Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Financial Instruments (Tables)

v3.22.2.2
Fair Value Measurements and Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Assets And Liabilities Measured On Recurring And Nonrecurring Basis Valuation Techniques [Line Items]  
Fair Value Measurement Inputs and Valuation Techniques The Private Warrants have been recorded at fair value based on a Black-Scholes option pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

September 30,
2022

 

Expected term (in years)

 

 

3.2

 

Expected dividend rate

 

 

0.9

%

Volatility

 

 

34.5

%

Risk-free interest rate

 

 

4.2

%

Strike price

 

$

11.50

 

 

The Deferred Shares have been recorded at fair value based on a Monte Carlo pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

September 30,
2022

 

Expected term (in years)

 

 

4.7

 

Volatility

 

 

39.5

%

Risk-free interest rate

 

 

4.1

%

Stock price

 

$

9.39

 
The Ares Put Option has been recorded at its fair value based on a Monte Carlo pricing model with the following material assumptions based on observable and unobservable inputs:

 

 

 

September 30,
2022

 

Expected term (in years)

 

0.4

 

Volatility

 

 

29.9

%

Risk-free interest rate

 

 

3.7

%

Strike price

 

$

12.875