Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Summary of assets that are measured at fair value on a recurring basis
Description
   
Quoted Prices in

Active Markets
(Level 1)
     
Significant Other

Observable Inputs
(Level 2)
     
Significant Other

Unobservable Inputs
(Level 3)
  
Assets:
                           
U.S. Treasury Securities
    $ 977,508,836      $ —        $ —    
Liabilities:
                           
Derivative warrant liabilities – public warrants
    $ —        $ —        $ 19,769,110  
Derivative warrant liabilities – private warrants
    $ —        $ —        $ 15,391,590  
Summary of fair value measurement inputs and valuation techniques
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:
 
    
As of March 31,
2021
    
As of March 18,
2021
  
Stock price
    $ 9.83     $ 9.80  
Volatility
      23.3 %      23.0 % 
Expected life of the options to convert
      6.46       6.51  
Risk-free rate
      1.27 %      1.17 % 
Dividend yield
      —         —    
Summary of fair value of the derivative warrant liabilities
The change in the fair value of the Level 3 derivative warrant liabilities for three months ended March 31, 2021 is summarized as follows:
 
 
  
Public
Warrants
 
  
Private
Warrants
 
  
Total
 
Derivative warrant liabilities at December 31, 2020
   
$
—  
 
 
$
—  
 
 
 $ —    
Issuance of derivative warrant liabilities
   
 
19,769,110
 
 
 
15,391,590
 
 
   35,160,700  
Change in fair value of derivative warrant liabilities
   
 
416,450
 
 
 
451,390
 
 
   912,840  
Derivative warrant liabilities at March 31, 2021
   
$
20,230,560
 
 
$
15,842,980
 
 
 $ 36,073,540