FAIR VALUE MEASUREMENTS
|6 Months Ended
Jun. 30, 2023
|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 at June 30, 2023 and December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
The measurement of the Public Warrants as of June 30, 2023 is classified as Level 1 due to the use of an observable market quote in an active market under the ticker SEDA.WS. The quoted price of the Public Warrants was $0.10 and $0.16 per warrant as of June 30, 2023 and December 31, 2022, respectively.
The Company utilizes a Monte Carlo simulation model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the Private Placement warrant liability is determined using Level 3 inputs. Inherent in a Monte Carlo Simulation model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.
The aforementioned warrant liabilities are not subject to qualified hedge accounting.
Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period.
The following table provides the significant inputs to the Monte Carlo simulation model for the fair value of the Private Placement Warrants:
The following table presents the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value:
The Company recognized a gain of $1,709,658 and $1,139,772, for the three and six months ended June 30, 2023, and a gain of $2,279,543 and $5,508,897 for the three and six months ended June 30, 2022, in connection with changes in the fair value of the Public Warrants and Private Placement Warrants, and is recorded in the condensed Statements of Operations.