Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.2.2
Fair Value Measurements
9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements
NOTE 9. FAIR VALUE MEASUREMENTS
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 September 30, 2022 and December 31, 2021 by level within the fair value hierarchy:
September 30, 2022
 
Description
  
Quoted Prices
in Active
Markets
(Level 1)
    
Significant Other
Observable Inputs
(Level 2)
    
Significant Other
Unobservable Inputs
(Level 3)
 
Assets:
                          
Investments held in Trust Account
   $ 498,906,770      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities—Public
   $ 1,289,360      $ —        $ —    
Derivative warrant liabilities—Private
   $ —        $ 1,180,240      $ —    
December 31, 2021
 
Description
  
Quoted Prices
in Active
Markets
(Level 1)
    
Significant Other
Observable Inputs
(Level 2)
    
Significant Other
Unobservable Inputs
(Level 3)
 
Assets:
                          
Investments held in Trust Account
   $ 495,948,830      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities—Public
   $ 8,827,180      $ —        $ —    
Derivative warrant liabilities—Private
   $ —        $ 8,080,120      $ —    
Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants was transferred from a Level 3 measurement to a Level 1 measurement in April 2021, when the Public Warrants were separately listed and traded in an active market. The estimated fair value of the Private Placement Warrants transferred from a Level 3 measurement to Level 2 in April 2021 due to the use of an observable market quote for a similar asset in an active market.
Level 1 assets include investments in mutual funds invested in government securities. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.
The fair value of the Public Warrants issued in connection with the Public Offering were initially measured at fair value using a Modified Monte Carlo simulation, and subsequently are based on the listed market price of such warrants, a Level 1 measurement since April 2021, when the warrants detached from the Units issued in the Initial
 
 
Public Offering The fair value of the Private Warrants were initially measured at fair value using a Modified Black Scholes method, and subsequently are based on the listed market price of Public Warrants beginning in April 2021. For the three months ended September 30, 2022 and 2021, the Company recognized gains of approximately $1.5 million and $1.1 million, respectively, related to the decrease in the fair value of the derivative warrant liabilities, which presented as change in the fair value of derivative warrant liabilities on the condensed statements of operations. For the nine months ended September 30, 2022 and 2021, the Company recognized gains of approximately $14.4 million and $1.1 million, respectively, related to the decrease in the fair value of the derivative warrant liabilities, which presented as change in the fair value of derivative warrant liabilities on the condensed statements of operations.