Registration of securities issued in business combination transactions

Fair Value Measurements (Tables)

v3.21.2
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

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

 

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

      461,450        451,390        912,840  
  

 

 

     

 

 

     

 

 

  

Derivative warrant liabilities at March 31, 2021

    $ 20,230,560      $ 15,842,980      $ 36,073,540