Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.23.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements
NOTE 9. 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 December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
 
  
December 31,
2022
 
  
Quoted
Prices In
Active
Markets
(Level 1)
 
  
Significant
Other
Observable
Inputs
(Level 2)
 
  
Significant
Other
Unobservable
Inputs
(Level 3)
 
Liabilities:
  
  
  
  
Warrant Liability—Public Warrants
    $ 877,500      $ 877,500      $ —        $ —    
Warrant Liability—Private Placement Warrants
      505,949        —          —          505,949  
    
$
1,383,449
 
   
$
877,500
 
   
$
—  
 
   
$
505,949
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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 December 31, 2022 and 2021 is classified as Level 1 due to the use of an observable market quote in an active market. As of December 31, 2022 and 2021, the aggregate value of Public Warrants was $877,500 and $8,626,500, respectively.
The estimated fair value of the Private Placement Warrants on December 31, 2022 and 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 December 31, 2022:
 
Input
  
 
 
Expected term (years)
      1.15  
Expected volatility
      7.9 % 
Risk-free interest rate
      4.68 % 
Exercise price
    $  11.50  
Fair value of the common stock price
    $ 9.92  
 
 
The
key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 31, 2021:
 
Input
  
 
 
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 year ended December 31, 2022:
 
 
  
Warrant Liability
 
Fair value as of December 31, 2021
    $ 4,822,783  
Change in fair value
      (4,316,834 ) 
    
 
 
  
Fair value as of December 31, 2022
   
$
505,949
 
 
  
 
 
 
The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the year ended December 31, 2021:
 
 
  
Warrant Liability
 
Fair value as of December 31, 2020
    $ 33,807,463  
Transfer out of public warrants from Level 3 to Level 1
      (8,626,500 ) 
Change in fair value
      (20,358,180 ) 
    
 
 
  
Fair value as of December 31, 2021
   
$
4,822,783