Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2021

Summary of assets measured at fair value on a recurring basis


Description	Level 1		Level 2		Level 3
Assets:
Investments held in Trust Account - U.S. Treasury Securities⁽¹⁾	$	778,445,880	$	—	$	—

Liabilities:
Derivative liabilities – Public Warrants	$	28,152,000	$	—	$	—
Derivative liabilities – Private Warrants	$	—	$	—	$	54,380,800
Derivative liabilities – Forward Purchase Agreement	$	—	$	—	$	3,343,000

December 31, 2020


Description	Level 1		Level 2		Level 3
Assets:
Investments held in Trust Account - U.S. Treasury Securities⁽¹⁾	$	720,932,535	$	—	$	—

Liabilities:
Derivative liabilities – Public Warrants	$	36,018,000	$	—	$	—
Derivative liabilities – Private Warrants	$	—	$	—	$	38,233,600
Derivative liabilities – Forward Purchase Agreement	$	—	$	—	$	13,105,000

(1) - Excludes $50,150,712 and $55,645,484 of investments in an open-ended money market fund, in which the Company uses NAV as a practical expedient to fair value at December 31, 2021 and 2020, respectively. In addition, it excludes $19,960 and $51,713,546 in cash at December 31, 2021 and 2020, respectively.

Schedule of reconciliation of the beginning and ending balances of the derivative assets and liabilities


Balance as of May 12, 2020	$	—
Acquisition date fair value of warrants:
Public warrants issued in the initial public offering		27,117,000
Private placement warrants issued in connection with the initial public offering (a)		32,294,400
Forward purchase agreement liability		1,562,000
Total acquisition date fair value of derivative liabilities		60,973,400
Change in fair value of warrant liabilities		14,840,200
Change in fair value of forward purchase agreement		11,543,000
Transfer to level one		(36,018,000)
Balance as of December 31, 2020		51,338,600
Change in fair value of warrant liabilities		16,147,200
Change in fair value of forward purchase agreement		(9,762,000)
End of period	$	57,723,800

Summary of quantitative information regarding Level 3 fair value measurement


	As of			As of
	December 31,			December 31,
Private Warrants	2021			2020
Stock price	$	9.90		$	10.40
Volatility		40.00	%		30.00	%
Expected life of the options to convert		5.3			5.5
Risk-free rate		1.30	%		0.40	%
Dividend yield		0.0	%		0.0	%


	As of			As of
Forward Purchase Agreements	December 31, 2021			December 31, 2020
Stock price	$	9.90		$	10.40
Probability of closing		90.0	%		80.0	%
Discount term		0.3			1.1
Risk-free rate		0.08	%		0.10	%
Dividend yield		0.0	%		0.0	%

CC Neuberger Principal Holdings II 10-K