Battery Future Acquisition Corp. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Recurring Fair Value Measurements

Recurring Fair Value Measurements

12 Months Ended

Dec. 31, 2022

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 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.

At December 31, 2022, assets held in the Trust Account were comprised of

$356,976,495

in money market funds which are invested primarily in U.S. Treasury

ecurities. Through December 31, 2022, the Company did not withdraw any interest income from the Trust Account.

At December 31, 2021, assets held in the Trust Account were comprised of $351,900,888 in money market funds which are invested primarily in U.S. Treasury

ecurities. Through December 31, 2021, the Company did not withdraw any interest income from the Trust Account.

The following tables present fair value information as of December 31, 2022 and 2021, of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:


December 31, 2022	Level 1		Level 2		Level 3
Assets
Investments held in Trust Account – money market fund	$	356,976,495	$	—	$	—

Total Assets	$	356,976,495	$	—	$	—

Liabilities
Public Warrants	$	1,093,650	$	—	$	—
Private Warrants		—		—		1,125,515

Total Liabilities	$	1,093,650	$	—	$	1,125,515


December 31, 2021	Level 1		Level 2		Level 3
Assets
Investments held in Trust Account – money market fund	$	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 December 31, 2022 and 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:


	December 31, 2022			December 31, 2021
Share price	$	10.27		$	9.60
Strike price		11.50		$	11.50
Term (in years)		5.41			6.21
Volatility		7.8	%		10.4	%
Risk-free rate		4.74	%		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
Initial measurement on December 17, 2021	$	13,216,499		$	13,631,224		$	26,847,723
Change in fair value		(3,376,056	)		(3,508,655	)		(6,884,712	)

Fair value as of December 31, 2021		9,840,443			10,122,569			19,963,011
Transfer to L evel 1		—			(10,122,569	)		(10,122,569	)
Change in fair value		(8,714,928	)		—			(8,714,928	)

Fair value as of December 31, 2022	$	1,125,515		$	—		$	1,125,515

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 year ended December 31, 2022 was approximately $10.1 million.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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