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
Debt Securities, Held-to-maturity, Allowance for Credit Loss [Line Items]  
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)
 
                      
As of September 30, 2021:
                          
Assets:
                          
Investments held in Trust Account - U.S Treasury Securities Money Market Fund
   $  402,518,127      $ —        $ —    
Liabilities
                          
Derivative warrant liabilities - Public
   $ 17,307,500      $ —        $ —    
Derivative warrant liabilities - Private
            $  8,643,000           
Other derivative instruments
   $ —        $ —        $  5,048,594  
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 for warrants 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
Warrant Liabilities [Member]  
Debt Securities, Held-to-maturity, Allowance for Credit Loss [Line Items]  
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) warrant 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
     (2,280,833      (1,139,000      (3,419,833
Transfers out of Level 3 during nine months ended September 30, 2021
     (17,307,500      (8,643,000      (25,950,500
Ending balance as of September 30, 2021
   $ —        $ —        $ —    
Forward Currency Contract
Forward Currency Contract [Member]  
Debt Securities, Held-to-maturity, Allowance for Credit Loss [Line Items]  
Summary of Provides Quantitative Information Regarding Level 3 Fair Value Measurements The following table provides quantitative information
regarding
Level 3 fair value measurement for the Deal-Contingent Forward as of September 30, 2021:
Expected Business Combination closing date
    
December 31, 2021
 
Probability of Business Combination close prior to April 19, 2022
     70
Risk-free interest rate
     0.056
EUR to USD forward exchange rate
     1.1954  
Counterparty credit risk
     De minimis  
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) forward currency contract liabi
lities
for the nine months ended September 30, 2021:
 
     Other Derivative instruments
(Level 3)
 
        
Beginning balance at December 31, 2020
   $ —    
Change in fair value
     5,048,594  
Transfers out of Level 3 during nine months ended September 30, 2021
     —    
Ending balance as of September 30, 2021
   $  5,048,594