Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Summary of the Company's Assets and Liabilities that are Measured at Fair Value on a Recurring Basis
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
 
Description
  
Quoted Prices in 
Active
 
Markets
(Level 1)
    
Significant Other
Observable Inputs
(Level 2)
    
Significant Other
Unobservable Inputs
(Level 3)
 
Assets:
                          
Investments held in Trust Account – U.S. Treasury Securities Money Market Fun
d
   $ 402,518,127      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities – Public
   $ 17,307,500      $ —        $ —    
Derivative warrant liabilities – Private
   $ —        $ 8,643,000      $ —    
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
 
Description
  
Quoted Prices in 
Active
 
Markets
(Level 1)
    
Significant Other
Observable Inputs
(Level 2)
    
Significant Other
Unobservable Inputs
(Level 3)
 
Assets:
                          
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund
   $ 402,500,000      $
 
—  
     $ —    
Liabilities:
                          
Derivative warrant liabilities – Public
   $ —        $ —        $ 19,588,333  
Derivative warrant liabilities – Private
   $ —        $ —        $ 9,782,000  
Summary of Provides Quantitative Information Regarding Level 3 Fair Value Measurements
The following table provides quantitative information regarding Level 3 fair value measurements as of December 31, 2020:
 
Share price
   $ 9.79  
Exercise price
   $ 11.50  
Risk-free interest rate
     0.69
Volatility
     23.0
Expected term (years)
     5.0  
Dividend yield
     0.0
Summary of Roll-forward of the Fair value of Level 3 Assets and Liabilities
The following table presents a roll-forward of the fair value of Level 3 (significant unobservable inputs) liabilities for the nine months ended September 30, 2021:
 
    
Public 
Warrant
Liabilities
    
Private 
Warrant
Liabilities
    
Total Warrant
Liabilities
 
Beginning balance at December 31, 2020
   $ 19,588,333      $ 9,782,000      $ 29,370,333  
Change in fair value
     (2,280,832      (1,139,000      (3,419,833
Transfers out of Level 3 during nine months ended September 30, 2021
     (17,307,501      (8,643,000      (25,950,500
Ending balance as of
September
 30, 2021
   $      $      $