v3.21.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Summary of assets and liabilities that are measured at fair value on a recurring basis
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 March 31, 2021 and December 31, 2020 by level within the fair value hierarchy:
 
   
Fair Value Measured as of March 31, 2021
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                    
Investments held in Trust Account—U.S. Treasury Securities
  $414,021,780   $—     $—     $414,021,780 
Liabilities:
                    
Warrant liabilities—public warrants
   8,797,500    —      —      8,797,500 
Warrant liabilities—private warrants
   —      —      135,080    135,080 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total fair value
  $ 422,819,280   $—     $135,080   $422,954,360 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
   
Fair Value Measured as of December 31, 2020
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                    
Investments held in Trust Account—U.S. Treasury Securities
  $ 414,011,571   $—     $—     $414,011,571 
Liabilities:
                    
Warrant liabilities—public warrants
   10,764,000    —      —      10,764,000 
Warrant liabilities—private warrants
   —      —      165,780    165,780 
   
 
 
   
 
 
   
 
 
   
 
 
 
Total fair value
  $424,775,571   $—     $165,780   $424,941,351 
   
 
 
   
 
 
   
 
 
   
 
 
 
Summary of fair value measurements inputs
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:
 
   
March 31, 2021
 
Exercise price
  $ 11.50 
Stock
p
rice
  $9.72 
Term (in years)
   5.00 
Volatility
   15.00
Risk-free interest rate
   1.20
Dividend yield
   —   
Summary of change in the fair value of the derivative warrant liabilities
The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the three months ended March 31, 2021 is summarized as follows:
 
Level 3 warrant liabilities at December 31, 2020
  $ 165,780 
Change in fair value of warrant
liabilities
   (30,700
   
 
 
 
Level 3 warrant liabilities at March 31, 2021
  $135,080