Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.4
Fair Value Measurements
9 Months Ended
Sep. 30, 2021
Fair Value Measurements  
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 indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

Fair Value Measured as of September 30, 2021

    

Quoted Prices in

    

Significant Other

    

Significant Other

Active Markets

Observable Inputs

Unobservable Inputs

Description

(Level 1)

(Level 2)

(Level 3)

Assets:

Investments held in Trust Account

$

414,016,040

$

$

Liabilities:

Derivative warrant liabilities - Public warrant

$

9,522,000

$

$

Derivative warrant liabilities - Private warrant

$

$

$

4,728,800

As of December 31, 2020, there were no assets or liabilities that were measured at fair value on a recurring basis.

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 measurement as of March 31, 2021, as the Public Warrants starting trading on March 30, 2021.

Level 1 assets include investment in money market funds that invest solely in U.S. Treasury Securities. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers or similar sources to determine fair value of its investments.

The Company utilized a Monte-Carlo simulation to estimate the fair value of the warrants initially and subsequently for the Private Warrants, with changes in fair value recognized in the statements of operations. On September 30, 2021, the fair value of the Public Warrants was measured using the public trading price as the Public Warrants started to trade prior to March 31, 2021. For the three and nine months ended September 30, 2021, the Company recognized a gain from a decrease in the fair value of liabilities of approximately $12.8 million, and $7.0 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying statements of operations.

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for three and nine months ended September 30, 2021, is summarized as follows:

Derivative warrant liabilities at January 1, 2021

    

$

Issuance of Public and Private Warrants - Level 3

 

21,272,000

Transfer of Public Warrants to Level 1 Measurement

(14,076,000)

Change in fair value of derivative warrant liabilities - Level 3

1,028,000

Derivative warrant liabilities at March 31, 2021 - Level 3

$

8,224,000

Change in fair value of derivative warrant liabilities - Level 3

822,400

Derivative warrant liabilities at June 30, 2021 - Level 3

$

9,046,400

Change in fair value of derivative warrant liabilities - Level 3

(4,317,600)

Derivative warrant liabilities at September 30, 2021 - Level 3

$

4,728,800

The estimated fair value of the derivative warrant liabilities has been determined using Level 3 inputs. Inherent in a Monte-Carlo simulation are assumptions related to expected stock-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its ordinary shares based on historical volatility of select peer companies 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 following table provides quantitative information regarding the Level 3 fair value measurements inputs at their measurement dates:

    

As of February 9, 2021

    

As of March 31, 2021

    

As of June 30, 2021

    

As of September 30, 2021

  

Volatility

    

12.90

%

12.70

%

13.50

%

9.00

%

Stock price

$

9.66

$

9.75

$

9.70

$

9.72

Expected life of the options to convert

6.50

6.36

6.11

5.86

Risk-free rate

0.74

%

1.25

%

1.05

%

1.12

%

Dividend yield

%

%

%

%