Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Summary Of Assets And Liabilities Measured At Fair Value On Recurring Basis

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:


	Level		September 30, 2022		December 31, 2021
Assets:
Investments held in Trust Account – U.S. Treasury Securities Money Market Funds		1	$	416,518,838	$	414,024,299
FPA Asset		3	$	—	$	572,828
Liabilities:
Warrant Liability – Public Warrants		1	$	2,691,000	$	13,869,000
Warrant Liability – Private Placement Warrants		2	$	1,336,400	$	7,010,840
Convertible promissory note – related party		3	$	429,141	$	—
FPA Liability		3	$	523,235	$	—

Summary Of Quantitative Information Regarding Level 3 Fair Value Measurements

The following table presents the quantitative information regarding Level 3 fair value measurements:


	December 31, 2021
Unit price	$	9.71
Term to initial Business Combination (in years)		0.53
Volatility		11.6	%
Risk-free rate		1.31	%
Dividend yield		0.0	%

Summary Of Changes In The Fair Value

The following table presents a summary of the changes in the fair value of level 3 warrant liabilities for the nine months ended September 30, 2022 and 2021:


	Private Placement			Public			Total Warrant Liabilities
Fair value as of January 1, 2022	$	7,010,840		$	—		$	7,010,840
Change in fair value-Private Warrants		(2,177,196	)		—			(2,177,196	)

Fair value as of June 30, 2022		4,833,644			—			4,833,644
Change in fair value-Private Warrants		(3,497,244	)		—			(3,497,244	)
Transfer to Level 2		(1,336,400	)		—			(1,336,400	)
Fair value as of September 30, 2022		—			—			—


	Private Placement			Public			Total Warrant Liabilities
Fair value as of January 1, 2021	$	—		$	—		$	—
Initial measurement on January 26, 2021		18,391,549			36,429,930			54,821,479
Transfer to Level 1		—			(36,429,930	)		(36,429,930	)
Change in fair value-Private Warrants		(9,308,408	)		—			(9,308,408	)

Fair value as of September 30, 2021	$	9,083,141		$	—		$	9,083,141

FPA Liability

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Summary Of Changes In The Fair Value

The following table presents the changes in the fair value of FPA liability (asset) for the nine months ended September 30, 2022 and 2021:


	Forward Purchase Units
Fair value as of January 1, 2022	$	(572,828	)
Change in fair value		175,771
Fair value as of March 31, 2022		(397,057	)
Change in fair value		354,783

Fair value as of June 30, 2022	$	(42,274	)
Change in fair value		565,509

Fair value as of September 30, 2022	$	523,235


	Forward Purchase Units
Fair value as of January 1, 2021	$	—
Initial measurement on January 26, 2021		3,752,168
Change in fair value		(3,663,866	)
Fair value as of March 31, 2021		88,302
Change in fair value		153,019

Fair value as of June 30, 2021	$	241,321
Change in fair value		(507,890	)

Fair value as of September 30, 2021	$	(266,569	)

Convertible Promissory Note – Related Party

Convertible Promissory Note

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Summary Of Quantitative Information Regarding Level 3 Fair Value Measurements

The estimated fair value of the convertible promissory note was based on the following significant inputs:


	September 30, 2022			February 14, 2022

Stock price	$	9.95		$	9.76
Weighted time to conversion (in years)		5.28			5.46
Volatility		19.3	%		7.5	%
Risk-free rate		4.06	%		1.92	%

Summary Of Changes In The Fair Value

The following table presents the changes in the fair value of the Level 3 convertible promissory note:


	Convertible Promissory Note
Fair value as of January 1, 2022	$	—
Proceeds received through Convertible Promissory Note on February 14, 2022		500,000
Change in fair value		4,923

Fair value as of June 30, 2022	$	504,923
Change in fair value		(75,782	)

Fair value as of September 30, 2022	$	429,141

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

Primavera Capital Acquisition Corp. 10-Q