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 and 2020 by level within the fair value hierarchy:

Fair Value Measured as of December 31, 2021

Investments held in Trust Account - U.S. Treasury Securities

Warrant liabilities - Public Warrants

Warrant liabilities - Private Placement Warrants


	Fair Value Measured as of December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account - U.S. Treasury Securities	$	414,011,571	$	—	$	—	$	414,011,571
Liabilities:
Warrant liabilities - Public Warrants	$	10,764,000	$	—	$	—	$	10,764,000
Warrant liabilities - Private Placement Warrants	$	—	$	—	$	165,780	$	165,780

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 in December 2020, upon trading of the Public Warrants in an active market. There were no transfers between levels for the year ended December 31, 2021.

The fair value of the Public Warrants issued in connection with the Initial Public Offering was initially measured using a Monte Carlo simulation model and subsequently been measured based on the listed market price of such warrants. The fair value of the warrants issued in connection with the Private Placement have been estimated using a Black-Scholes Option Pricing model at each measurement date.

The estimated fair value of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, is determined using Level 3 inputs. Inherent in a Black-Scholes Option Pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its Class A common stock warrants based on implied volatility from the Company’s traded warrants. The risk-free interest rate is 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 is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:


	December 31, 2021			December 31, 2020
Exercise price	$	11.50		$	11.50
Stock Price	$	9.81		$	10.01
Term (in years)		5.00			5.00
Volatility		14.20	%		17.00	%
Risk-free interest rate		1.34	%		0.56	%
Dividend yield		0.00	%		0.00	%
Probability of success		80.00	%		100.00	%

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the year ended December 31, 2021 and for the period from June 22, 2020 (inception) through December 31, 2020 is summarized as follows:


Level 3 warrant liabilities as of June 22, 2020 (inception)	$	—
Issuance of Public and Private Placement Warrants		13,765,730
Transfer of Public Warrants to Level 1		(12,109,500	)
Change in fair value of derivative warrant liabilities		(1,490,450	)

Level 3 warrant liabilities as of December 31, 2020		165,780
Change in fair value of derivative warrant liabilities		(57,870	)

Level 3 warrant liabilities as of December 31, 2021	$	107,910

- 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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