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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2022
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Note 10 — 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. 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 include:
| ● | 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.
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 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
|  | December 31, |  |  | Quoted Prices In Active Markets |  |  | Significant Other Observable Inputs |  | Significant Other Unobservable Inputs |
|  | 2022 |  |  | (Level 1) |  |  | (Level 2) |  | (Level 3) |
Description |  |  |  |  |  |  |  |  |  |  |
Investments held in trust account- U.S. Treasury Securities |  |  | 349,927,313 |  |  |  | 349,927,313 |  |  |  | — |  |  | — |
Total Investments held in Trust Account |  | $ | 349,927,313 |  |  | $ | 349,927,313 |  |  | $ | — |  | $ | — |
Warrant liabilities – Public warrants |  | $ | 1,725,000 |  |  |  |  |  |  | $ | 1,725,000 |  | $ | — |
Warrant liabilities – Private warrants |  |  | 1,253,333 |  |  |  | — |  |  |  | — |  |  | 1,253,333 |
Convertible Note – April 1, 2022 |  |  | 338,200 |  |  |  | — |  |  |  | — |  |  | 338,200 |
Convertible Note – June 6, 2022 |  |  | 338,200 |  |  |  | — |  |  |  | — |  |  | 338,200 |
Convertible Note – December 14, 2022 |  |  | 152,200 |  |  |  | — |  |  |  | — |  |  | 152,200 |
Total Warrant liabilities |  | $ | 3,806,933 |  |  |  |  |  |  | $ | 1,725,000 |  | $ | 2,081,933 |
For the year ended December 31, 2022, as a result of the recent decline in trading volume within the period, the public warrants were transferred to and are currently classified as Level 2 securities.
|  | December 31, |  |  | Quoted Prices In Active Markets |  |  | Significant Other Observable Inputs |  |  | Significant Other Unobservable Inputs |
|  | 2021 |  |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Description |  |  |  |  |  |  |  |  |  |  |  |
Investments held in trust account- U.S. Money Market Fund |  | $ | 484 |  |  | $ | 484 |  |  | $ | — |  |  | $ | — |
Investments held in trust account- U.S. Treasury Securities |  |  | 345,105,197 |  |  |  | 345,105,197 |  |  |  | — |  |  |  | — |
Total Investments held in Trust Account |  | $ | 345,105,681 |  |  | $ | 345,105,681 |  |  | $ | — |  |  | $ | — |
Warrant liabilities – Public warrants |  | $ | 4,916,250 |  |  | $ | 4,916,250 |  |  | $ | — |  |  | $ | — |
Warrant liabilities – Private warrants |  |  | 3,572,000 |  |  |  | — |  |  |  | — |  |  |  | 3,572,000 |
Total Warrant liabilities |  | $ | 8,488,250 |  |  | $ | 4,916,250 |  |  | $ | — |  |  | $ | 3,572,000 |
The Company utilized a Monte Carlo simulation model for the initial valuation of the Public Warrants. The subsequent measurement of the Public Warrants as of December 31, 2022 and 2021, is classified as Level 1 due to the use of an observable market quote in an active market. The Company utilizes a binomial lattice simulation model to value the private placement warrants and the convertible promissory notes at each reporting period, with changes in fair value recognized in the consolidated statements of operations. The estimated fair value of the warrant liability is determined using Level 3 inputs. 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 Company estimates the volatility of its ordinary shares based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. The aforementioned warrant liabilities are not subject to qualified hedge accounting. 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 value of the securities transferred from a Level 2 measurement to a Level 1 measurement during the year ended December 31, 2022 was $348,810,523. There was a transfer of $1,725,000 from Level 1 to Level 2 in the fair value hierarchy for Public Warrants during the year ended December 31, 2022. The following table provides quantitative information regarding Level 3 fair value measurements:
|  | At December 31, |  |  | At December 31, |
|  | 2022 |  |  | 2021 |
Share price |  | $ | 10.10 |  |  | $ | 9.68 |
Strike price |  | $ | 11.50 |  |  | $ | 11.50 |
Term (in years) |  |  | 0.38 |  |  |  | 0.50 |
Volatility |  |  | de minimis |  |  |  | 10.50 | %
Risk-free rate |  |  | 3.98 | % |  |  | 1.30 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
The following table presents the changes in the fair value of warrant liabilities:
|  | Public |  |  | Private Placement |  |  | Warrant Liabilities |
Fair value as of January 1, 2022 |  | $ | 4,916,250 |  |  | $ | 3,572,000 |  |  | $ | 8,488,250 |
Change in valuation inputs or other assumptions |  |  | (3,191,250 | ) |  |  | (2,318,667 | ) |  |  | (5,509,917 | )
Fair value as of December 31, 2022 |  | $ | 1,725,000 |  |  | $ | 1,253,333 |  |  | $ | 2,978,333 |
|  | Public |  |  | Private Placement |  |  | Warrant Liabilities |
Fair value as of January 1, 2021 |  | $ | — |  |  | $ | — |  |  | $ | — |
Initial measurement on March 2, 2021 |  |  | 10,350,000 |  |  |  | 7,520,000 |  |  |  | 17,870,000 |
Change in valuation inputs or other assumptions |  |  | (5,433,750 | ) |  |  | (3,948,000 | ) |  |  | (9,381,750 | )
Fair value as of December 31, 2021 |  | $ | 4,916,250 |  |  | $ | 3,572,000 |  |  | $ | 8,488,250 |
The Company recognized gains in connection with changes in the fair value of warrant liabilities of $5,509,917 within change in fair value of warrant liabilities in the consolidated statement of operations for the year ended December 31, 2022. The Company recognized gains in connection with changes in the fair value of warrant liabilities of $9,381,750 within change in fair value of warrant liabilities in the consolidated statement of operations for the year ended December 31, 2021. The following table presents a summary of the changes in the fair value of Level 3 warrant liabilities:
|  | Private Placement |  |  | Public |  |  | Total Warrant Liabilities |
Fair value as of January 1, 2022 |  | $ | 3,572,000 |  |  | $ | — |  |  | $ | 3,572,000 |
Change in fair value |  |  | (2,318,667 | ) |  |  | — |  |  |  | (2,318,667 | )
Fair value as of December 31, 2022 |  | $ | 1,253,333 |  |  | $ | — |  |  | $ | 1,253,333 |
|  | Private Placement |  |  | Public |  |  | Total Warrant Liabilities |
Fair value as of January 1, 2021 |  | $ | — |  |  | $ | — |  |  | $ | — |
Initial measurement on March 2, 2021 |  |  | 7,520,000 |  |  |  | 10,350,000 |  |  |  | 17,870,000 |
Transfer to Level 1 |  |  | — |  |  |  | (10,350,000 | ) |  |  | (10,350,000 | )
Change in fair value |  |  | (3,948,000 | ) |  |  | — |  |  |  | (3,948,000 | )
Fair value as of December 31, 2021 |  | $ | 3,572,000 |  |  | $ | — |  |  | $ | 3,572,000 |

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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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