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Fair Value Measurements | 9 Months Ended
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Sep. 30, 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 September 30, 2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description |  | Level |  | September 30, 2022 |  |  | Level | December 31, 2021 |
Assets: |  |  |  |  |  |  |  |  |  |  |
Marketable securities held in Trust Account |  | 1 |  | $ | 98,260,526 |  |  | 1 | $ | 345,048,888 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Warrant Liability – Public Warrants |  | 1 |  | $ | 2,415,000 |  |  | 1 | $ | 9,177,000 |
Warrant Liability – Private Placement Warrants |  | 2 |  | $ | 1,246,000 |  |  | 2 | $ | 4,734,800 |
Forward Purchase Agreement Liability |  | 3 |  | $ | 1,000,000 |  |  | 3 | $ | 1,600,000 |
The Public Warrants and Private Placement Warrants (collectively, the “Warrants”) and forward purchase agreement were accounted for as liabilities in accordance with ASC 815-40 and are presented separately in the Condensed Consolidated balance sheets. The warrant liabilities and forward purchase agreement liability are measured at fair value at inception and on a recurring basis, with changes in fair value presented separately in the Condensed Consolidated statements of operations. The following table presents the rollforward for the Level 3 Investments as of September 30, 2022 and 2021:
Level 3 Investments liabilities at December 31, 2021 |  | $ | 1,600,000 |
Change in fair value of forward purchase agreement |  |  | (600,000 | )
Level 3 Investments liabilities at September 30, 2022 |  | $ | 1,000,000 |
Level 3 Investments liabilities at December 31, 2020 |  | $ | 13,046,000 |
Change in fair value of of private warrants |  |  | (4,450,890 | )
Transfer from level 3 to level 2 |  |  | (5,695,110 | )
Change in fair value of forward purchase agreement |  |  | (2,300,000 | )
Level 3 Investments liabilities at September 30, 2021 |  | $ | 600,000 |
The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units on September 14, 2020 were classified as Level 1 due to the use of an observable market quote in an active market. For periods subsequent to the detachment of the Public Warrants from the Units, the close price of the Public Warrant price will be used as the fair value as of each relevant date. The Private Warrants are considered to be a Level 2 fair value measurement and are valued the same as Public Warrant even though they are not traded on the market. The Private Warrants were considered a Level 3 fair value measurement prior to Q3, 2021 using a binomial lattice model. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the common stock. The expected volatility as of the Initial Public Offering date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The following table presents the changes in the fair value of warrant liabilities:
​ |  | Private Placement |  |  | Public |  |  | Warrant Liabilities |
Fair value as of January 1, 2022 |  | $ | 4,734,800 |  |  | $ | 9,177,000 |  |  | $ | 13,911,800 |
Change in valuation inputs or other assumptions |  | $ | (3,488,800 | ) |  | $ | (6,762,000 | ) |  | $ | (10,250,800 | )
Fair value as of September 30, 2022 |  | $ | 1,246,000 |  |  | $ | 2,415,000 |  |  | $ | 3,661,000 |
Fair value as of January 1, 2021 |  | $ | 10,146,000 |  |  | $ | 19,665,000 |  |  | $ | 29,811,000 |
Change in valuation inputs or other assumptions |  | $ | (4,450,890 | ) |  | $ | (8,626,725 | ) |  | $ | (13,077,615 | )
Fair value as of September 30, 2021 |  | $ | 5,695,110 |  |  | $ | 11,038,275 |  |  | $ | 16,733,385 |
The forward purchase agreement was valued using the publicly traded price of the Company’s Units, based upon the fact that the Forward Purchase Units are equivalent to the Company’s publicly traded Units, and the publicly traded price of the Units considered (i) the market’s expectation of an initial Business Combination and (ii) the Company’s redemption of the common stock within the Units at $10.00 per share if an initial Business Combination does not occur. The following table presents the quantitative information regarding Level 3 fair value measurements of the forward purchase agreement:
|  | September 30, 2022 |  |  | December 31, 2021 |
Unit price |  | $ | 10.10 |  |  | $ | 10.31 |
Term to initial business combination (in years) |  |  | 0.25 |  |  |  | 0.50 |
Risk-free rate |  |  | 4.01 | % |  |  | 0.19 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
The following table presents the changes in the fair value of forward purchase agreement liability:
Fair value as of December 31, 2021 |  | $ | 1,600,000 |
Change in fair value |  |  | (1,550,000 | )
Fair value as of March 31, 2022 |  | $ | 50,000 |
Change in fair value |  |  | 1,070,000 |
Fair value as of June 30, 2022 |  | $ | 1,120,000 |
Change in fair value |  |  | (120,000 | )
Fair value as of September 30, 2022 |  | $ | 1,000,000 |
Fair value as of December 31, 2020 |  | $ | 2,900,000 |
Change in fair value |  |  | (2,400,000 | )
Fair value as of March 31, 2021 |  | $ | 500,000 |
Change in fair value |  |  | 700,000 |
Fair value as of June 30, 2021 |  | $ | 1,200,000 |
Change in fair value |  |  | (600,000 | )
Fair value as of September 30, 2021 |  | $ | 600,000 |

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- 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. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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