Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.22.1
Fair Value Measurements
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements
NOTE 9. FAIR VALUE MEASUREMENTS
The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2021 by level within the fair value hierarchy:
 
Description
  
Quoted Prices in Active
Markets
(Level 1)
    
Significant Other
Observable Inputs
(Level 2)
    
Significant Other
Unobservable Inputs
(Level 3)
 
Assets:
                          
Investments held in Trust Account
   $ 495,948,830      $ —        $  —    
Liabilities:
                          
Derivative warrant liabilities - Public
   $ 8,827,180      $ —        $ —    
Derivative warrant liabilities - Private
   $ —        $ 8,080,120      $ —    
There were no assets or liabilities measured at fair value on a recurring basis as of December 31, 2020.
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 during the year ended December 31, 2021 as the Public Warrants were separately listed and traded in April 2021.
Level 1 instruments include investments in mutual funds invested in government securities. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.
The fair value of the Public Warrants issued in connection with the Public Offering were initially measured at fair value using a Modified Monte Carlo simulation, and subsequently are based on the listed market price of such warrants, a Level 1 measurement since April 2021. The fair value of the Private Warrants were initially measured at fair value using a Modified Black Scholes method, and subsequently are based on the listed market price of Public Warrants. For the year ended December 31, 2021, the Company recognized a gain related to the decrease in the fair value of the derivative warrant liabilities, presented as change in the fair value of derivative warrant liabilities on the statement of operations.
The estimated fair value of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, was determined using Level 3 inputs. Inherent in a Monte Carlo simulation and Modified Black Scholes method are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary shares that matches the expected remaining life of the warrants. The risk-free interest rate was based on the U.S. Treasury
zero-coupon
yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants was assumed to be equivalent to their remaining contractual term. The dividend rate was based on the historical rate, which the Company anticipates remaining at zero.
The change in the fair value of the derivative warrant liabilities for the period for the year ended December 31, 2021 is summarized as follows:
 
Level 3 - Derivative warrant liabilities at December 31, 2020
   $ —    
Issuance of derivative warrant liabilities
     21,086,630  
Change in fair value of derivative warrant liabilities
     (3,039,510
Transfer of Public Warrants to Level 1
     (9,422,270
Transfer of Private Warrants to Level 2
     (8,624,850
    
 
 
 
Level 3 - Derivative warrant liabilities at December 31, 2021
   $ —