Fair Value Measurements

9 Months Ended

Sep. 30, 2021

Fair Value Measurements

Fair Value Measurements

Note 10—Fair Value Measurements

A reconciliation of the beginning and ending balances of the derivative liabilities is summarized below:

December 31, 2020 - Beginning of Period
Warrant Liabilities - Public	$	21,390,000
Warrant Liabilities - Private		11,449,330
Forward Purchase agreement		7,692,950
December 31, 2020 total	$	40,532,280
Change in fair value of warrant liabilities – Public		(4,140,000)
Change in fair value of warrant liabilities – Private		(2,216,000)
Change in fair value of forward purchase agreement		(4,892,950)
September 30, 2021 - End of Period	$	29,283,330

The following tables present 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 December 31, 2020, by level within the fair value hierarchy:

	Fair Value Measured as of September 30, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	414,100,847	$	—	$	—	$	414,100,847
Liabilities:
Derivative liabilities - public warrants		17,250,000		—		—		17,250,000
Derivative liabilities - private placement warrants		—		9,233,330		—		9,233,330
Derivative liabilities - forward purchase agreement		—		—		2,800,000		2,800,000
Total liabilities	$	17,250,000	$	9,233,330	$	2,800,000	$	29,283,330

	Fair Value Measured as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	414,020,525	$	—	$	—	$	414,020,525
Liabilities:
Derivative liabilities - public warrants		—		—		21,390,000		21,390,000
Derivative liabilities - private placement warrants		—		—		11,449,330		11,449,330
Derivative liabilities - forward purchase agreement		—		—		7,692,950		7,692,950
Total liabilities	$	—	$	—	$	40,532,280	$	40,532,280

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 and the estimated fair value of the Private Placement Warrants transferred from a Level 3 measurement to a Level 2 fair value measurement, as a result of the Public Warrants being listed in an active market in February 2021.

Prior to the Public Warrants being separately traded in an active market, the fair value of the Public Warrants issued in connection with the Public Offering and the Private Placement Warrants were measured using a binomial lattice model in a risk-neutral framework. The fair value of the forward purchase agreement is based on the fair value of the Company’s publicly traded Units on each valuation date, less the present value of the contractually stipulated forward price of $10.00. Beginning in February 2021, the fair value of the Public Warrants are determined based on the listed price in an active market for such warrants and the fair value of the Private Placement Warrants is estimated to be approximately equal to that of the Public Warrants given the low likelihood of the Company’s ordinary share price exceeding $18.00 by the start of the exercise period.

For the three and nine months ended September 30, 2021, the Company recognized a non-operating loss and gain in the unaudited condensed consolidated statements of operations resulting from an increase and decrease in the fair value of derivative liabilities of approximately $8.5 million and $11.3 million, respectively, which is presented as change in fair value of derivative liabilities in the accompanying unaudited condensed consolidated statements of operations.

The estimated fair value of the Private Placement Warrants, Public Warrants and Forward Purchase Agreement, as of December 31, 2020 was determined using Level 3 inputs. The Company estimated the volatility of its ordinary share warrants based on implied volatility from historical volatility of select peer company’s ordinary shares that matches the expected remaining life of the warrants.

The following table provides quantitative information regarding Level 3 fair value measurements inputs as of each measurement date:

	As of			As of			As of			As of
	September 30, 2021			June 30, 2021			March 31, 2021			December 31, 2020
Share price, used in warrant valuations		n/a			n/a			n/a		$	10.02
Unit price, used in forward valuation	$	10.20		$	10.04		$	10.05		$	10.54
Exercise price, warrants		n/a			n/a			n/a		$	11.50
Exercise price, forward	$	10.00		$	10.00		$	10.00		$	10.00
Term (in years), used in warrant valuations		n/a			n/a			n/a			6.00
Term (in years), used in forward valuation		0.25			0.46			0.71			0.96
Volatility		n/a			n/a			n/a			21.00	%
Risk-free interest rate, used in warrant valuations		n/a			n/a			n/a			0.50	%
Risk-free interest rate, used in forward valuation		0.04	%		0.06	%		0.06	%		0.10	%
Expected dividends		n/a			n/a			n/a			n/a

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

Level 3 derivative liabilities at December 31, 2020	$	40,532,280
Transfers from Level 3		(32,839,330)
Change in fair value		(6,935,120)
Level 3 derivative liabilities at March 31, 2021	$	757,830
Change in fair value		(159,200)
Level 3 derivative liabilities at June 30, 2021	$	598,630
Change in fair value		2,201,370
Level 3 derivative liabilities at September 30, 2021	$	2,800,000