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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Summary of Liabilities Measured at Fair Value on Recurring Basis

The Company’s liabilities that are measured at fair value on a recurring basis consist of the following as of September 30, 2021 (in thousands):

Description		Quoted Prices in Active Markets for Identical Liabilities (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)
Public warrant liabilities		$	23,480			$	—			$	—
Private placement warrant liabilities		$	—			$	—			$	16,231

Schedule of Changes in Private Placement Warrant Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs

The following summarizes the changes in the Company’s private placement warrant liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the respective periods (in thousands):

		Three Months Ended September 30,								Nine Months Ended September 30,
		2021				2020				2021				2020
Beginning balance		$	—			$	—			$	—			$	—
Initial fair value of private placement warrants			10,291				—				10,291				—
Change in fair value of private placement warrants included in net loss			5,940				—				5,940				—
Ending balance		$	16,231			$	—			$	16,231			$	—

Schedule of Fair Value of Private Placement Warrants Estimated Using Black-Scholes-Merton Option Pricing Model

The fair value of the private placement warrants is estimated using the Black-Scholes-Merton option-pricing model based on the following key assumptions and significant inputs as of the respective valuation dates:

		September 30, 2021				September 1, 2021
Volatility			34.50	%			25.00	%
Stock price		$	8.72			$	8.80
Expected life of the options to convert			4.919				5.000
Risk-free rate			0.98	%			0.78	%
Dividend yield			0.00	%			0.00	%

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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- Definition

Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
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-Section 50
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-Subparagraph (a)
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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258

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-Name Accounting Standards Codification
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