FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 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)
As of March 31, 2022:
Assets, at fair value
Investments held in Trust Account:	$	1,000,615,298	$	—	$	—
Liabilities, at fair value
Public Warrants	$	8,240,000	$	—	$	—
Private Placement Warrants	$	—	$	—	$	6,318,368

Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
As of December 31, 2021:
Assets, at fair value
Investments held in Trust Account:	$	1,000,284,779	$	—	$	—
Liabilities, at fair value
Public Warrants	$	17,822,000	$	—	$	—
Private Placement Warrants	$	—	$	—	$	13,882,522

Fair Value Measurement Inputs and Valuation Techniques

The fair value of the Private Placement Warrants was estimated using the following assumptions:


	As of March 31, 2022			As of December 31, 2021
Exercise price	$	11.50		$	11.50
Share price	$	9.81		$	9.74
Term (in years)	5.00			5.00
Volatility	6.50		%	15.00		%
Risk-free interest rate	2.42		%	1.26		%

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

The changes in the fair value of the Level 3 warrant liabilities for the three months ended March 31, 2022 and 2021 are summarized as follows:


Warrant liabilities at December 31, 2021	$	13,882,522


Change in fair value recognized in earnings	(7,564,154)
Warrant liabilities, March 31, 2022	$	6,318,368

Warrant liabilities at December 31, 2020	$	—
Issuance of Public and Private Placement Warrants	55,407,948
Transfer of Public Warrants to Level 1	(17,500,000)
Change in fair value recognized in earnings	(24,367,413)
Warrant liabilities, March 31, 2021	$	13,540,535

- 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