Quarterly report pursuant to Section 13 or 15(d)

Recurring Fair Value Measurements

v3.22.2.2
Recurring Fair Value Measurements
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Recurring Fair Value Measurements
NOTE 8—RECURRING FAIR VALUE MEASUREMENTS
Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. U.S. GAAP (as defined on p.8) establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers consist of:
 
  •  
Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;
 
  •  
Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and
 
  •  
Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
As of September 30, 2022 and December 31, 2021, the Company’s marketable securities held in the Trust Account were valued at $353,999,697 and $351,900,888, respectively. The marketable securities held in the Trust Account must be recorded on the condensed balance sheets at fair value and are subject
to re-measurement
at each condensed balance sheet date.
 
With
each re-measurement,
the valuations will be adjusted to fair value, with the change in fair value recognized in the Company’s unaudited condensed statements of operations.
The following table presents fair value information as of September 30, 2022 and December 31, 2021, of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.
 
September 30, 2022
   
Level 1
     
Level 2
     
Level 3
  
Assets
                           
Investments held in Trust Account
    $ 353,999,697      $ —        $ —    
    
 
 
     
 
 
     
 
 
  
Total Assets
    $ 353,999,697      $ —        $ —    
    
 
 
     
 
 
     
 
 
  
Liabilities
                           
Public Warrants
    $ 1,897,500      $ —        $ —    
Private Warrants
      —          —          1,922,784  
    
 
 
     
 
 
     
 
 
  
Total Liabilities
    $ 1,897,500      $ —        $ 1,922,784  
    
 
 
     
 
 
     
 
 
  
       
December 31, 2021
   
Level 1
     
Level 2
     
Level 3
  
Assets
                           
Investments held in Trust Account
    $ 351,900,888      $ —        $ —    
    
 
 
     
 
 
     
 
 
  
Total Assets
    $ 351,900,888      $ —        $ —    
    
 
 
     
 
 
     
 
 
  
Liabilities
                           
Public Warrants
    $ —        $ —        $ 10,122,569  
Private Warrants
      —          —          9,840,442  
    
 
 
     
 
 
     
 
 
  
Total Liabilities
    $ —        $ —        $ 19,963,011  
    
 
 
     
 
 
     
 
 
  
At September 30, 2022 and December 31, 2021, the Company used a Monte Carlo model to value the private warrants. Additionally, at December 31, 2021, the Company used a Monte Carlo model to value the public warrants. The estimated fair value of the public and private warrant liability is determined using Level 3 inputs. If factors or assumptions change, the estimated fair values could be materially different. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield.
The following table provides quantitative information regarding Level 3 fair value measurements:
 
    
September 30,
2022
    
December 31,
2021
  
Share price
    $ 10.09     $ 9.60  
Strike price
      11.50     $ 11.50  
Term (in years)
      5.67       6.21  
Volatility
      4.7 %      10.4 % 
Risk-free rate
      4.03 %      1.37 % 
Dividend yield
      0       0  
The following table presents the changes in the fair value of Level 3 warrant liabilities:
 
    
Private
Placement
     
Public
     
Warrant
Liabilities
  
Fair value as of December 31, 2021
    $ 9,840,442      $ 10,122,569      $ 19,963,011  
Transfer to Level 1
      —          (10,122,569 )       (10,122,569 ) 
Change in fair value
      (5,332,300 )       —          (5,332,300 ) 
    
 
 
     
 
 
     
 
 
  
Fair value as of March 31, 2022
      4,508,142        —          4,508,142  
Change in fair value
      (1,410,263 )       —          (1,410,263 ) 
    
 
 
     
 
 
     
 
 
  
Fair value as of June 30, 2022
      3,097,879        —          3,097,879  
Change in fair value
      (1,175,095 )       —          (1,175,095 ) 
    
 
 
     
 
 
     
 
 
  
Fair value as of September 30, 2022
   
$
1,922,784
 
   
$
—  
 
   
$
1,922,784
 
    
 
 
     
 
 
     
 
 
  
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 for the three and nine months ended September 30, 2022, was approximately $0 million and $10.1 million, respectively.​​​​​​​