Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Financial Instruments (Tables)

v3.21.2
Fair Value Measurements and Financial Instruments (Tables)
9 Months Ended
Sep. 30, 2021
Ares Put Option [Member]  
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]  
Fair Value Measurement Inputs and Valuation Techniques The Ares Put Option has been recorded at its fair value based on a Monte Carlo pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

September 30,
2021

 

Expected term (in years)

 

1.41

 

Volatility

 

 

28.8

%

Risk-free interest rate

 

 

0.17

%

Strike price

 

$

12.935

 

Private Warrants [Member]  
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]  
Fair Value Measurement Inputs and Valuation Techniques The Private Warrants have been recorded at fair value based on a Black-Scholes option pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

September 30,
2021

 

Expected term (in years)

 

4.23

 

Volatility

 

 

32.2

%

Risk-free interest rate

 

 

0.81

%

Strike price

 

$

11.50

 

Deferred Shares [Member]  
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]  
Fair Value Measurement Inputs and Valuation Techniques The Deferred Shares have been recorded at fair value based on a Monte Carlo pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

September 30,
2021

 

Expected term (in years)

 

5.67

 

Volatility

 

 

33.5

%

Risk-free interest rate

 

 

1.09

%

Stock price

 

$

10.10