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 following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of September 30, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments in the Mutual Fund.
 
  
 
 
  
Quoted
 
  
Significant
 
  
Significant
 
 
  
 
 
  
Prices In
 
  
Other
 
  
Other
 
 
  
 
 
  
Active
 
  
Observable
 
  
Unobservable
 
 
  
September 30,
 
  
Markets
 
  
Inputs
 
  
Inputs
 
 
  
2021
 
  
(Level 1)
 
  
(Level 2)
 
  
(Level 3)
 
Assets:
  
  
  
  
Mutual Fund held in Trust Account
   $ 402,520,541      $ 402,520,541      $ —        $ —    
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities:
                                   
Warrant liability – Public Warrants
   $ 6,948,408      $ 6,948,408       
 
 
       —    
Warrant liability – Private Warrants
     6,706,726        —         
 
 
       6,706,726  
    
 
 
    
 
 
    
 
 
    
 
 
 
Warrant Liability
   $ 13,655,134      $ 6,948,408      $  —        $ 6,706,726  
    
 
 
    
 
 
    
 
 
    
 
 
 
The estimated fair value of the warrant liability for the
 
private warrants at September 30, 2021 was determined using Level 3 inputs. Inherent in a Monte Carlo options pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on projected volatility of comparable public 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 based on management assumptions regarding the timing and likelihood of completing a business combination. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.
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 fair value measurement in May 2021 when the Public Warrants were listed separately
.
The following table provides quantitative information regarding Level 3 fair value measurements as of September 30, 2021:
 
 
  
September 30,
 
 
  
2021
 
Strike price
   $  11.50  
Share price
   $ 9.5  
Volatility
     40
Risk-free rate
     1.04
Expected term (years)
     5