Fair Value Measurements (Tables)

3 Months Ended

9 Months Ended

Dec. 31, 2020

Sep. 30, 2021

Fair Value Measurements

Schedule of company's assets and liabilities that are measured at fair value on a recurring basis

The following table presents information about the Company’s assets and liabilities that are measured on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

	Fair Value Measured as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	414,020,525	$	—	$	—	$	414,020,525
Liabilities:
Derivative liabilities (Restated)	$	—	$	—	$	40,532,280	$	40,532,280

	Fair Value Measured as of September 30, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	414,100,847	$	—	$	—	$	414,100,847
Liabilities:
Derivative liabilities - public warrants		17,250,000		—		—		17,250,000
Derivative liabilities - private placement warrants		—		9,233,330		—		9,233,330
Derivative liabilities - forward purchase agreement		—		—		2,800,000		2,800,000
Total liabilities	$	17,250,000	$	9,233,330	$	2,800,000	$	29,283,330

	Fair Value Measured as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	414,020,525	$	—	$	—	$	414,020,525
Liabilities:
Derivative liabilities - public warrants		—		—		21,390,000		21,390,000
Derivative liabilities - private placement warrants		—		—		11,449,330		11,449,330
Derivative liabilities - forward purchase agreement		—		—		7,692,950		7,692,950
Total liabilities	$	—	$	—	$	40,532,280	$	40,532,280

Schedule of quantitative information regarding Level 3 fair value measurements inputs

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

	As of			As of
	December 15,			December 31,
	2020			2020
Share price	$	9.81		$	10.02
Exercise price	$	11.50		$	11.50
Term (in years)		6.00			6.00
Volatility		20.50	%		21.00	%
Risk-free interest rate		0.51	%		0.50	%
Expected dividends		0.00	%		0.00	%

	As of			As of			As of			As of
	September 30, 2021			June 30, 2021			March 31, 2021			December 31, 2020
Share price, used in warrant valuations		n/a			n/a			n/a		$	10.02
Unit price, used in forward valuation	$	10.20		$	10.04		$	10.05		$	10.54
Exercise price, warrants		n/a			n/a			n/a		$	11.50
Exercise price, forward	$	10.00		$	10.00		$	10.00		$	10.00
Term (in years), used in warrant valuations		n/a			n/a			n/a			6.00
Term (in years), used in forward valuation		0.25			0.46			0.71			0.96
Volatility		n/a			n/a			n/a			21.00	%
Risk-free interest rate, used in warrant valuations		n/a			n/a			n/a			0.50	%
Risk-free interest rate, used in forward valuation		0.04	%		0.06	%		0.06	%		0.10	%
Expected dividends		n/a			n/a			n/a			n/a

Schedule of change in the fair value of the derivative liabilities

A reconciliation of the beginning and ending balances of the derivative assets and liabilities is summarized below:

Beginning of period	$	—
Acquisition date fair value of derivative liabilities:
Public warrants issued in the initial public offering		19,458,000
Private placement warrants issued in connection with the initial public offering (1)		10,415,200
Forward Purchase Agreement liability (2)		4,045,920
Total acquisition date fair value of derivative liabilities		33,919,120
Change in fair value of warrant liabilities - Public		1,932,000
Change in fair value of warrant liabilities - Private		1,034,130
Change in fair value of forward purchase agreement		3,647,030
End of period	$	40,532,280

The change in the fair value of derivative liabilities measured using Level 3 inputs for the period from September 28, 2020 (inception) through December 31, 2020 is summarized as follows:

Level 3 derivative liabilities at December 15, 2020
Issuance of Public, Private Warrants	$	29,873,200
Change in fair value of derivative liabilities		10,659,080
Level 3 derivative liabilities at December 31, 2020	$	40,532,280

December 31, 2020 - Beginning of Period
Warrant Liabilities - Public	$	21,390,000
Warrant Liabilities - Private		11,449,330
Forward Purchase agreement		7,692,950
December 31, 2020 total	$	40,532,280
Change in fair value of warrant liabilities – Public		(4,140,000)
Change in fair value of warrant liabilities – Private		(2,216,000)
Change in fair value of forward purchase agreement		(4,892,950)
September 30, 2021 - End of Period	$	29,283,330

Level 3 derivative liabilities at December 31, 2020	$	40,532,280
Transfers from Level 3		(32,839,330)
Change in fair value		(6,935,120)
Level 3 derivative liabilities at March 31, 2021	$	757,830
Change in fair value		(159,200)
Level 3 derivative liabilities at June 30, 2021	$	598,630
Change in fair value		2,201,370
Level 3 derivative liabilities at September 30, 2021	$	2,800,000