Fair Value Measurements

6 Months Ended

Jun. 30, 2022

The following table presents information about the Company’s assets and liabilities that are measured on a recurring basis as of June 30, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value. Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period.


	Fair Value
	June 30, 2022		December 31, 2021		Valuation Method
Assets
Investments held in Trust Account	$	230,257,369	$	230,026,609	Level 1 - Quoted prices in active markets for identical assets
Liabilities
Public Warrant liability	$	828,000	$	3,634,000	Level 1 - Quoted prices in active markets for identical liabilities
Private Placement Warrant liability	$	912,000	$	—	Level 2 - Quoted prices for similar liabilities in active markets
	—		4,661,334		Level 3 - Unobservable inputs based on an assessment of the assumptions that market participants would use in pricing liabilities

As of June 30, 2022 and December 31, 2021, the recorded values of cash, accounts payable and accrued expenses and franchise tax payable approximate their fair values due to the short-term nature of these instruments. Due to the use of quoted prices for similar instruments in active markets (Level 2) to estimate the fair value of the Private Placement Warrants, the Company had transfers out of Level 3 with a fair value at the time of the transfer totaling $2,229,333. The Private Placement Warrants had a decrease in fair value of $2,432,001 during the three months ended March 31, 2022, prior to the transfer.

Investments held in Trust Account

Investments held in Trust Account are invested in a U.S. Treasury securities money market fund as of June 30, 2022 and December 31, 2021. None of the balance in the Trust Account was held in cash as of June 30, 2022 and December 31, 2021.

Warrant liabilities

The following table presents the changes in the fair value of warrant liabilities:


	Private Placement Warrants		Public Warrants		Total Warrant Liabilities
Fair value as of December 31, 2021	$	4,661,334	$	3,634,000	$	8,295,334
Change in fair value(1)	(2,432,001)		(1,610,000)		(4,042,001)
Fair value as of March 31, 2022	2,229,333		2,024,000		4,253,333
Change in fair value(1)	(1,317,333)		(1,196,000)		(2,513,333)
Fair value as of June 30, 2022	$	912,000	$	828,000	$	1,740,000

(1)Changes in valuation are recognized in change in fair value of warrant liabilities in the unaudited condensed statements of operations.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details

Fortress Value Acquisition Corp. III 10-Q