FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2021

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

NOTE 10. FAIR VALUE MEASUREMENTS

The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis by level within the fair value hierarchy:

December 31, 2021
	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments Held in the Trust Account:
Money Market Funds	$	575,202,660	$	—	$	—
Liabilities:
Derivative warrant liabilities – Public Warrants	$	13,340,000	$	—	$	—
Derivative warrant liabilities – Private Placement Warrants	$	—	$	10,440,000	$	—
Derivative warrant liabilities – Working Capital Warrants	$	—	$	1,160,000	$	—

December 31, 2020
	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments Held in the Trust Account:
U.S. Treasury Securities	$	575,105,000	$	—	$	—
Money Market Funds	$	7,065	$	—	$	—
	$	575,112,065	$	—	$	—
Liabilities:
Derivative warrant liabilities - Public Warrants	$	23,690,000	$	—	$	—
Derivative warrant liabilities - Private Placement Warrants	$	—	$	—	$	19,800,000

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 fair value measurement to a Level 1 fair value measurement due to the separate listing and trading of the Public Warrants on November 18, 2020. The valuation of the Private Placement Warrants transferred from a Level 3 fair value measurement to a Level 2 fair value measurement effective April 1, 2021.

Level 1 assets include investments in money market funds that invest solely in U.S. government securities as of December 31, 2021 and investments in U.S. Treasury Securities as of December 31, 2020. 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 issued in connection with the Initial Public Offering was initially measured using a Monte Carlo simulation and was subsequently measured at their listed trading prices. The fair value of Private Placement Warrants was initially measured using a Black-Scholes analysis which relies upon Level 3 inputs including the underlying stock price and the implied volatility from the traded Public Warrant price. Subsequently, the fair values of the Private Placement Warrants and the Working Capital Warrants were measured by reference to the Public Warrant trading price. As the transfer of Private Placement Warrants and Working Capital Warrants to anyone who is not a permitted transferee would result in the Private Placement Warrants and the Working Capital Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant and each Working Capital Warrant is equivalent to that of each Public Warrant. For the year ended December 31, 2021, the Company recognized a gain resulting from a decrease in the fair value of derivative warrant liabilities of $20.5 million presented as a change in fair value of derivative warrant liabilities on the accompanying statements of operations. For the period from August 18, 2020 (inception) through December 31, 2020, the Company recognized a loss of approximately $17.3 million from an increase in the fair value of liabilities, presented as change in fair value of derivative warrant liabilities on the accompanying statements of operations.

The estimated fair values of the Private Placement Warrants, and the Public Warrants (at issuance only) were initially determined using Level 3 inputs. Inherent in the Monte Carlo simulation model and Black-Scholes analysis 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 and warrants based on implied volatility from the company’s traded warrants and from historical volatility of select peer companys’ ordinary shares that match 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 Company’s Level 3 valuation is based on a valuation model utilizing judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value.

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

	As of December 31,
	2020
Exercise price	$	11.50
Volatility		26.9	%
Stock price	$	10.42
Expected life of the options to convert		6.27
Risk-free rate		0.54	%
Dividend yield		0.0	%

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the year ended December 31, 2021 and for the period from August 18, 2020 (inception) through December 31, 2020 is summarized as follows:

Derivative warrant liabilities at August 18, 2020 (inception)	$	—
Issuance of Public and Private Placement Warrants - Level 3		26,215,000
Transfer of Public Warrants of Level 1		(14,605,000)
Change in fair value of derivative warrant liabilities		8,190,000
Derivative warrant liabilities - Level 3, at December 31, 2020	$	19,800,000
Change in fair value of derivative warrant liabilities - Level 3		180,000
Transfer of Private Placement Warrants to Level 2		(19,980,000)
Derivative warrant liabilities - Level 3, at December 31, 2021	$	—