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:

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:


		September 30,		December 31,
Description	Level	2022		2021
Assets:
Marketable securities held in Trust Account	1	$	578,373,825	575,053,412
Liabilities:
Public Warrants	1	$	—	20,125,000
Private Placement Warrants	2	$	—	18,600,000
Forward Purchase Agreement	2	$	—	15,405,866
Conversion feature of Working Capital Loan	2	$	—	239,999

In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the lowest level input that is significant to the fair value measurement.

The value of the Public Warrants (as defined in note 4) is based on quoted market prices considered to be traded on “active markets” and accordingly are reported in the foregoing table as Level 1 fair value.

The fair value of the Forward Purchase Agreement (as described in note 4) is calculated as the difference between the present value of the aggregate $250,000,000 commitment and the fair value of the common stock and warrants to be issued pursuant to the Forward Purchase Agreement, based on the public trading price of the Units issued in the Company’s IPO.

The fair value of the Private Placement Warrants is reported in the foregoing table as Level 2 fair value. The fair value of the Private Placement Warrants was derived from a Black-Scholes option pricing model using observable market data as the significant inputs. The assumptions under the model include the underlying stock price, strike price, risk-free interest rate, estimated volatility, and the expected term. Expected stock price volatility is based on the implied volatility

of the Public Warrants. The fair value of the underlying shares is the published closing market price on the Nasdaq Capital Market as of each reporting date, as adjusted for significant results, as necessary. The risk-free interest rate is based on the U.S. Treasury yield curve in effect on the date of valuation equal to the remaining expected life of the Private Placement Warrants. The dividend yield percentage is zero because the Company does not currently pay dividends, nor does it intend to do so during the expected term of the Private Placement Warrants.

The fair value of the Private Placement Warrants was estimated at September 30, 2022 using the following assumptions:


		Private Placement Warrants
Estimated dividend yield		0.00%
Expected volatility		3.0%
Risk-free interest rate		3.75%
Expected term (years)		0.25

The Company recognized unrealized gains of $13,428,921 and $18,575,360 for the three months ended September 30, 2022 and 2021, respectively, and an unrealized gain of $54,370,865 and an unrealized loss of $12,165,753 for the nine months ended September 30, 2022 and 2021, respectively, related to financial instruments marked to fair value.