Fair Value Measurements

6 Months Ended

Jun. 30, 2022

NOTE 9. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021, by level within the fair value hierarchy:


	Fair Value Measured as of June 30, 2022
Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)

Assets:
Investments held in Trust Account— U.S. Treasury Securities (1)	$	576,162,659	$	—	$	—
Liabilities:
Derivative warrant liabilities—Public warrants	$	630,580	$	—	$	—
Derivative warrant liabilities—Private warrants	$	—	$	—	$	352,050


	Fair Value Measured as of December 31, 2021
Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account Money Market Funds (1)	$	575,487,805	$	—	$	—
Liabilities:
Derivative warrant liabilities—Public warrants	$	23,812,670	$	—	$	—
Derivative warrant liabilities—Private warrants	$	—	$	—	$	28,660,780

(1)	Includes $3,563 and $654 in cash as of June 30, 2022 and December 31, 2021, respectively.

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement in October 2020, as the Public Warrants were separately listed and traded in October 2020. There were no transfers between levels in the three and six months ended June 30, 2022 and 2021.

Level 1 assets include investments in money market funds that invest solely in U.S. government securities and U.S. Treasury Bills. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

The Company utilizes a Black-Scholes model to estimate the fair value of the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. Inherent in a Black-Scholes model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on historical volatility of select peer companies that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S.

Treasury zero-coupon yield

curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

For the three and six months ended June 30, 2022, the Company recognized income from the change in the fair value of derivative warrant liabilities of approximately $43.4 million and approximately $51.5 million, respectively, resulting from a decrease in the fair value of the derivative warrant liabilities, as presented on the accompanying condensed statements of operations. For the three and six months ended June 30, 2021, the Company recognized income from the change in the fair value of derivative warrant liabilities of approximately $8.4 million and approximately $34.4 million, respectively, resulting from a decrease in the fair value of the derivative warrant liabilities, as presented on the accompanying condensed statements of operations.

The change in the fair value of the derivative warrant liabilities, measured using level 3 inputs June 30, 2022 and 2021 is summarized as follows:


Derivative warrant liabilities—Level 3, at December 31, 2021	$	28,660,780
Change in fair value of derivative warrant liabilities		(611,310	)

Derivative warrant liabilities—Level 3, at March 31, 2022		28,049,470
Change in fair value of derivative warrant liabilities		(27,697,420	)

Derivative warrant liabilities—Level 3, at June 30, 2022	$	352,050


Derivative warrant liabilities—Level 3, at December 31, 2020	$	22,003,330
Change in fair value of derivative warrant liabilities		(8,514,330	)

Derivative warrant liabilities—Level 3, at March 31, 2021	$	13,489,000
Change in fair value of derivative warrant liabilities		(3,061,330	)

Derivative warrant liabilities—Level 3, at June 30, 2021	$	10,427,670

The following table provides quantitative information regarding Level 3 fair value measurements inputs for the Company’s Private Placement Warrants at their measurement dates:


	As of June 30, 2022			As of December 31, 2021
Exercise price	$	11.50		$	11.50
Volatility		2.0	%		17.6	%
Stock price	$	9.96		$	9.92
Time to M&A		0.13			0.25
Risk-free rate		1.41	%		1.28	%
Dividend yield		0.0	%		0.0	%

The primary significant unobservable input used in the fair value measurement of the Company’s private warrants is the expected volatility of the ordinary shares. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement. In determining the expected volatility, the Company derived the expected volatility from observable public warrant pricing on comparable ‘blank-check’ companies.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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