FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2021

NOTE 10. FAIR VALUE MEASUREMENTS

The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis by level within the fair value hierarchy:

September 30, 2021


			Significant
	Quoted Prices		Other		Significant Other
	in Active		Observable		Unobservable
	Markets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments Held in the Trust Account:
Mutual Funds	$	575,190,507	$	—	$	—

Liabilities:
Derivative warrant liabilities - Public Warrants	$	15,525,000	$	—	$	—
Derivative warrant liabilities - Private Warrants	$	—	$	12,150,000	$	—
Derivative warrant liabilities - Working Capital Warrants	$	—	$	1,350,000	$	—

December 31, 2020


			Significant
	Quoted Prices		Other		Significant Other
	in Active		Observable		Unobservable
	Markets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments Held in the Trust Account:
U.S. Treasury Securities	$	575,105,000	$	—	$	—
Money Market Funds		7,065		—		—
	$	575,112,065	$	—	$	—

Liabilities:
Derivative warrant liabilities - Public Warrants	$	23,690,000	$	—	$	—
Derivative warrant liabilities - Private Warrants	$	—	$	—	$	19,800,000

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The valuation of the Private Warrants transferred from a Level 3 measurement to a Level 2 measurement in the nine months ended September 30, 2021. There were no other transfers in the three or nine months period ended September 30, 2021.

Level 1 assets include investments in money market funds that invest solely in U.S. government securities as of September 30, 2021 and investments in U.S. Treasury Securities as of December 31, 2020. The Company uses inputs such as actual trade data, 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 Initial Public Offering were measured at their listed trading prices. The fair value of Private Warrants was measured initially using a Black-Scholes analysis which relies upon Level 3 inputs including the underlying stock price and the implied volatility from the traded Public Warrant price. Subsequently, the fair value of the Private Warrants and the Working Capital Warrants initially and subsequently were measured by reference to the Public Warrant trading price. As the transfer of Private Placement Warrants and Working Capital Warrants to anyone who is not a permitted transferee would result in the Private Placement Warrants and the Working Capital Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant is equivalent to that of each Public Warrant. For the three and nine months ended September 30, 2021, the Company recognized a gain resulting from a decrease in the fair value of derivative warrant liabilities of $9.8 million and $16.4 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying condensed statement of operations.

The estimated fair value of the Private Placement Warrants as of December 31, 2021 was determined using Level 3 inputs. Inherent in a Black-Scholes analysis are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares 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 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. The Company’s Level 3 valuation is based on a valuation model utilizing judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value.

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


	As of December 31,
	2020
Exercise price	$	11.50
Volatility		26.8	%
Stock price	$	10.42
Expected life of the options to convert		6.25
Risk-free rate		0.54	%
Dividend yield		0.0	%

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the three and nine months ended September 30, 2021 is summarized as follows:


Derivative warrant liabilities - Level 3, at January 1, 2021	$	19,800,000
Change in fair value of derivative warrant liabilities - Level 3		180,000
Derivative warrant liabilities - Level 3, at March 31, 2021 - Level 3		19,980,000
Transfer of Private Warrants to Level 2		(19,980,000)
Derivative warrant liabilities - Level 3, at June 30, 2021 and September 30, 2021	$	—

- 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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Vy Global Growth 10-Q/A