Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Summary Of Fair Value Of The Warrant Liability Is Classified Within Level 3

For the nine months ended September 30, 2021, the value of the Public Warrant liability was transferred out of Level 3 and into Level 1 classification. The Public Warrant liability moved from Level 3 to Level 1 during the nine months ended September 30, 2021 after the Public Warrants began active trading.

Description	Level		September 30, 2021		December 31, 2020
Assets:
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund		1	$	234,620,136	$	232,302,673
Forward Contract		3	$	345,000		—
Liabilities:
Public Warrants		1	$	9,660,000		—
Public Warrants		3		—	$	19,435,000
Private Warrants		3	$	10,157,500	$	17,080,500
Forward Contract		3	$	—	$	3,542,000

Summary Of Fair Value Measurement Inputs And Valuation Techniques

The key inputs into the Monte Carlo simulation model (December 31, 2020 only) and the modified Black-Scholes model were as follows at September 30, 2021 (Private Warrants only) and December 31, 2020:

Input	September 30, 2021			December 31, 2020
Risk-free interest rate		1.06	%		0.50	%
Expected term (years)		5.0			6.0
Expected volatility		13.0	%		25.0	%
Exercise price	$	11.50		$	11.50
Dividend yield		0.0	%		0.0	%
Expected stock price at De-SPAC	$	10.11		$	10.00
Probability-weighted average of additional shares to be issued for the forward contract		2,300,000			4,600,000

Summary Of Fair Value Of The Derivative Warrant Liabilities

The change in the fair value of the derivative liabilities for the period ended September 30, 2021 is summarized as follows:

	Private Placement			Public			Forward Contract			Derivative Liabilities
Fair value as of January 1, 2021	$	17,080,500		$	19,435,000		$	3,542,000		$	40,057,500
Sale of 2,300,000 warrants to Sponsor on May 19, 2021		2,093,000			—			—			2,093,000
Change in valuation inputs or other assumptions (1)		(9,016,000	)		(9,775,000	)		(3,887,000	)		(22,678,000	)
Fair value as of September 30, 2021	$	10,157,500		$	9,660,000		$	(345,000	)	$	19,472,500

(1) The change in valuation inputs or other assumptions for the Forward Contract includes a partial settlement of the Forward Contract related to the Sponsor’s exercise of its option to purchase 2,300,000 Private Placement Warrants. The Company realized a $207,000 gain during the period as part of the partial settlement of the Forward Contract derivative liability. See Note 4 for additional information.