subsequent Events
Management has evaluated subsequent events and
transactions that occurred after the balance sheet date through the date the balance sheet was available for issuance. Based upon this
review, except as noted above, the Company did not identify any subsequent events that would have required adjustment or disclosure in
the financial statements.
