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

9 Months Ended

Sep. 30, 2021

Note 7— 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 September 30, 2021 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.


	September 30, 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	$	300,019,322	$	300,019,322	$	—	$	—

	$	300,019,322	$	300,019,322	$	—	$	—

Liabilities:
Warrant Liability – Public Warrants	$	10,200,000	$	10,200,000	$	—	$	—
Warrant Liability – Private Placement Warrants	$	5,833,950	$	—	$	—	$	5,833,950

	$	16,033,950	$	10,200,000	$	—	$	5,833,950

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

The subsequent measurement of the Public Warrants for the three and nine months ended September 30, 2021 is classified as Level 1 due to the use of an observable market quote in an active market. As of September 30, 2021, the aggregate value of Public Warrants was $10,200,000.

The estimated fair value of the Private Placement Warrants on September 30, 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 September 30, 2021:


Input	September 30, 2021

Expected term (years)		5.48
Expected volatility		12.9	%
Risk-free interest rate		1.06	%
Fair value of the common stock price	$	9.84

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

The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the nine months ended September 30, 2021:


	Warrant Liability

Fair value as of December 31, 2020	$	33,807,463
Transfer out of Level 3 to Level 1		(10,200,000	)
Revaluation of warrant liability included in other income within the statement of operations for the nine months ended September 30, 2021		(17,773,513	)

Fair value as of September 30, 2021	$	5,833,950