v3.22.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Summary of assets and liabilities that are measured at fair value on a recurring basis
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 December 31, 2021 and 2020 by level within the fair value hierarchy:
 
    
Fair Value Measured as of December 31, 2021
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Assets:

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Investments held in Trust Account - U.S. Treasury Securities
   $ 414,052,978      $ —        $ —        $  414,052,978  
Liabilities:
                                   
Warrant liabilities - Public Warrants
   $ 7,027,650      $  —        $ —        $ 7,027,650  
Warrant liabilities - Private Placement Warrants
   $ —        $ —        $  107,910      $ 107,910  
 
    
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 Placement Warrants
   $ —        $ —        $  165,780      $ 165,780  
Summary of fair value measurements inputs
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:
 
    
December 31, 2021
   
December 31, 2020
 
Exercise price
   $  11.50     $ 11.50  
Stock Price
   $ 9.81     $ 10.01  
Term (in years)
     5.00       5.00  
Volatility
     14.20     17.00
Risk-free interest rate
     1.34     0.56
Dividend yield
     0.00     0.00
Probability of success
     80.00     100.00
Summary of change in the 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 year ended December 31, 2021 and for the period from June 22, 2020 (inception) through December 31, 2020 is summarized as follows:
 
Level 3 warrant liabilities as of June 22, 2020 (inception)
   $ —    
Issuance of Public and Private Placement Warrants
     13,765,730  
Transfer of Public Warrants to Level 1
     (12,109,500
Change in fair value of derivative warrant liabilities
     (1,490,450
    
 
 
 
Level 3 warrant liabilities as of December 31, 2020
     165,780  
Change in fair value of derivative warrant liabilities
     (57,870
    
 
 
 
Level 3 warrant liabilities as of December 31, 2021
   $ 107,910