Annual report pursuant to Section 13 and 15(d)

Recurring Fair Value Measurements (Tables)

v3.22.1
Recurring Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Summary of Assets And Liabilities Measured At Fair Value
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
    
December 31,

2021
    
Quoted

Prices In

Active

Markets

(Level 1)
    
Significant

Other

Observable

Inputs

(Level 2)
    
Significant

Other

Unobservable

Inputs

(Level 3)
 
Assets:
                                   
Money Market Funds held in Trust Account
   $ 300,026,796      $ 300,026,796      $ —        $ —    
    
 
 
    
 
 
    
 
 
    
 
 
 
     $ 300,026,796      $ 300,026,796      $ —        $ —    
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities:
                                   
Warrant Liability – Public Warrants
   $ 8,626,500      $ 8,626,500      $ —        $ —    
Warrant Liability – Private Placement Warrants
   $ 4,822,783      $ —        $ —        $ 4,822,783  
    
 
 
    
 
 
    
 
 
    
 
 
 
     $ 13,449,283      $ 8,626,500      $ —        $ 4,822,783  
    
 
 
    
 
 
    
 
 
    
 
 
 
The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2020 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value
.
    
December 31,

2020
    
Quoted

Prices In

Active

Markets

(Level 1)
    
Significant

Other

Observable

Inputs

(Level 2)
    
Significant

Other

Unobservable

Inputs

(Level 3)
 
Assets:
                                   
Money Market Funds held in Trust Account
   $ 300,000,082      $ 300,000,082      $ —        $ —    
    
 
 
    
 
 
    
 
 
    
 
 
 
     $ 300,000,082      $ 300,000,082      $ —        $ —    
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities:
                                   
Warrant Liability – Public Warrants
   $ 21,995,964      $ —        $ —        $ 21,995,964  
Warrant Liability – Private Placement Warrants
   $ 11,811,499      $ —        $ —        $ 11,811,499  
    
 
 
    
 
 
    
 
 
    
 
 
 
     $ 33,807,463      $
 
     $ —        $ 33,807,463  
    
 
 
    
 
 
    
 
 
    
 
 
 
Summary of the Monte Carlo simulation model for the Private Placement Warrants
The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 31, 2021:
 
Input
  
December 31, 2021
 
Expected term (years)
     5.37  
Expected volatility
     12.4
Risk-free interest rate
     1.29
Fair value of the common stock price
   $ 9.90  
The key inputs into the Monte Carlo simulation model for the Public Warrants and Private Placement Warrants were as follows at December 31, 2020:
 
Input
  
December 31, 2020
 
Expected term (years)
     5.85  
Expected volatility
     24.2
Risk-free interest rate
     0.48
Fair value of the common stock price
   $ 9.63  
Summary of the changes in the fair value of the Level 3 warrant liability
The primary significant unobservable input used in the fair value measurement of the Company’s Private Placement Warrants is the expected volatility of the common stock. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.
The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the year ended December 31, 2021:
 
    
Warrant Liability
 
Fair value as of December 31, 2020
   $ 33,807,463  
Transfer out of Level 3 to Level 1
     (8,626,500
Change in fair value
     (20,358,180
    
 
 
 
Fair value as of December 31, 2021
   $ 4,822,783  
    
 
 
 
The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the period from August 12, 2020 (inception) through December 31, 2020:
 
    
Warrant
Liability
 
Fair value as of August 12, 2020
   $ —    
Initial fair value of warrant liability upon issuance at IPO
     30,858,552  
Revaluation of warrant liability included in other expense within the statement of operations for the period from August 12, 2020 (inception) through December 31, 2020
     2,948,911  
    
 
 
 
Fair value as of December 31, 2020
   $ 33,807,463