Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements
Note
7
—Fair Value Measurements
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price).
The fair value hierarchy under ASC 820 prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:
Basis for Fair Value Measurement
 
    Level 1:   Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
     
    Level 2:   Quoted prices in markets that are
 
not active or financial instruments for which significant inputs to models are observable (including but not limited to quoted prices for similar securities, interest rates, foreign exchange rates, volatility and credit risk), either directly or indirectly;
    Level 3:   Prices or valuations that require significant unobservable inputs (including the Management’s assumptions in determining fair value measurement).
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2021 and December 31, 2020 by level within the fair value hierarchy:
 
    
September 30, 2021
     
Quoted Prices in
Active Markets
(Level 1)
     
Significant Other
Observable Inputs
(Level 2)
     
Significant Other
Unobservable Inputs
(Level 3)
  
Assets:
                                    
Money market funds held in Trust Account
    $ 750,097,480      $ 750,097,480      $ —        $ —    
    
 
 
     
 
 
     
 
 
     
 
 
  
Liabilities:
                                    
Warrant Liability – Public Warrants
    $ 40,123,125      $ 40,123,125      $ —        $ —    
    
 
 
     
 
 
     
 
 
     
 
 
  
Warrant Liability – Private Placement Warrants
    $ 20,619,070      $ —        $ —        $ 20,619,070  
    
 
 
     
 
 
     
 
 
     
 
 
  
 
Description
   
December 31, 2020
     
Quoted Prices in
Active Markets
(Level 1)
     
Significant Other
Observable Inputs
(Level 2)
     
Significant Other
Unobservable Inputs
(Level 3)
  
Assets:
                                    
Money market funds held in Trust Account
    $ 750,063,158      $ 750,063,158      $ —        $ —    
    
 
 
     
 
 
     
 
 
     
 
 
  
Liabilities:
                                    
Warrant Liability – Public Warrants
    $ 48,000,000      $ 48,000,000      $ —        $ —    
    
 
 
     
 
 
     
 
 
     
 
 
  
Warrant Liability – Private Placement Warrants
    $ 23,676,615      $ —        $ —        $ 23,676,615  
    
 
 
     
 
 
     
 
 
     
 
 
  
As of September 30, 2021, the fair value of Public Warrants issued in connection with the Pu
b
lic Offering have been measured based on the listed market price of such Public Warrants, a Level 1 measurement.
The estimated fair value of the Private Placement Warrants was determined using a
Black-Scholes-Merton
model with Level 3 inputs. Inherent in a Black-Scholes-Merton model are assumptions related to expected life (term), expected stock price, volatility,
risk-free
interest rate and dividend yield. The Company estimates the volatility of its Class A common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer companies’ Class A common stock 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.
For the nine months period ended September 30, 2021 and September 30, 2020, the Company recognized an unrealized gain/(loss) resulting from a decrease/(increase) in the fair value of the warrant liability of
 $10,934,420 and $(30,806,877)
respectively, which is presented in the statements of operations as change in fair value of warrant liability.
The following table provides quantitative information regarding Level 3 fair value measurements inputs:
 
    
As of

September 30,

2021
    
As of

December 31,

2020
  
Stock price
    $ 10.22     $ 10.90  
Strike Price
    $ 11.50     $ 11.50  
Term (in years)
      5.06       5.75  
Volatility
      29.80 %      28.30 % 
Risk-free interest rate
      0.99 %      0.47 % 
Dividend yield
      0.00 %      0.00 % 
Fair value
    $ 2.43     $ 2.79  
The change in the fair value of the warrants measured with Level 3 inputs for the nine months ended September 30, 2021 is summarized as follows:
 
Value of warrant liability measured with Level 3 inputs at December 31, 2020
    $ 23,676,615  
Change in fair value of warrant liability measured with Level 3 inputs
      (3,057,545 ) 
Transfer in/out
      —    
    
 
 
  
Value of warrant liability measured with Level 3 inputs at September 30, 2021
    $ 20,619,070