v3.22.0.1
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 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 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  
Summary of fair value measurements inputs
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
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 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