Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2021
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items]  
Summary of Information About Assets Measured at Fair Value on Recurring Basis

The following tables present information about the Company’s assets that are measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

June 30, 2021

 

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

 

$

402,685,072

 

 

$

-

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative liabilities - Public Warrants

 

$

20,661,670

 

 

$

-

 

 

$

-

 

Derivative liabilities - Private Placement Warrants

 

$

-

 

 

$

-

 

 

$

10,452,000

 

Derivative liabilities - Forward Purchase Agreements

 

$

-

 

 

$

-

 

 

$

2,150,000

 

 

 

December 31, 2020

 

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

 

$

402,578,522

 

 

$

-

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative liabilities - Public Warrants

 

$

27,504,170

 

 

$

-

 

 

$

-

 

Derivative liabilities - Private Placement Warrants

 

 

 

 

 

 

 

 

 

$

14,070,000

 

Derivative liabilities - Forward Purchase Agreements

 

$

-

 

 

$

-

 

 

$

8,100,000

 

Summary of Fair Value Measurement Inputs and Valuation Techniques

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates for the warrants:

 

 

 

As of December 31,

2020

 

 

As of March 31,

2021

 

 

As of June 30,

2021

 

Volatility

 

21.75%

 

 

24.25%

 

 

22.13%

 

Stock price

 

$

11.00

 

 

$

10.11

 

 

$

9.93

 

Expected life of the options to convert

 

5.647

 

 

5.297

 

 

5.047

 

Risk-free rate

 

0.469%

 

 

0.980%

 

 

0.870%

 

Dividend yield

 

0.00%

 

 

0.00%

 

 

0.00%

 

Summary of Fair Value of the Derivative Liabilities Utilizing Level 3 Measurements

The change in the fair value of the derivative liabilities utilizing Level 3 measurements for the three and six months ended June 30, 2021 is summarized as follows:

 

Forward Purchase Agreements  
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis [Line Items]  
Summary of Fair Value Measurement Inputs and Valuation Techniques

The following table provides quantitative Level 3 fair value measurement inputs at their measurement dates for the forward purchase agreements:

 

 

 

As of December 31,

2020

 

 

As of March 31,

2021

 

 

As of June 30,

2021

 

Risk-free rate

 

0.093%

 

 

0.037%

 

 

0.050%

 

Term

 

0.647

 

 

0.297

 

 

0.047