Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 8 — Fair Value Measurements

The Public Warrants and Private Placement Warrants are accounted for as liabilities pursuant to ASC 815-40 and are measured at fair value as of each reporting period. Changes in the fair value of the Public Warrants and Private Placement Warrants are recorded in the statement of operations each period.

The following table presents the fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of September 30, 2022 by level within the fair value hierarchy.

The Public Warrants and Private Placement Warrants are accounted for as liabilities pursuant to ASC 815-40 and are measured at fair value as of each reporting period. Changes in the fair value of the Public Warrants and Private Placement Warrants are recorded in the statement of operations each period.

The following table presents the fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of September 30, 2022 by level within the fair value hierarchy.

	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	321,345,066	$	—	$	—	$	321,345,066
	$	321,345,066	$	—	$	—	$	321,345,066
Liabilities:		____________				____________		____________
Public Warrants	$	8,696,875	$	—	$	—	$	8,696,875
Private Placement Warrants		—		—		6,966,795		6,966,795
Total liabilities	$	8,696,875	$	—	$	6,966,795	$	15,663,670

The following table presents the fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of December 31, 2021 by level within the fair value hierarchy.

	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	319,421,010	$	—	$	—	$	319,421,010
	$	319,421,010	$	—	$	—	$	319,421,010
Liabilities:
Public Warrants	$	14,959,333	$	—	$	—	$	14,959,333
Private Placement Warrants		—		—		12,402,426		12,402,426
Total liabilities	$	14,959,333	$	—	$	12,402,426	$	27,361,759

The fair value of the Public Warrants issued in connection with the Initial Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model and Black-Scholes model respectively, both Level 3 measurements. On October 1, 2021, the Public Warrants surpassed the 52-day threshold waiting period to be publicly traded in accordance with the final prospectus filed August 12, 2021. Once publicly traded, the observable input qualifies the liability for treatment as a Level 1 fair value liability. As such, as of September 30, 2022 and December 31, 2021, the Company classified the Public Warrants as Level 1. The estimated fair value of the Private Placement Warrants was determined using Level 3 inputs. Inherent in a Monte Carlo simulation and Black-Scholes Models are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its Class A ordinary shares warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s Class A ordinary shares that matches the expected remaining life of the warrants. Significant increases (decreases) in the expected volatility in isolation could result in a significantly higher (lower) fair value measurement. 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 remaining at zero.

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between Levels 1, 2 and 3 during the period ended September 30, 2022.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

Input	December 31 2021			September 30, 2022
Risk-free interest rate		1.35	%		3.97	%
Expected term until merger (years)	1.12			0.30
Expected term until expiration (years)		6.12			5.30
Expected volatility	13.00		%	5.20		%
Underlying share price	$	9.86		$	10.04
Exercise price	$	11.50		$	11.50

The primary significant unobservable input used in the fair value measurement of the Company’s Private Placement Warrants is the expected volatility of the ordinary shares. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.

The following table presents a summary of the changes in the fair value of the derivative warrant liabilities, based on the Level 3 inputs above:

	Public Warrant Liability		Private Warrant Liability		Total
Fair value, January 1, 2022	$	14,959,333	$	12,402,426	$	27,361,759
Change in fair value		5,717,074		4,944,833		10,661,907
Fair value as of March 31, 2022	$	9,242,259	$	7,457,593	$	16,699,852
Change in fair value		6,066,864		4,901,141		10,968,005
Fair value as of June 30, 2022	$	3,175,395	$	2,556,452	$	5,731,847
Change in fair value		(5,521,480)		(4,410,343)		(9,931,823)
Fair value, September 30, 2022	$	8,696,875	$	6,966,795	$	15,663,670