Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.21.1
Fair Value Measurements
 6 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements
Note 9—Fair Value Measurements
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
 
    
Quoted Prices in
Active Markets
     
Significant Other
Observable Inputs
     
Significant Other
Unobservable Inputs
  
Description
   
(Level 1)
     
(Level 2)
     
(Level 3)
  
Assets:
                           
Investments held in Trust Account(1)
    $ 690,167,879      $ —        $ —    
Liabilities:
                           
Derivative warrant liabilities – Public Warrants
    $ 56,112,680      $ —        $ —    
Derivative warrant liabilities - Private Warrants
    $ —        $ —        $ 43,825,360  
 
(1)
Excludes $3,487 in cash.
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. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement in November 2020, when the Public Warrants were separately listed and traded.
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 December 31, 2020, the Company recognized a charge to the statement of operations resulting from an increase in the fair value of liabilities of approximately $61.7 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
September 18, 2020
    
As of
September 30, 2020
    
As of
December 31, 2020
  
Stock price
    $ 9.67     $ 11.01     $ 11.56  
Volatility
      22.8 %      22.9 %      40.4 % 
Expected life of the options to convert
      5.75       5.71       5.46  
Risk-free rate
      0.35 %      0.35 %      0.43 % 
Dividend yield
      —         —         —    
The change in the fair value of the derivative warrant liabilities for the period from July 3, 2020 (inception) through December 31, 2020 is summarized as follows:
 
Derivative warrant liabilities at July 3, 2020 (inception)
   
$
—  
 
Issuance of Public and Private Warrants
      38,257,890  
Change in fair value of derivative warrant liabilities
      61,680,150  
Derivative warrant liabilities at December 31, 2020
      99,938,040