Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements
Note 8—Fair Value Measurements
The following tables present 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.
March 31, 2021
 
 
  
Quoted Prices in
Active Markets
 
  
Significant Other
Observable Inputs
 
  
Significant Other
Unobservable Inputs
 
Description
  
(Level 1)
 
  
(Level 2)
 
  
(Level 3)
 
Assets:
  
      
  
      
  
      
U.S. Treasury Securities
    $ 690,017,725      $  —        $  —    
Liabilities:
                          
Derivative warrant liabilities – public warrants
 
$
34,831,310
 
 
$
—  
 
 
$
—  
 
Derivative warrant liabilities – private warrants
   
$
—
 
   
$
—  
 
   
$
 23,288,180  
 
December 31, 2020
 
 
  
Quoted Prices in
Active Markets
 
  
Significant Other
Observable Inputs
 
  
Significant Other
Unobservable Inputs
 
Description
  
(Level 1)
 
  
(Level 2)
 
  
(Level 3)
 
Assets:
  
      
  
      
  
      
U.S. Treasury Securities
    $ 690,167,879      $  —        $  —    
Liabilities:
                           
Derivative warrant liabilities – public warrants
    $
56,112,680
      $ —        $ —    
Derivative warrant liabilities – private warrants
    $ —        $ —        $
43,825,360
  

The remainder of the balance in Investments held in Trust Account is comprised of cash equivalents. Level 1 instruments include investments in cash, money market funds and U.S. Treasury 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.
Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers from a Level 3 measurement to a Level 1 for the three months ended March 31, 2021.
The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model and subsequently, the fair value of the Private Placement Warrants have been estimated using a Monte Carlo simulation model each measurement date. The fair value of Public Warrants issued in connection with the Initial Public Offering have been measured based on the listed market price of such warrants, a Level 1 measurement, since November 2020. For the period ended March 31, 2021, the Company recognized a charge to the statement of operations resulting from a decrease in the fair value of liabilities of approximately $41.8 million presented as change in fair value of derivative warrant liabilities on the accompanying statement 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 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:
 
    
As of
March 31,
2021
    
As of
December 31,
2020
  
Stock price
    $ 10.15     $ 11.56  
Volatility
      26.5 %      40.4 % 
Expected life of the options to convert
      5.21       5.46  
Risk-free rate
      0.97 %      0.43 % 
Dividend yield
      —         —    
The change in the fair value of the derivative warrant liabilities for three months ended March 31, 2021 is summarized as follows:
 
Derivative warrant liabilities at December 31, 2020
    $ 99,938,040  
Change in fair value of derivative warrant liabilities
      (41,818,550 ) 
    
 
 
  
Derivative warrant liabilities at March 31, 2021
    $ 58,119,490