Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 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
   $ 977,556,354      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities – public warrants
   $ 18,328,130      $ —        $ —    
Derivative warrant liabilities – private warrants
   $ —        $ —        $ 13,795,000  
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
September 30,
2021
   
As of
March 18,
2021
 
Stock price
   $ 9.93     $ 9.80  
Volatility
     19.4     23.0
Expected life of the options to convert
     5.96       6.51  
Risk-free rate
     1.14     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 nine months ended September 30, 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  
Transfer to Level 1
     (22,008,700      —          (22,008,700
Change in fair value of derivative warrant liabilities
     2,239,590        (1,596,590      643,000  
    
 
 
    
 
 
    
 
 
 
Derivative warrant liabilities at September 30, 202
1
   $ —        $ 13,795,000      $ 13,795,000