Altitude Acquisition Corp. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Recurring Fair Value Measurements

Recurring Fair Value Measurements

3 Months Ended

Mar. 31, 2021

Note 6 — Recurring Fair Value Measurements

The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of March 31, 2021 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.


	March 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	$	300,006,329	$	300,006,329	$	—	$	—

	$	300,006,329	$	300,006,329	$	—	$	—

Liabilities:
Warrant Liability	$	39,803,651	$	25,500,000	$	—	$	14,303,651

	$	39,803,651	$	25,500,000	$	—	$	14,303,651

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	$	33,807,463	$	—	$	—	$	33,807,463

	$	33,807,463	$	—	$	—	$	33,807,463

The subsequent measurement of the Public Warrants for the three months ended March 31, 2021 is classified as Level 1 due to the use of an observable market quote in an active market. As of March 31, 2021, the aggregate value of Public Warrants was $25,500,000.

The estimated fair value of the Private Placement Warrants on March 31, 2021 is determined using Level 3 inputs. Inherent in a Monte-Carlo simulation model are assumptions related to expected stock-price volatility (pre-merger and post-merger), expected term, dividend yield and risk-free interest rate. The Company estimates the volatility of its common stock based on management’s understanding of the volatility associated with instruments of other similar entities. The risk-free interest rate is based on the U.S. Treasury Constant Maturity similar to the expected remaining life of the warrants. The expected life of the warrants is simulated based on management assumptions regarding the timing and likelihood of completing a business combination. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. The assumptions used in calculating the estimated fair values represent the Company’s best estimate. However, inherent uncertainties are involved. If factors or assumptions change, the estimated fair values could be materially different.

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at March 31, 2021:


Input	March 31, 2021
Expected term (years)		5.60
Expected volatility		24.4	%
Risk-free interest rate		1.06	%
Fair value of the common stock price	$	10.03

The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the three months ended March 31, 2021:


	Warrant Liability
Fair value as of December 31, 2020	$	33,807,463
Transfer out of Level 3 to Level 1		(25,500,000	)
Revaluation of warrant liability included in other expense within the statement of operations for the three months ended March 31, 2021		5,996,188

Fair value as of March 31, 2021	$	14,303,651