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Fair Value Measurements
 9 Months Ended
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