The Founder Shares are accounted for as a liability in accordance with ASC 815 and presented as a derivative liability on the balance sheet. The derivative liability was measured at fair value as of September 10, 2021 and will be evaluated on a recurring basis, with changes in fair value presented within fair value of derivative liability in the statement of operations. In order to capture the market conditions associated with the Founder Shares liability, the Company applied an approach that incorporated a Monte Carlo simulation, which involved random iterations of future stock-price paths over the contractual life of the Founder Shares. Based on assumptions regarding potential changes in control of the Company, and the probability distribution of outcomes, the payoff to the holder was determined based on the achievement of the various market thresholds within each simulated path. The present value of the payoff in each simulated trial is calculated, and the fair value of the liability is determined by taking the average of all present values.

The key inputs into the Monte-Carlo simulation model for Founder Shares were as follows on the date of issuance and as of September 30, 2021:



Input	September 10, ‎2021		September 30, ‎2021
Risk-free interest rate		1.01%		1.13%
Expected term		6.31 years		6.25 years
Expected volatility		17.2%		17.7%
Stock price	$	10.00	$	10.00
Dividend yield		0.0 %		0.0 %

The following table presents a summary of the changes in the fair value of the Founder Shares liability, a Level 3 liability, measured on a recurring basis, as of September 30, 2021:



	Class L Founder Shares Derivative ‎Liability
Fair value of Class L Founder Shares, September 10, 2021	$	54,981,475
Changes in fair value during the period		893,835
Fair value of Class L Founder Shares, September 30, 2021	$	55,875,310

The following presents the Company’s fair value hierarchy for liabilities measured at fair value on a recurring basis as of September 30, 2021:




	Level 1		Level 2		Level 3		Total
Class L ordinary shares	$	—	$	—	$	55,875,310	$	55,875,310
Total	$	—	$	—	$	55,875,310	$	55,875,310