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
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
  

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
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
      —         —    
Summary of fair value of the derivative warrant liabilities
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