Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value, Assets Measured on Recurring Basis

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at June 30, 2021, including the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

Description	Level	June 30, 2021
Assets:
Marketable securities held in Trust Account	1	$	416,350,445
Liabilities:
Derivative liability – Class K Founder Shares	3	$	16,550,000

The following table presents information about the Company’s financial assets that are measured at fair value on a recurring basis by level within the fair value hierarchy (in thousands):

	Fair Value Measurement as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents:
Money market funds	$	28,371	$	—	$	—	$	28,371
Marketable securities:
Commercial paper	—		27,473		—		27,473
Corporate securities	—		6,938		—		6,938
U.S. Treasury securities	—		16,158		—		16,158
Asset-backed securities	—		2,772		—		2,772
Total marketable securities	—		53,341		—		53,341
Total cash equivalents and marketable securities	$	28,371	$	53,341	$	—	$	81,712

	Fair Value Measurement as of December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents:
Money market funds	$	4,090	$	—	$	—	$	4,090
Marketable securities:
Certificates of deposit	—		4,586		—		4,586
Commercial paper	—		18,128		—		18,128
Corporate securities	—		11,178		—		11,178
U.S. Treasury securities	—		51,345		—		51,345
Asset-backed securities	—		10,208		—		10,208
Total marketable securities	—		95,445		—		95,445
Total cash equivalents and marketable securities	$	4,090	$	95,445	$	—	$	99,535

The following table presents information about the Company’s financial assets that are measured at fair value on a recurring basis by level within the fair value hierarchy (in thousands):

	Fair Value Measurement as of September 30, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents:
Money market funds	$	18,014	$	—	$	—	$	18,014
Marketable securities:
Commercial paper	—		26,573		—		26,573
Corporate securities	—		5,493		—		5,493
U.S. Treasury securities	—		—		—		—
Asset-backed securities	—		8,173		—		8,173
Total marketable securities	—		40,239		—		40,239
Total cash equivalents and marketable securities	$	18,014	$	40,239	$	—	$	58,253

	Fair Value Measurement as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Cash equivalents:
Money market funds	$	28,371	$	—	$	—	$	28,371
Marketable securities:
Commercial paper	—		27,473		—		27,473
Corporate securities	—		6,938		—		6,938
U.S. Treasury securities	—		16,158		—		16,158
Asset-backed securities	—		2,772		—		2,772
Total marketable securities	—		53,341		—		53,341
Total cash equivalents and marketable securities	$	28,371	$	53,341	$	—	$	81,712

Fair Value Measurement Inputs and Valuation Techniques

The key inputs into the Monte-Carlo simulation model for Class K common stock were as follows as of the issuance date and as of June 30, 2021:

Input	January 29, 2021 (Inception)			June 30, 2021
Risk-free interest rate	1.16		%	1.48		%
Term to business combination	0.9 years			0.5 years
Expected volatility	21.0		%	15.0		%
Stock Price	$	10.00		$	9.94

The key inputs into the Monte-Carlo simulation model for Class K Founder Shares derivative liabilities were as follows as of the issuance date and as of September 30, 2021:

Input	January 29, 2021 (Inception)			September 30, 2021
Risk-free interest rate	1.16		%	1.53		%
Term to business combination	0.9 years			0.3 years
Expected volatility	21.00		%	12.50		%
Stock price	$	10.00		$	10.18
Dividend yield	0.00		%	0.00		%

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents a summary of the changes in the fair value of the Class K Founder Shares liability, a Level 3 liability, measured on a recurring basis, as of June 30, 2021:

	Class K Founder Shares Derivative Liability
Fair value, January 29, 2021 (inception)	$	36,550,000
Change in fair value of Class K Founder Shares liability	(22,950,000)
Fair value, March 31, 2021 (unaudited)	13,600,000
Change in fair value of Class K Founder Shares liability	2,950,000
Fair value, June 30, 2021 (audited)	$	16,550,000