FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2021

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

•Level 1: Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

•Level 2: Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

•Level 3: Unobservable inputs based on the Company’s assessment of the assumptions that market participants would use in pricing the asset or liability.

At September 30, 2021, assets held in the Trust Account were comprised of $1.0 billion investments in U.S. Treasury securities. During the three and nine months ended September 30, 2021, the Company did not withdraw any interest income from the Trust Account.

The following table presents information about the Company’s financial assets and financial liabilities that are measured at fair value as of September 30, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)

Assets, at fair value
Investments held in Trust Account:	$	1,000,165,167	$	—	$	—
Liabilities, at fair value
Public Warrants	$	17,000,000	$	—	$	—
Private Placement Warrants	$	—	$	—	$	13,198,979

There were no assets or liabilities measured at fair value as of December 31, 2020.

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between levels for the period from January 1, 2021 to September 30, 2021 except for the transfer from Level 3 to Level 1 of the Public Warrants, which started trading on an active market in February 2021. Due to the use of quoted prices in an active market (Level 1) to measure the fair value of the Public Warrants, subsequent to initial measurement, the Company had transferred out of Level 3 totaling $17.5 million.

The Public Warrants and Private Placement Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Company’s unaudited condensed balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the Company’s unaudited condensed statements of operations.

Initial and Subsequent Measurement – Public Warrants

The Company established the initial fair value for the Warrants on February 4, 2021, the date of the Company’s Initial Public Offering, using a modified Black-Scholes model for the Public Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary share and one-fifth of one Public Warrant) and (ii) the sale of Private Placement Warrants, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption, Class A ordinary shares and Class B ordinary shares based on their relative fair values at the initial measurement date. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

The key inputs into the modified Black-Scholes model for the Public Warrants were as follows at initial measurement:


	As of February 4, 2021
Exercise price	$	11.50
Stock price	$	9.69
Term (in years)	5.00
Volatility	25.00		%
Risk-free interest rate	0.75		%
Dividend yield	—		%
Probability of completing a Business Combination	99.00		%
Discount for lack of marketability	0.999

On February 4, 2021, the Public Warrants were determined to be $1.51 per warrant for an aggregate value of $30.3 million.

The Warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants as of September 30, 2021 is classified as Level 1 due to the use of an observable market quote in an active market.

As of September 30, 2021, the Public Warrants were determined to be $0.85 per warrant for an aggregate value of $17.0 million.

Initial and Subsequent Measurement– Private Placement Warrants

The fair value of the Private Placement Warrants was estimated using a Black-Scholes option pricing model. The underlying assumptions in the Black-Scholes option pricing model include the underlying share price, risk-free interest rate, estimated volatility and the expected term. The underlying share price is based on the trading ordinary share price or implied from the unit price (before the ordinary shares are trading separately), which consists of one ordinary share and one-fifth Public Warrant. The expected stock price volatility is based on (i) the observed volatility of a group of comparable publicly traded companies observed over a historical period equal to the expected remaining life of the warrants and (ii) the implied volatility of the Public Warrants calculated using publicly observable prices. The risk-free interest rate is based on the U.S. Treasury yield curve in effect on the date of valuation equal to the remaining expected life of the warrants. The dividend yield percentage is zero because the Company does not currently pay dividends, nor does it intend to do so during the expected term of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term.

Inputs are re-evaluated each quarterly reporting period to estimate the fair market value of the Private Placement Warrants as of the reporting period.

The fair value of the Private Placement Warrants was estimated at initial measurement and at September 30, 2021 using the Black-Scholes option pricing model and the following assumptions:


	As of September 30, 2021			As of February 4, 2021
Exercise price	$	11.50		$	11.50
Stock price	$	9.74		$	9.69
Term (in years)	5.00			5.00
Volatility	15.10		%	25.00		%
Risk-free interest rate	0.98		%	0.75		%
Dividend yield	—		%	—		%
Probability of completing a Business Combination	99.00		%	99.00		%
Discount for lack of marketability	0.999			0.999

On February 4, 2021, the Private Placement Warrants were determined to be $1.64 per warrant for aggregate value of $25.1 million. The excess of fair value over the purchase price of the Private Placement Warrants of $23.0 million was $2.1 million, which is presented within general and administrative expenses in the Company’s unaudited condensed statements of operations.

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


	Private Placement Warrants		Public Warrants		Warrant Liabilities
Initial measurement at February 4, 2021	$	25,146,129	$	30,261,819	$	55,407,948
Change in fair value recognized in earnings	(11,605,594)		(12,761,819)		(24,367,413)
Fair value as of March 31, 2021	13,540,535		17,500,000		31,040,535
Change in fair value recognized in earnings	6,249,024		7,500,000		13,749,024
Fair value as of June 30, 2021	19,789,559		25,000,000		44,789,559
Change in fair value recognized in earnings	(6,590,580)		(8,000,000)		(14,590,580)
Fair value as of September 30, 2021	$	13,198,979	$	17,000,000	$	30,198,979

- 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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