Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

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

Description	Quoted Prices in Active Markets (Level 1)	Significant Other Observable Inputs (Level 2)	Significant Other Unobservable Inputs (Level 3)
Assets:
Money market funds	$ 316,257,330	$ -	$ -
Liabilities:
Derivative warrant liabilities - Public	$ 12,586,750	$ -	$ -
Derivative warrant liabilities - Private	$ -	$ -	$ 12,432,000

Schedule of Quantitative Information Regarding Level 3 Fair Value Measurement Inputs

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


	As of January 12, 2021	As of March 31, 2021
Volatility	31.5%	33.5%
Stock price	$9.62	$9.83
Expected life of the options to convert	5	5
Probability of a business combination	80.00%	90.00%
Risk-free rate	0.61%	0.92%
Dividend yield	0.0%	0.0%

Schedule of Change in Fair Value of Derivative Warrant Liabilities

The change in the fair value of the derivative warrant liabilities for the three months ended March 31, 2021 is summarized as follows:


Level 3 - Derivative warrant liabilities at December 31, 2020	$	-
Issuance of Public and Private Warrants		19,160,000
Transfer of Public Warrants to Level 1		(9,614,000)
Change in fair value of derivative warrant liabilities		2,886,000
Level 3 - Derivative warrant liabilities at March 31, 2021	$	12,432,000

Switchback II Corp 10-Q