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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 assets and liabilities 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.


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		$	346,752,305		$	—		$	—
Liabilities:
Working capital loan - related party		$	—		$	—		$	30,600
Derivative warrant liabilities - Public Warrants		$	11,730,000		$	—		$	—
Derivative warrant liabilities - Private Placement Warrants		$	—		$	—		$	770,310


December 31, 2020
		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		$	346,736,767		$	—		$	—
Liabilities:
Derivative warrant liabilities - Public Warrants		$	32,775,000		$	—		$	—
Derivative warrant liabilities - Private Placement Warrants		$	—		$	—		$	1,306,880

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There was no transfer between levels during the nine months ended September 30, 2021.

Level 1 assets include investments in mutual funds invested in government securities and Public Warrants. 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.

The fair value of Public Warrants issued in connection with the Initial Public Offering has been measured based on the listed market price of such warrants, a Level 1 measurement, since October 2020. The fair value of Private Warrants is calculated using the Black-Scholes Option Pricing model since these instruments do not have the early redemption feature. The Company recognized a gain in the unaudited condensed statements of operations resulting from a decrease in the fair value of derivative warrant liabilities of approximately $4.6 million and $21.6 million, for the three months and nine months ended September 30, 2021, respectively.

The estimated fair values of the Private Placement Warrants and the Working Capital Loan are determined using Level 3 inputs. Inherent in a Black-Scholes Option 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 Class A ordinary share warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s equity shares 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.

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


		September 30, 2021			December 31, 2020
Volatility			11.0	%		23-29	%
Share price		$	9.95		$	10.41
Risk-free rate			1.06	%		0.43	%
Dividend yield			0.0	%		0.0	%
Expected life (years)			5.5			5.5

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


Warrant liabilities - Level 3, December 31, 2020		$	1,306,880
Change in fair value of warrant liabilities - Level 3			(536,570)
Warrant liabilities - Level 3, September 30, 2021		$	770,310

The change in the fair value of the Working Capital Loan measured using Level 3 inputs for the period for the nine months ended September 30, 2021 is summarized as follows:



Working Capital Loan at January 1, 2021		$	—
Issuance of Working Capital Loan – Level 3			30,690
Change in fair value of Working Capital Loan - Level 3			(90)
Working Capital Loan - Level 3, September 30, 2021		$	30,600

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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