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Fair Value Measurements

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

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 December 31, 2020 by level within the fair value hierarchy:

September 30, 2021

Description		Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account		$	200,017,289			$	-			$	-

Liabilities:
Derivative warrant liabilities -Public Warrants		$	59,500,000			$	-
Derivative warrant liabilities -Private Warrants		$	-			$	-			$	36,060,000

December 31, 2020

Description		Quoted Prices in Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account		$	200,067,535			$	-			$	-

Liabilities:
Derivative warrant liabilities -Public Warrants		$	17,400,000			$	-
Derivative warrant liabilities -Private Warrants		$	-			$	-			$	10,920,000

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers between levels in the three- or nine-month periods ended September 30, 2021.

The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model and subsequently, the fair value of the Private Placement Warrants have been estimated using a Monte Carlo simulation model each measurement date. The fair value of Public Warrants issued in connection with the Initial Public Offering have subsequently been measured based on the listed market price of such warrants.

For the three and nine months ended September 30, 2021, the Company recognized a charge from an increase in the fair value of liabilities of approximately $46.6 million and $67.2 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed consolidated statement of operations.

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

		As of September 30, 2021				As of December 31, 2020
Stock Price		$	12.71			$	10.24
Volatility			45.0	%			16.0	%
Expected life of the options to convert			5.25				5.5
Risk-free rate			0.98	%			0.43	%
Dividend yield			0.0	%			0.0	%

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

Warrant liabilities at January 1, 2021 - Level 3 measurements		$	10,920,000
Change in fair value of warrant liabilities - Level 3 measurements			7,320,000
Warrant liabilities at March 31, 2021 - Level 3 measurements		$	18,240,000
Change in fair value of warrant liabilities - Level 3 measurements			900,000
Warrant liabilities at June 30, 2021 - Level 3 measurements		$	19,140,000
Change in fair value of warrant liabilities - Level 3 measurements			16,920,000
Warrant liabilities at September 30, 2021 - Level 3 measurements		$	36,060,000

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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