Fair Value Measurements

12 Months Ended

Dec. 31, 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	$	40,532,280
Change in fair value of warrant liabilities - Public		(7,314,000)
Change in fair value of warrant liabilities - Private		(3,914,930)
Change in fair value of forward purchase agreement		(4,872,950)
December 31, 2021	$	24,430,400

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 December 31, 2021 and 2020, by level within the fair value hierarchy:

	Fair Value Measured as of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Cash and Investments held in Trust Account	$	414,111,439	$	—	$	—	$	414,111,439
Liabilities:
Derivative liabilities - public warrants		14,076,000		—		—		14,076,000
Derivative liabilities - private placement warrants		—		7,534,400		—		7,534,400
Derivative liabilities - forward purchase agreement		—		—		2,820,000		2,820,000
Total liabilities	$	14,076,000	$	7,534,400	$	2,820,000	$	24,430,400

	Fair Value Measured as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Cash and 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 year ended December 31, 2021, the Company recognized a non-operating gain resulting from a decrease in the fair value of derivative liabilities of approximately $16.1 million, which is presented as change in fair value of derivative liabilities in the accompanying consolidated statements of operations.

For the period from September 28, 2020 (inception) through December 31, 2020, the Company recognized a non-operating loss resulting from an increase in the fair value of derivative liabilities of approximately $10.7 million, which is presented as change in fair value of derivative liabilities in the accompanying consolidated statements of operations.

The estimated fair value of the Private Placement Warrants, Public Warrants and Forward Purchase Agreement, as of December 31, 2021 and 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
	December 31,			December 31,
	2021			2022
Share price, used in warrant valuations	$	10.02			n/a
Unit price, used in forward valuation	$	10.54		$	10.20
Exercise price, warrants	$	11.50			n/a
Exercise price, forward	$	10.00		$	10.00
Term (in years), used in warrant valuations		6.00			n/a
Term (in years), used in forward valuation		0.96			0.25
Volatility		21.00	%		15.5	%
Risk-free interest rate, used in warrant valuations		0.50	%		n/a
Risk-free interest rate, used in forward valuation		0.10	%		1.28	%
Expected dividends		n/a			n/a

The change in the fair value of the derivative liabilities, classified as Level 3, for the periods ended December 31, 2021 and 2020 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
Change in fair value		20,000
Level 3 derivative liabilities at December 31, 2021	$	2,820,000