| Summary of assets and liabilities that are measured at fair value on a recurring basis |
The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021 by level within the fair value hierarchy:
|
|
Fair Value Measured as of September 30, 2022 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Level 3 |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account – U.S. Treasury Securities |
|
$ |
416,329,383 |
|
$ |
— |
|
$ |
— |
|
$ |
416,329,383 |
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Warrant liabilities – Public Warrants |
|
$ |
9,625,500 |
|
$ |
— |
|
$ |
— |
|
$ |
9,625,500 |
Warrant liabilities – Private Placement Warrants |
|
$ |
— |
|
$ |
— |
|
$ |
145,825 |
|
$ |
145,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measured as of December 31, 2021 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account – U.S. Treasury Securities |
|
$ |
414,052,978 |
|
$ |
— |
|
$ |
— |
|
$ |
414,052,978 |
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Warrant liabilities – Public Warrants |
|
$ |
7,027,650 |
|
$ |
— |
|
$ |
— |
|
$ |
7,027,650 |
Warrant liabilities – Private Placement Warrants |
|
$ |
— |
|
$ |
— |
|
$ |
107,910 |
|
$ |
107,910 |
|
The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2021 and 2020 by level within the fair value hierarchy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measured as of December 31, 2021 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account – U.S. Treasury Securities |
|
$ |
414,052,978 |
|
$ |
— |
|
$ |
— |
|
$ |
414,052,978 |
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Warrant liabilities – Public Warrants |
|
$ |
7,027,650 |
|
$ |
— |
|
$ |
— |
|
$ |
7,027,650 |
Warrant liabilities – Private Placement Warrants |
|
$ |
— |
|
$ |
— |
|
$ |
107,910 |
|
$ |
107,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measured as of December 31, 2020 |
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Investments held in Trust Account – U.S. Treasury Securities |
|
$ |
414,011,571 |
|
$ |
— |
|
$ |
— |
|
$ |
414,011,571 |
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Warrant liabilities – Public Warrants |
|
$ |
10,764,000 |
|
$ |
— |
|
$ |
— |
|
$ |
10,764,000 |
Warrant liabilities – Private Placement Warrants |
|
$ |
— |
|
$ |
— |
|
$ |
165,780 |
|
$ |
165,780 |
|
| Summary of fair value measurements inputs |
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:
|
|
|
|
|
|
|
|
|
|
September 30, |
|
December 31, |
|
|
|
2022 |
|
2021 |
|
Exercise price |
|
$ |
11.50 |
|
$ |
11.50 |
|
Stock Price |
|
$ |
9.98 |
|
$ |
9.81 |
|
Term (in years) |
|
|
5.00 |
|
|
5.00 |
|
Volatility |
|
|
8.50 |
% |
|
14.20 |
% |
Risk-free interest rate |
|
|
4.06 |
% |
|
1.34 |
% |
Dividend yield |
|
|
0.00 |
% |
|
0.00 |
% |
Probability of success |
|
|
90.00 |
% |
|
80.00 |
% |
|
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:
|
|
|
|
|
|
|
|
|
|
December 31, 2021 |
|
December 31, 2020 |
|
Exercise price |
|
$ |
11.50 |
|
$ |
11.50 |
|
Stock Price |
|
$ |
9.81 |
|
$ |
10.01 |
|
Term (in years) |
|
|
5.00 |
|
|
5.00 |
|
Volatility |
|
|
14.20 |
% |
|
17.00 |
% |
Risk-free interest rate |
|
|
1.34 |
% |
|
0.56 |
% |
Dividend yield |
|
|
0.00 |
% |
|
0.00 |
% |
Probability of success |
|
|
80.00 |
% |
|
100.00 |
% |
|
| Summary of change in the fair value of the derivative warrant liabilities |
The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the three and nine months ended September 30, 2022 and 2021 is summarized as follows:
|
|
|
|
Level 3 warrant liabilities as of December 31, 2021 |
|
$ |
107,910 |
Change in fair value of warrant liabilities |
|
|
(60,325) |
Level 3 warrant liabilities as of March 31, 2022 |
|
|
47,585 |
Change in fair value of warrant liabilities |
|
|
93,635 |
Level 3 warrant liabilities as of June 30, 2022 |
|
|
141,220 |
Change in fair value of warrant liabilities |
|
|
4,605 |
Level 3 warrant liabilities as of September 30, 2022 |
|
$ |
145,825 |
|
|
|
|
Level 3 warrant liabilities as of December 31, 2020 |
|
$ |
165,780 |
Change in fair value of warrant liabilities |
|
|
(30,700) |
Level 3 warrant liabilities as of March 31, 2021 |
|
|
135,080 |
Change in fair value of warrant liabilities |
|
|
23,025 |
Level 3 warrant liabilities as of June 30, 2021 |
|
|
158,105 |
Change in fair value of warrant liabilities |
|
|
(33,770) |
Level 3 warrant liabilities as of September 30, 2021 |
|
$ |
124,335 |
|
The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the year ended December 31, 2021 and for the period from June 22, 2020 (inception) through December 31, 2020 is summarized as follows:
|
|
|
|
Level 3 warrant liabilities as of June 22, 2020 (inception) |
|
$ |
— |
Issuance of Public and Private Placement Warrants |
|
|
13,765,730 |
Transfer of Public Warrants to Level 1 |
|
|
(12,109,500) |
Change in fair value of derivative warrant liabilities |
|
|
(1,490,450) |
Level 3 warrant liabilities as of December 31, 2020 |
|
|
165,780 |
Change in fair value of derivative warrant liabilities |
|
|
(57,870) |
Level 3 warrant liabilities as of December 31, 2021 |
|
$ |
107,910 |
|