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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Measurements, Recurring and Nonrecurring

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

Fair Value Measurement Inputs and Valuation Techniques

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

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

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details