Fair Value Measurements

6 Months Ended

Jun. 30, 2021

8. Fair Value Measurements

Fair value is measured based on an exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As such, fair value is a market-based measurement that should be determined based on assumptions market participants would use in pricing an asset or liability. Assets and liabilities measured at fair value are based on a market valuation approach using prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. As a basis for considering such assumptions, a three-tiered fair value hierarchy is established, which prioritizes the inputs used in measuring fair value as follows: (Level 1) observable inputs such as quoted prices in active markets; (Level 2) inputs, other than the quoted prices in active markets that are observable, either directly or indirectly; and (Level 3) unobservable inputs in which there is little or no market data, which require the reporting entity to develop its own assumptions. Management determined that the fair value of each Sponsor Warrant is similar to that of a Public Warrant, with adjustments for implied volatility for the Company after the Business Combination is completed. Accordingly, at June 30, 2021 the Public Warrants are classified as Level 1 financial instruments and the Sponsor Warrants were classified as Level 3 financial instruments.

The following table presents the Company’s assets and liabilities that are measured at fair value and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


	Fair Value measured as of June 30, 2021
	Level 1		Level 2		Level 3		Total
Cash and Marketable Securities Held in Trust	$	500,010,358	$	—	$	—	$	500,010,358

Warrant derivative liability
Public Warrants	$	45,000,000	$	—	$	—	$	45,000,000
Sponsor Warrants		—		—		29,840,000		29,840,000
Total Warrant derivative liability	$	45,000,000	$	—	$	29,840,000	$	74,840,000


	Fair Value measured as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Cash and Marketable Securities Held in Trust	$	500,078,624	$	—	$	—	$	500,078,624

Warrant derivative liability
Public Warrants	$	37,000,000	$	—	$	—	$	37,000,000
Sponsor Warrants		—		18,720,000		—		18,720,000
Total Warrant derivative liability	$	37,000,000	$	18,720,000	$	—	$	55,720,000

The following is a summary of changes in fair value of our warrant derivative liability categorized within the Level 3 hierarchy as of June 30, 2021:


	Level 3 Derivative
December 31, 2020	$	—
Transfer into Level 3		18,720,000
Loss on derivative liability		960,000
Balance March 31, 2021	$	19,680,000
Loss on derivative liability		10,160,000
Balance June 30, 2021	$	29,840,000

- 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.

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