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RECURRING FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2022
RECURRING FAIR VALUE MEASUREMENTS |
RECURRING FAIR VALUE MEASUREMENTS | NOTE 8. RECURRING FAIR VALUE MEASUREMENTS At September 30, 2022 and December 31, 2021, the Company’s warrant liability was valued at $961,413 and $7,384,800, respectively. Under the guidance in ASC 815-40 the Warrants do not meet the criteria for equity treatment. As such, the Warrants must be recorded on the condensed balance sheet at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s condensed statement of operations. The Company’s warrant liability for the Private Placement Warrants is based on a valuation model utilizing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. The fair value of the Private Warrant liability classified within Level 3 of the fair value hierarchy. The Company’s warrant liability for the Public Warrants is based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. The fair value of the Public Warrant liability is classified within Level 1 of the fair value hierarchy. The Company classifies its U.S. Treasury and equivalent securities as held-to-maturity in accordance with ASC Topic 320 “Investments - Debt and Equity Securities.” Held-to-maturity securities are those securities which the Company has the ability and intent to hold until maturity. Held-to-maturity treasury securities are recorded at amortized cost on the accompanying condensed balance sheets and adjusted for the amortization or accretion of premiums or discounts. At September 30, 2022, assets held in the Trust Account were comprised of $17,591 in cash and should be $277,138,779 only then if you add $17,591 will this tie back to the Balance sheet balance of 277,156,370 in U.S. Treasury Bills. During the three and nine months ended September 30, 2022, the Company withdrew $341,500 in interest income from the Trust Account for tax obligation purposes. At December 31, 2021, assets held in the Trust Account were comprised of $52 in cash and should be $276,079,635 only then if you add $52 will this tie back to the Balance sheet balance of 276,079,687 in U.S. Treasury Bills. During the year ended December 31, 2021, the Company did not withdraw interest income from the Trust Account. The following table presents information about the Company’s gross holding gains and fair value of held-to-maturity securities at September 30, 2022 and December 31, 2021:
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ |  | ​ |  | ​ | ​ |  | Gross |  | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | Amortized | ​ | Holding | ​ | ​ | ​
​ | ​ | Held-To-Maturity | ​ | Level | ​ | Cost | ​ | Gain | ​ | Fair Value
September 30, 2022 |  | U.S. Treasury Bill (Matures on 10/06/2022) |  | 1 | ​ | $ | 277,138,779 | ​ | $ | 9,566 | ​ | $ | 277,148,345
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2021 |  | U.S. Treasury Bill (Matures on 01/06/2022) |  | 1 | ​ | $ | 276,079,635 | ​ | $ | 1,273 | ​ | $ | 276,080,908
​ The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of September 30, 2022 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | Level 1 |  | Level 2 |  | Level 3
Liabilities: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Private Placement Warrants |  | $ | — |  | $ | — |  | $ | 356,053
Public Warrants |  | $ | — |  | $ | 605,360 |  | $ | —
​ 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. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | Level 1 |  | Level 2 |  | Level 3
Liabilities: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Private Placement Warrants | ​ | $ | — | ​ | $ | — | ​ | $ | 2,692,800
Public Warrants | ​ | $ | 4,692,000 | ​ | $ | — | ​ | $ | —
​ Measurement The Company established the initial fair value for the Warrants on February 11, 2021, the date of the consummation of the Company’s IPO using a Monte Carlo simulation model to value the Public Warrants and a modified Black-Scholes model to value the Private Placement Warrants. The Warrants were initially classified within Level 3 of the fair value hierarchy due to the use of unobservable inputs. In April 2021, the Public Warrants began trading in the open market and were reclassified to Level 1. On September 30, 2022 and December 31, 2021, the fair value was remeasured. At September 30, 2022 and December 31, 2021, the Company used a Monte Carlo simulation and modified Black-Scholes model, respectively, to value the Private Placement Warrants. The Private Placement Warrants were classified within Level 3 of the fair value hierarchy at the measurement date due to the use of unobservable inputs. The Company’s Private Placement Warrant liability is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The key inputs into the valuation models was as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 31, | ​ | September 30, | ​
Input |  | 2021 |  | 2022 |
Risk-free interest rate | ​ | ​ | 1.26 | % | ​ | 4.04 | %
Expected term (years) | ​ | ​ | 5.0 | ​ | ​ | 5.39 | ​
Expected volatility | ​ | ​ | 10.50 | % | ​ | 6.9 | %
Dividend rate | ​ | ​ | 0.0 | % | ​ | 0.0 | %
Exercise price | ​ | $ | 11.50 | ​ | $ | 11.50 | ​
Market implied likelihood of IBC | ​ | ​ | — | % | ​ | 6.9 | %
​ The following table provides a reconciliation of changes in fair value of the beginning and ending balances for the Company’s assets and liabilities classified as level 3 for the three and nine months ended September 30, 2022 and September 30, 2021.
​ | ​ | ​ | ​
Fair Value at December 31, 2021 | ​ | $ | 2,692,800
Change in fair value | ​ |  | (1,100,880)
Fair Value at March 31, 2022 | ​ | ​ | 1,591,920
Change in fair value | ​ | ​ | (793,893)
Fair Value at June 30, 2022 | ​ | ​ | 798,027
Change in fair value | ​ | ​ | (441,974)
Fair Value at September 30, 2022 | ​ | $ | 356,053
​ ​ ​
​ | ​ | ​ | ​
Fair Value at issuance February 11, 2021 |  | $ | 18,028,933
Change in fair value | ​ |  | (7,166,800)
Fair Value at March 31, 2021 | ​ | ​ | 10,862,133
Public Warrants reclassified to level 2 | ​ | ​ | (9,200,000)
Issuance of Private Placement Warrants upon conversion of Working Capital Loans | ​ | ​ | 68,000
Change in fair value | ​ | ​ | 3,655,467
Fair Value at June 30, 2021 | ​ | ​ | 5,385,600
Change in fair value | ​ | ​ | (2,270,400)
Fair Value at September 30, 2021 | ​ | $ | 3,115,200
​

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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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