FAIR VALUE MEASUREMENTS

6 Months Ended

9 Months Ended

Jan. 11, 2021

Sep. 30, 2021

Fair Value Measurements

FAIR VALUE MEASUREMENTS

NOTE 11 — FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis as of January 11, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

	Quoted Prices
	in		Significant Other		Significant Other
	Active Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Liabilities:
Derivative warrant liabilities - Public Warrants	$	—	$	—	$	14,628,000
Derivative warrant liabilities - Private Placement Warrants	$	—	$	—	$	7,520,000

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period.

Level 3 instruments are comprised of derivative warrant liabilities measured at fair value using a Monte Carlo simulation and Black-Scholes Option Pricing Model. The estimated fair value of the Private Placement Warrants and the Public Warrants was determined using Level 3 inputs. Inherent in a Monte Carlo simulation and Black-Scholes Option Pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Black-Scholes analysis relies upon appropriate inputs derived from the Monte Carlo simulation of the public warrants; namely, the underlying stock price and the implied volatility from the traded Public Warrant price. The Company estimates the volatility of its ordinary shares’ warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary shares 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.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement date:

	As of January 11, 2021
Option term (in years)		6.47
Stock price	$	9.91
Volatility		14.0	%
Risk-free interest rate		0.75	%
Expected dividends		0.00	%

Note 10 — 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 September 30, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

	Quoted Prices in		Significant Other		Significant Other
	Active Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account	$	276,052,152	$	—	$	—
Liabilities:
Derivative warrant liabilities - Public Warrants	$	13,340,000	$	—	$	—
Derivative warrant liabilities - Private Placement Warrants	$	—	$	—	$	7,419,730
Convertible note – related party	$	—	$	—	$	1,064,140

As of December 31, 2020, there were no assets or liabilities that are measured at fair value on a recurring basis.

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 February 2021, when the Public Warrants were separately listed and traded. There were no other transfers to/from Levels 1, 2, and 3 during the three and nine months ended September 30, 2021.

Level 1 assets include investments in money market funds that invest solely in U.S. government securities. 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 fair value of the Public Warrants as of September 30, 2021 was measured utilizing the Level 1 input of the observable listed trading price for such warrants.

Level 3 instruments are comprised of derivative warrant liabilities measured at fair value using a Monte Carlo simulation and Black-Scholes Option Pricing Model. The estimated fair value of the Private Placement Warrants and the Public Warrants, prior to being separately listed and traded, was determined using Level 3 inputs. The estimated fair value of warrants that may be issued upon conversion of the Convertible Note was determined using Level 3 inputs. Inherent in a Monte Carlo simulation and Black-Scholes Option Pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Black-Scholes analysis relies upon appropriate inputs derived from the Monte Carlo simulation of the public warrants; namely, the underlying stock price and the implied volatility from the traded Public Warrant price. The Company estimates the volatility of its ordinary shares warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary shares 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.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

	As of September 30, 2021
Option term (in years)		5.09
Stock price	$	9.90
Volatility		21.1	%
Risk-free interest rate		0.99	%
Expected dividends		—	%

The following table provides quantitative information regarding Level 3 fair value measurements inputs used by the estimated fair value of warrants that may be issued upon conversion of the Convertible Note at their measurement dates:

				As of April 15, 2021
	As of September 30, 2021			(Draw Down Date)
Option term (in years)		0.21			0.55
Stock price	$	1.48		$	1.38
Volatility		72.0	%		67.5	%
Risk-free interest rate		0.05	%		0.04	%
Expected dividends		—	%		—	%

The change in the fair value of the derivative warrant liabilities measured using Level 3 inputs for the three and nine months ended September 30, 2021 is summarized as follows:

Derivative warrant liabilities at January 1, 2021	$	—
Issuance of Public and Private Warrants		22,148,000
Transfer of Public Warrants to Level 1 measurement		(14,628,000)
Change in fair value of derivative warrant liabilities		(451,200)
Derivative warrant liabilities at March 31, 2021		7,068,800
Change in fair value of derivative warrant liabilities		2,576,360
Derivative warrant liabilities at June 30, 2021		9,645,160
Change in fair value of derivative warrant liabilities		(2,225,430)
Derivative warrant liabilities at September 30, 2021	$	7,419,730

The change in the fair value of the convertible note – related party measured with Level 3 inputs for the three and the nine months ended September 30, 2021 is summarized as follows:

Fair Value at January 1, 2021	$	—
Initial fair value of convertible note - related party - second quarter		500,000
Change in fair value of convertible note - related party		131,260
Fair Value of convertible note - related party, June 30, 2021		631,260
Initial fair value of convertible note - related party - third quarter		444,694
Change in fair value of convertible note - related party		(11,814)
Fair Value of convertible note - related party, September 30, 2021	$	1,064,140