Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.4
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Measurements  
Schedule of Company's assets that are measured at fair value on a recurring basis

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

Schedule of change in the fair value of the warrant liabilities

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

Schedule of quantitative information regarding Level 3 fair value measurements inputs

    

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

%

%

%

%