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 financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020 by level within the fair value hierarchy:
 
Description
  
Quoted Prices in Active
Markets

(Level 1)
 
  
Significant Other
Observable Inputs

(Level 2)
 
  
Significant Other
Unobservable Inputs
(Level 3)
 
Assets
  
   
  
   
  
   
Investmets held in Trust Account - U.S. Treasury Securities
  
$
414,011,571
 
  
$
—  
 
  
$
—  
 
    
Liabilities
  
   
  
   
  
   
Derivative warrant liabilities -Public Warrants
  
$
10,764,000
 
  
$
—  
 
  
$
—  
 
Derivative warrant liabilities -Private Warrants
  
$
—  
 
  
$
—  
 
  
$
165,780
 
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning 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 December 2020, upon trading of the Public Warrants in an active market.
The fair value of the warrants issued in connection with the Initial Public Offering was initially measured using a Monte Carlo simulation model and subsequently been measured based on the listed market price of such warrants. The fair value of the warrants issued in connection with the Private Placement have been estimated using a Black-Scholes Option Pricing model at each measurement date.
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 Black-Scholes Option Pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its Class A common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s Class A 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:
 
 
  
As of September 18, 2020
 
 
As of December 31, 2020
 
Exercise price
  
$
11.50
 
 
$
11.50
 
Stock price
  
$
9.69
 
 
$
10.01
 
Volatility
  
 
22.0
% 
 
 
17.0
% 
Term
  
 
5.00
 
 
 
5.00
 
Risk-free rate
  
 
0.46
% 
 
 
0.56
% 
Dividend yield
  
 
0.0
% 
 
 
0.0
% 
The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the period from June 22, 2020 (inception) through December 31, 2020 is summarized as follows:
 
Level 3 derivative warrant liabilities at June 22, 2020 (inception)
  
   
  
$
—  
 
Issuance of Public and Private Warrants
  
   
  
 
13,765,730
 
Transfer of Public Warrants to Level 1
  
   
  
 
(12,109,500
) 
Change in fair value of derivative warrant liabilities
  
   
  
 
(1,490,450
) 
 
  
 
 
 
  
 
 
 
Level 3 derivative warrant liabilities at December 31, 2020
  
   
  
$
165,780