General form of registration statement for all companies including face-amount certificate companies

FAIR VALUE MEASUREMENTS

v3.21.4
FAIR VALUE MEASUREMENTS
 9 Months Ended
Sep. 30, 2021
ION Acquisition Corp 2 LTD  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS
Fair Value Hierarchy of Assets and Liabilities
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2021 and February 16, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description Level September 30,
2021		 February 16,
2021
Assets:
Marketable securities held in Trust Account (1)(2)
1 $ 253,042,565  $ 253,000,000 
Liabilities:
Private Placement Warrants(1)
3 $ 26,192,600  $ 24,812,195 
Public Warrants(1)
1 $ 3,447,125  $ 5,252,879 
______________
(1)Measured at fair value on a recurring basis. As of February 16, 2021 the public warrants were classified as Level 3.
(2)The fair value of the marketable securities held in the Trust Account approximates the carrying amount primarily due to their short-term nature.
Warrants
The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrants liability on the Balance Sheets. The warrants liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrants liability in the Statements of Operations.
Measurement
The Company established the initial fair value for the Warrants as of February 16, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model for the Public Warrants and a Black-Scholes simulation model for the Private Placement Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A ordinary share and one-eighth of one Public Warrant) and (ii) the sale of Private Placement Warrants first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The Public Warrants began trading separately on April 5, 2021 and their value is based on the publicly traded price as of September 30, 2021. Due to the use of a quoted price in an active market, the Public Warrants are classified as Level 1 as of September 30, 2021. The Private Placement Warrants continue to be classified as Level 3 as of September 30, 2021 and continue to be valued based on a Black-Scholes simulation model.
The key inputs into the Monte Carlo simulation model for the Public Warrants were as follows at initial measurement:
Input February 16,
2021 (Initial measurement)
Risk-free interest rate 0.73  %
Expected term (years) 5.87
Expected volatility 23.2  %
Exercise price $ 11.50 
Fair value of Unit $ 10 
Fair value of Class A ordinary share $ 9.79 
The key inputs into the Black-Scholes model for the Private Placement Warrants were as follows:
Input September 30, 2021 February 16,
2021 (Initial measurement)
Risk-free interest rate 1.01  % 0.73  %
Expected term (years) 5.2 5.87
Expected volatility 46.3  % 42.6  %
Exercise price $ 11.50  $ 11.50 
Fair value of Unit $ 10.05  $ 10 
Fair value of Class A ordinary share $ 9.91  $ 9.79 
Measurement
The Company’s use of a Monte Carlo simulation and Black-Scholes model required the use of subjective assumptions:
•The risk-free interest rate assumption was interpolated based on constant maturity U.S. Treasury rates over a term commensurate with the expected term of the warrants.
•The expected term was determined based on the expected date of the initial Business Combination, as the Warrants expire on the date that is 5 years from the completion of the initial Business Combination.
•The expected volatility assumption was based on the implied volatility from a set of comparable publicly-traded warrants as determined based on size and proximity.
•The fair value of the Units, which each consist of one Class A ordinary share and one-eighth of one Public Warrant, represents the price paid in the Initial Public Offering.

The following table presents the changes in the fair value of the Level 3 warrant liabilities:
Private Placement Public Warrants Liability
Fair value as of February 16, 2021 (initial measurement) $ 24,812,195  $ 5,252,879  $ 30,065,074 
Change in fair value 1,380,405  344,746  1,725,151 
Transfer to Level 1 $ (5,597,625) $ (5,597,625)
Fair value as of September 30, 2021 $ 26,192,600  $ 26,192,600 
Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. The estimated fair value of the Public Warrants transferred from a Level
3 measurement to a Level 1 fair value measurement during the nine months ended September 30, 2021 was $5,597,625.FAIR VALUE MEASUREMENTS (AS RESTATED)
Fair Value Hierarchy of Assets and Liabilities
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at February 16, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description
Level
 February 16,
2021
Assets:
Marketable securities held in Trust Account (1)(2)
1
 $ 253,000,000 
Liabilities:
Private Placement Warrants(1)
3
 $ 24,812,195 
Public Warrants(1)
3
 $ 5,252,879 
__________________
(1)Measured at fair value on a recurring basis.
(2)The fair value of the marketable securities held in the Trust Account approximates the carrying amount primarily due to their short-term nature.
Warrants
The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrants liability on the Balance Sheet. The warrants liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrants liability in the Statement of Operations.
Measurement
The Company established the initial fair value for the Warrants as of February 16, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model for the Public Warrants and a Black-Scholes simulation model for the Private Placement Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A ordinary share and one-eighth of one Public Warrant) and (ii) the sale of Private Placement Warrants first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.
The key inputs into the Monte Carlo simulation model for the Public Warrants were as follows at initial measurement:
Input
 February 16,
2021
Risk-free interest rate
 0.73  %
Expected term (years)
 5.87
Expected volatility
 23.2  %
Exercise price
 $ 11.50
Fair value of Unit
 $ 10
Fair value of Class A ordinary share
 $ 9.79
The key inputs into the Black-Scholes model for the Private Placement Warrants were as follows at initial measurement:
Input
 February 16,
2021
Risk-free interest rate
 0.73  %
Expected term (years)
 5.87
Expected volatility
 42.6  %
Exercise price
 $ 11.50
Fair value of Unit
 $ 10
Fair value of Class A ordinary share
 $ 9.79
Measurement
The Company’s use of a Monte Carlo simulation and Black-Scholes model required the use of subjective assumptions:
•The risk-free interest rate assumption was interpolated based on constant maturity U.S. Treasury rates over a term commensurate with the expected term of the warrants.
•The expected term was determined based on the expected date of the initial Business Combination, as the Warrants expire on the date that is 5 years from the completion of the initial Business Combination and for certain Private Warrants 5 years from the date of the initial public offering effective date.
•The expected volatility assumption was based on the implied volatility from a set of comparable publicly-traded warrants as determined based on size and proximity.
•The fair value of the Units, which each consist of one Class A ordinary share and one-eighth of one Public Warrant, represents the price paid in the Initial Public Offering.