Altitude Acquisition Corp. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Recurring Fair Value Measurements

Recurring Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Note 6 - Recurring Fair Value Measurements

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, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


	September 30, 2022		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Money Market Funds held in Trust Account	$	50,865,089	$	50,865,089	$	—	$	—

Liabilities:
Warrant Liability—Public Warrants	$	973,500	$	973,500	$	—	$	—
Warrant Liability—Private Placement Warrants	$	560,644	$	—	$	—	$	560,644

	$	1,534,144	$	973,500	$	—	$	560,644

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


	December 31, 2021		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Money Market Funds held in Trust Account	$	300,026,796	$	300,026,796	$	—	$	—

Liabilities:
Warrant Liability—Public Warrants	$	8,626,500	$	8,626,500	$	—	$	—
Warrant Liability—Private Placement Warrants	$	4,822,783	$	—	$	—	$	4,822,783

	$	13,449,283	$	8,626,500	$	—	$	4,822,783

The measurement of the Public Warrants at September 30, 2022 and December 31, 2021 is classified as Level 1 due to the use of an observable market quote in an active market. As of September 30, 2022 and December 31, 2021, the aggregate value of Public Warrants was $973,500 and $8,626,500, respectively.

The estimated fair value of the Private Placement Warrants on September 30, 2022 and December 31, 2021 is determined using Level 3 inputs. Inherent in a Monte Carlo simulation model are assumptions related to expected stock-price volatility

(pre-merger

and

post-merger),

expected term, dividend yield and risk-free interest rate. The Company estimates the volatility of its common stock based on management’s understanding of the volatility associated with instruments of other similar entities. The risk-free interest rate is based on the U.S. Treasury Constant Maturity similar to the expected remaining life of the warrants. The expected life of the warrants is simulated based on management assumptions regarding the timing and likelihood of completing a business combination. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. The assumptions used in calculating the estimated fair values represent the Company’s best estimate. However, inherent uncertainties are involved. If factors or assumptions change, the estimated fair values could be materially different.

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at September 30, 2022:


Input	September 30, 2022

Expected term (years)		5.54
Expected volatility		4.00	%
Risk-free interest rate		4.04	%
Exercise price	$	11.50
Fair value of the common stock price	$	10.05

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 31, 2021:


Input	December 31, 2021
Expected term (years)		5.37
Expected volatility		12.4	%
Risk-free interest rate		1.29	%
Exercise price	$	11.50
Fair value of the common stock price	$	9.90

The primary significant unobservable input used in the fair value measurement of the Company’s Private Placement Warrants is the expected volatility of the common stock. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.

The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the three and nine months ended September 30, 2022:


	Warrant Liability
Fair value as of December 31, 2021	$	4,822,783
Change in fair value		(3,428,308	)

Fair value as of March 31, 2022		1,394,475
Change in fair value		(344,281	)

Fair value as of June 30, 2022	$	1,050,194
Chang e in fair value		(489,550	)

Fair value as of September 30, 2022	$	560,644

The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the three and nine months ended September 30, 2021:


	Warrant Liability
Fair value as of December 31, 2020	$	33,807,463
Transfer out of Level 3 to Level 1		(25,500,000	)
Change in fair value		5,996,188

Fair value as of March 31, 2021		14,303,651
Change in fair value		(6,657,377	)

Fair value as of June 30, 2021	$	7,646,274
Chang e in fair value		(1,812,324	)

Fair value as of September 30, 2021		5,833,950