Fair Value Measurements (Tables)
 7 Months Ended 9 Months Ended
Dec. 31, 2020
Sep. 30, 2021
Fair Value Disclosures [Abstract]    
Summary of Financial Assets that are Measured at Fair Value on a Recurring Basis
The following table presents information about the Company’s financial assets 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:
  
      
 
      
  
      
U.S. Treasury bills
    $ 575,282,641
(1)
 		   $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities
    $ 43,508,330     $ —        $ 22,003,330  
 
  (1)
Includes $667 in cash.
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 September 30, 2021, and December 31, 2020, by level within the fair value hierarchy:
 
    
Fair Value Measured as of September 30, 2021
  
    
Quoted Prices in Active
     
Significant Other
     
Significant Other
  
    
Markets
     
Observable Inputs
     
Unobservable Inputs
  
Description
   
(Level 1)
     
(Level 2)
     
(Level 3)
  
Assets:
                           
U.S. Treasury bills
(1)
    $  575,457,635      $  —        $ —    
Liabilities:
                           
Derivative warrant liabilities - Public warrants
    $ 15,419,580      $ —        $ —    
Derivative warrant liabilities - Private warrants
    $ —        $ —        $  7,705,950  
 
  
Fair Value Measured as of December 31, 2020
 
 
  
Quoted Prices in Active
 
  
Significant Other
 
  
Significant Other
 
 
  
Markets
 
  
Observable Inputs
 
  
Unobservable Inputs
 
Description
  
(Level 1)
 
  
(Level 2)
 
  
(Level 3)
 
Assets:
  
      
  
      
  
      
U.S. Treasury bills
(2)
    $  575,282,641      $  —        $ —    
Liabilities:
                           
Derivative warrant liabilities - Public warrants
    $ 43,508,330      $ —        $ —    
Derivative warrant liabilities - Private warrants
    $ —        $ —        $  22,003,330  
Summary of Fair Value Measurement Inputs and Valuation Techniques
The following table provides quantitative information regarding Level 3 fair value measurements inputs for the Company’s warrants at their measurement dates:
 
    
As of August 17, 2020
   
As of December 31, 2020
Volatility
   
10% - 25%
   
10% - 25.5%
Stock price
   
$9.89 - $10.12
    $10.89
Time to M&A
    1    1
Risk-free rate
    0.39%    0.48%
Dividend yield
    0.0%    0.0%
 
The following table provides quantitative information regarding Level 3 fair value measurements inputs for the Company’s Private Placement Warrants at their measurement dates:
 
 
  
As of September 30, 2021
  
As of December 31, 2020
Volatility
  
10% - 13.3%
  
10% - 25.5%
Stock price
  
$9.84
  
$10.54
Time to M&A
  
0.44
  
1
Risk-free rate
  
1.05%
  
0.48%
Dividend yield
  
0.0%
  
0.0%
Summary of 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 period from July 20, 2020 (inception) through December 31, 2020, is summarized as follows:
 
Derivative warrant liabilities at June 10, 2020 (inception)
    $ —    
Issuance of Public and Private Warrants - Level 3
      43,100,000  
Change in fair value of derivative warrant liabilities
      7,270,000  
Transfers of Public Warrants to Level 1 measurement
      (28,366,670 ) 
    
 
 
  
Derivative warrant liabilities - Level 3, at December 31, 2020
    $ 22,003,330  
    
 
 
  
The change in the fair value of the derivative warrant liabilities, measured using level 3 inputs, for the three and nine months ended September 30, 2021, is summarized as follows:
 
Derivative warrant liabilities - Level 3, at December 31, 2020
  
$
22,003,330
 
Change in fair value of derivative warrant liabilities
  
 
(8,514,330
) 
 
  
 
 
 
Derivative warrant liabilities - Level 3, at March 31, 2021
  
$
13,489,000
 
Change in fair value of derivative warrant liabilities
  
 
(3,061,330
) 
 
  
 
 
 
Derivative warrant liabilities - Level 3, at June 30, 2021
  
$
10,427,670
 
Change in fair value of derivative warrant liabilities
  
 
(2,721,720
) 
 
  
 
 
 
Derivative warrant liabilities - Level 3, at September 30, 2021
  
$
7,705,950