Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Summary of Company's Financial Assets And Liabilities

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.:

June 30, 2022:


	Fair Value Measured as of June 30, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	604,694,586	$	—	$	—	$	604,694,586
Derivative assets-forward purchase agreement	$	—	$	—	$	132,630	$	132,630
Liabilities:
Working capital loan-related party	$	—	$	—	$	546,250	$	546,250
Derivative liabilities-public warrants	$	2,898,000	$	—	$	—	$	2,898,000
Derivative liabilities-private warrants	$	—	$	—	$	2,406,480	$	2,406,480

December 31, 2021:


	Fair Value Measured as of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	603,786,848	$	—	$	—	$	603,786,848
Liabilities:
Working capital loan-related party	$	—	$	—	$	2,343,620	$	2,343,620
Derivative liabilities-public warrants	$	14,604,180	$	—	$	—	$	14,604,180
Derivative liabilities-private warrants	$	—	$	—	$	12,735,230	$	12,735,230
Derivative liabilities-forward purchase agreement	$	—	$	—	$	9,645,580	$	9,645,580

Summary of Quantitative Information Regarding Level 3 Fair Value Measurements Inputs As Their Measurement Dates


	As of December 31, 2021			As of June 30, 2022
Option term (in years )		0.5-5. 5			0.5-5.5
Volatility		20.00	%		20.00	%
Risk-free interest rate		1.29	%		1.29	%
Expected dividends		0.00	%		0.00	%

Summary of Change In The Fair Value Of The Derivative Assets and Liabilities

The change in the fair value of the derivative assets and liabilities, measured with Level 3 inputs, for the six months ended June 30, 2022 is summarized as follows:


Derivative assets at December 31, 2021	$	—
Change in fair value of derivative assets—forward purchase agreement		2,400,000

Derivative assets at March 31, 2022		2,400,000
Change in fair value of derivative assets—forward purchase agreement		(2,267,370	)

Derivative assets at June 30, 2022	$	132,630


Derivative liabilities at December 31, 2021	$	22,380,810
Change in fair value of derivative liabilities		(16,464,520	)

Derivative liabilities at March 31, 2022		5,916,290
Change in fair value of derivative liabilities		(3,509,810	)

Derivative liabilities at June 30, 2022	$	2,406,480

The change in the fair value of the derivative assets and liabilities, measured with Level 3 inputs, for the six months ended June 30, 2021 is summarized as follows:


Derivative liabilities beginning of the period	$	—
Issuance of derivative liabilities		184,472,850
Transfer of Public Warrants to a Level 1 measurement		(44,919,000	)
Change in fair value of derivative liabilities—Level 3 measurement (1)		(96,310,400	)

Derivative liabilities at March 31, 2021—Level 3 measurement		43,243,450
Change in fair value of derivative liabilities—Level 3 measurement (2)		(16,149,250	)

Derivative liabilities at June 30, 2021—Level 3 measurement	$	27,094,200


(1)		includes a $76.5 million gain from the change in fair value from the forward purchase agreement
(2)		includes a $10.2 million gain from the change in fair value from the forward purchase agreement

Summary of Fair Value Of Working Capital Loan Related Party

The change in the fair value of the working capital loan—related party measured with Level 3 inputs for the period for the six months ended June 30, 2021 is summarized as follows:


Fair value of working capital loan—related party, December 31, 2021	$	2,343,620
Change in fair value of working capital loan—related party		(1,245,590	)

Fair value of working capital loan—related party, March 31, 2022	$	1,098,030
Change in fair value of working capital loan—related party		(551,780	)

Fair value of working capital loan—related party, June 30, 2022	$	546,250

SVF Investment Corp. 10-Q