The spell lost its only target. And for any spell or ability, modal or otherwise, if it has targets and all targets have become illegal by the time it would resolve, it does not get to resolve. NONE of its effects happen. This is a fundamental rule of the game.

608. Resolving Spells and Abilities
[...]
608.2b If the spell or ability specifies targets, it checks whether the targets are still legal. A target
that’s no longer in the zone it was in when it was targeted is illegal. Other changes to the game
state may cause a target to no longer be legal; for example, its characteristics may have changed
or an effect may have changed the text of the spell. If the source of an ability has left the zone it
was in, its last known information is used during this process. If all its targets, for every instance
of the word “target,” are now illegal, the spell or ability doesn’t resolve. It’s removed from the
stack and, if it’s a spell, put into its owner’s graveyard.[...]