v3.21.2

Fair Value Measurements | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Note 9-Fair Value Measurements 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 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held in Trust Account—U.S. Treasury Securities |  | $ | 414,042,541 |  |  | $ | — |  |  | $ | — |  |  | $ | 414,042,541 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liabilities—public warrants |  | $ | 8,383,500 |  |  | $ | — |  |  | $ | — |  |  | $ | 8,383,500 |
Warrant liabilities—private warrants |  | $ | — |  |  | $ | — |  |  | $ | 124,335 |  |  | $ | 124,335 |
|  | Fair Value Measured as of December 31, 2020 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments held in Trust Account—U.S. Treasury Securities |  | $ | 414,011,571 |  |  | $ | — |  |  | $ | — |  |  | $ | 414,011,571 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liabilities—public warrants |  | $ | 10,764,000 |  |  | $ | — |  |  | $ | — |  |  | $ | 10,764,000 |
Warrant liabilities—private warrants |  | $ | — |  |  | $ | — |  |  | $ | 165,780 |  |  | $ | 165,780 |
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers between levels for the three and nine months ended September 30, 2021. The fair value of the warrants issued in connection with the Initial Public Offering was initially measured using a Monte-Carlo simulation model and subsequently been measured based on the listed market price of such warrants at each measurement date when separately listed and traded in November 2020. The fair value of the warrants issued in connection with the Private Placement have been estimated using a Black-Scholes Option Pricing model at each measurement date. The estimated fair value of the Private Placement Warrants has been determined using Level 3 inputs. Inherent in a Black-Scholes Option Pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its Class A common stock based on historical volatility of select peer company that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:
|  | September 30, 2021 |  |  | December 31, 2020 |
Exercise price |  | $ | 11.50 |  |  | $ | 11.50 |
Stock Price |  | $ | 9.82 |  |  | $ | 10.01 |
Term (in years) |  |  | 5.00 |  |  |  | 5.00 |
Volatility |  |  | 16.10 | % |  |  | 17.00 | %
Risk-free interest rate |  |  | 1.17 | % |  |  | 0.56 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the three and nine months ended September 30, 2021 is summarized as follows:
Level 3 warrant liabilities at December 31, 2020 |  | $ | 165,780 |
Change in fair value of warrant liabilities |  |  | (30,700 | )
Level 3 warrant liabilities at March 31, 2021 |  |  | 135,080 |
Change in fair value of warrant liabilities |  |  | 23,025 |
Level 3 warrant liabilities at June 30, 2021 |  |  | 158,105 |
Change in fair value of warrant liabilities |  |  | (33,770 | )
Level 3 warrant liabilities at September 30, 2021 |  | $ | 124,335 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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