Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.21.2
FAIR VALUE MEASUREMENTS (Tables)
6 Months Ended
Jun. 30, 2021
FAIR VALUE MEASUREMENTS [Abstract]  
Gross Holding Gains and Fair Value of Held-to-Maturity Securities

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at June 30, 2021 and December 31, 2020. The gross holding gains and fair value of held-to-maturity securities at June 30, 2021 and December 31, 2020 are as follows:



Held-To-Maturity  
Amortized
Cost
 
Gross
Holding
Gain
 
Fair Value
December 31, 2020
 
 U.S. Treasury Securities (Matured on 2/4/2021)
   
$
449,973,787
   
$
3,713
   
$
449,977,500
 
Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description
 
Level
   
June 30, 2021
   
December 31, 2020
 
Assets:
                 
Money Market Fund
   
1
   
$
450,117,135
     
N/A
 
                         
Liabilities:
                       
Warrant Liability – Public Warrants
   
1
   
$
49,050,000
   
$
30,375,000
 
Warrant Liability – Private Placement Warrants
   
3
   
$
23,980,000
   
$
14,850,000
 
Level 3 Fair Value Measurements of Warrant Liabilities

The following table presents the quantitative information regarding Level 3 fair value measurements of the warrant liabilities:

   
June 30,
2021
   
December 31,
2020
 
Stock price
 
$
10.08
   
$
10.12
 
Term (in years)
   
6.28
     
6.08
 
Volatility
   
39.0
%
   
33.0
%
Risk-free rate
   
0.98
%
   
0.52
%
Dividend yield
   
0.0
%
   
0.0
%
Changes in Fair Value of Level 3 Warrant Liabilities

The following table presents the changes in the fair value of Level 3 warrant liabilities:

 
Private Placement
 
Fair value as of January 1, 2021
 
$
14,850,000
 
Change in fair value
   
9,130,000
Fair value as of June 30, 2021
 
$
23,980,000