Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at September 30, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


	September 30, 2022		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Cash and Investments Held in Trust Account	$	613,359,931	$	613,359,931	$	—	$	—

	$	613,359,931	$	613,359,931	$	—	$	—

Liabilities:
Public Warrants Liability	$	2,438,000	$	2,438,000	$	—	$	—
Private Placement Warrants Liability		1,726,933		—		1,726,933		—

	$	4,164,933	$	2,438,000	$	1,726,933	$	—

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


	December 31, 2021		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Cash and Investments Held in Trust Account	$	609,610,629	$	609,610,629	$	—	$	—

	$	609,610,629	$	609,610,629	$	—	$	—

Liabilities:
Public Warrants Liability	$	16,304,125	$	16,304,125	$	—	$	—
Private Placement Warrants Liability		11,872,666		—		—		11,872,666

	$	28,176,791	$	16,304,125	$	—	$	11,872,666

Summary of Level 3 Fair Value Measurement Inputs

The key inputs into the Black Scholes option pricing methods for the Private Warrants were as follows:


Inputs	December 31, 2021			July 1, 2021 (Initial Measurement)
Risk-free interest rate		1.3	%		1.4	%
Expected term remaining (years)		5.0			5.0
Expected volatility		17.1	%		30.1	%
Implied Stock price	$	9.77		$	9.60
Exercise price	$	11.50		$	11.50

Summary of Change in Fair Value of Warrant Liabilities

The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs is summarized as follows for the nine months ended September 30, 2022:


	Warrant Liabilities
Fair Value as of December 31, 2021	$	11,872,666
Change in fair value of Warrants		(5,381,189	)

Fair Value as of March 31, 2022		6,491,477
Change in fair value of Warrants		(3,679,814	)

Fair Value as of June 30, 2022	$	2,811,663
Change in fair value of Warrants		(1,084,730	)
Transfer of Private Placement Warrants to Level 2		(1,726,933	)

Fair Value as of September 30, 2022	$	—

Elliott Opportunity II Corp. 10-Q