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FAIR VALUE MEASUREMENTS | 6 Months Ended
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Jun. 30, 2021
FAIR VALUE MEASUREMENTS |
FAIR VALUE MEASUREMENTS | NOTE 9. FAIR VALUE MEASUREMENTS ​ The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities: ​ Level 1: Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2: Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.
| Level 3: | Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.
​ Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers into or out of Level 3 fair value measurements in the six months ended June 30, 2021. ​ Investments Held in Trust ​ The Company classifies its U.S. Treasury and equivalent securities as held-to-maturity in accordance with ASC Topic 320 “Investments - Debt and Equity Securities.” Held-to-maturity securities are those securities which the Company has the ability and intent to hold until maturity. Held-to-maturity treasury securities are recorded at amortized cost on the accompanying balance sheets and adjusted for the amortization or accretion of premiums or discounts. ​ As of June 30, 2021 and December 31, 2020, assets held in the Trust Account were comprised of $1,036,010,297 and $383 in cash and zero and $1,035,848,884 in U.S. Treasury securities, respectively. During the six months ended June 30, 2021 and 2020 and the year ended December 31, 2020, the Company did not withdraw any interest income from the Trust Account. ​ The following table presents information about the Company’s assets that are measured at fair value on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. As of June 30, 2021, all investments held in trust were held in cash and are therefore excluded from the table below. The gross holding gains and fair value of held-to-maturity securities at December 31, 2020 are as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Gross | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | Amortized | ​ | Holding | ​ | ​ | ​
​ |  | Held-To-Maturity |  | Level |  | Cost |  | Gain |  | Fair Value
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31,2020 | ​ | U.S. Treasury Securities (Matured on 2/25/2021) | ​ | 1 | ​ | $ | 1,035,848,884 | ​ | $ | 22,518 | ​ | $ | 1,035,871,402
​ Warrant and Forward Purchase Liabilities ​ The Warrants and FPAs are accounted for as liabilities pursuant to ASC 815-40 and are measured at fair value as of each reporting period. Changes in the fair value of the warrant and FPA liabilities are recorded in the statement of operations each period. ​ The following table presents the fair value hierarchy for liabilities measured at fair value on a recurring basis as of June 30, 2021 and December 31, 2020: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
As of June 30, 2021 |  | ​ | ​ |  | ​ | ​ |  | ​ | ​ |  | ​ | ​
​ |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Warrant liabilities: |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |
Public Warrants | ​ | $ | 71,760,000 | ​ | $ | — | ​ | $ | — | ​ | $ | 71,760,000
Private Placement Warrants | ​ |  | — | ​ |  | — | ​ |  | 33,747,333 | ​ |  | 33,747,333
Total warrant liabilities | ​ | $ | 71,760,000 | ​ | $ | — | ​ | $ | 33,747,333 | ​ | $ | 105,507,333
Forward Purchase liability | ​ | $ | — | ​ | $ | — | ​ | $ | 15,000,822 | ​ | $ | 15,000,822
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
As of December 31, 2020 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Warrant liabilities: |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |
Public Warrants | ​ | $ | 87,285,000 | ​ | $ | — | ​ | $ | — | ​ | $ | 87,285,000
Private Placement Warrants | ​ |  | — | ​ |  | — | ​ |  | 40,103,332 | ​ |  | 40,103,332
Total warrant liabilities | ​ | $ | 87,285,000 | ​ | $ | — | ​ | $ | 40,103,332 | ​ | $ | 127,388,332
Forward Purchase liability | ​ | $ | — | ​ | $ | — | ​ | $ | 54,277,110 | ​ | $ | 54,277,110
​ The Public Warrants were valued using the instrument’s publicly listed trading price (NYSE: WPF.WS) as of June 30, 2021 and December 31, 2020. ​ The Private Placement Warrants were valued using a Modified Black Scholes Model, which is considered to be a Level 3 fair value measurement. The Modified Black Scholes Model uses a Black Scholes Option Pricing Model that is modified to reduce the value of the Private Placement Warrants for a discount for the lack of marketability of the instrument as well as for the probability of consummation of the Business Combination. The model utilizes key inputs including the probability of consummation of a Business Combination, a discount for the lack of marketability, implied volatility of the underlying securities indirectly derived based on comparable public company trading data, risk free interest rates based on US treasury rates, the expected time to consummation of a Business Combination based on the probability of consummation and expiration date of the warrants based on the contractual warrant terms. The primary unobservable inputs utilized in determining the fair value of the Private Placement Warrants is the discount for lack of marketability and the probability of consummation of the Business Combination. The discount for lack of marketability was determined using the Finnerty Model at 6.0%. The probability assigned to the consummation of the Business Combination was 100% which was determined based on a hybrid approach of both observed success rates of business combinations for special purpose acquisition companies and the Sponsors’ track record for consummating similar transactions. ​ The following table presents a summary of the changes in the fair value of the Private Placement Warrants, a Level 3 liability, measured on a recurring basis. ​
​ | ​ | ​ | ​
​ |  | Private Placement
​ | ​ | Warrant Liability
Fair value, December 31, 2020 | ​ | $ | 40,103,332
Gain on change in fair value (1) | ​ |  | (14,830,666)
Fair value, March 31, 2021 | ​ | ​ | 25,272,666
Loss on change in fair value (1) | ​ | ​ | 8,474,667
Fair value, June 30, 2021 | ​ | $ | 33,747,333
​ | ​ | ​ | ​
Fair value, May 29, 2020 | ​ | $ | 21,489,333
Loss on change in fair value (1) | ​ | ​ | 3,480,666
Fair value, June 30, 2020 | ​ | $ | 24,969,999
(1) Represents the non-cash (gain) loss on the change in valuation of the Private Placement Warrants and is included in Change in fair value of warrant liability on the unaudited condensed statement of operations. ​ The liability for the FPAs was valued using an adjusted net assets method, which is considered to be a Level 3 fair value measurement. Under the adjusted net assets method utilized, the aggregate commitment of $300,000,000 pursuant to the FPAs is discounted to present value and compared to the fair value of the common stock and warrants to be issued pursuant to the FPAs. The fair value of the common stock and warrants to be issued under the FPAs are based on the public trading price of the Units issued in the Company’s IPO. The excess (liability) or deficit (asset) of the fair value of the common stock and warrants to be issued compared to the $300 million fixed commitment is then reduced to account for the probability of consummation of the Business Combination. The method uses key inputs including probability of consummation of a business combination, the contractual fixed purchase commitment of $300 million, the publicly listed trading prices of the underlying securities to be purchased pursuant to the FPAs, risk free interest rates based on US treasury rates and the expected time to consummation of a Business Combination based on the probability of consummation. The primary unobservable input utilized in determining the fair value of the FPAs is the probability of consummation of the Business Combination. As of December 31, 2020, the probability assigned to the consummation of the Business Combination was 100% which was determined based on a hybrid approach of both observed success rates of business combinations for special purpose acquisition companies and the Sponsors’ track record for consummating similar transactions. ​ The following table presents a summary of the changes in the fair value of the FPA liability, a Level 3 liability, measured on a recurring basis. ​
​ | ​ | ​ | ​
​ |  | Forward Purchase
​ | ​ | Liability
Fair value, December 31, 2020 | ​ | $ | 54,277,110
Gain on change in fair value (1) | ​ |  | (34,305,798)
Fair value, March 31, 2021 | ​ | ​ | 19,971,312
Gain on change in fair value (1) | ​ | ​ | (4,970,490)
Fair value, June 30, 2021 | ​ | $ | 15,000,822
​ | ​ | ​ | ​
Fair value, May 29, 2020 | ​ | $ | —
Loss on change in fair value (1) | ​ | ​ | 18,909,921
Fair value June 30, 2020 | ​ | $ | 18,909,921
(1) Represents the non-cash (gain) loss on the change in valuation of the liability for the FPAs and is included in Change in fair value of forward purchase liability on the unaudited condensed consolidated statement of operations.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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