|9 Months Ended|
Sep. 30, 2023
|Derivative Instruments and Hedging Activities Disclosure [Abstract]|
|Derivative Liabilities||Derivative Liabilities
The components of derivative liabilities measured at fair value on a recurring basis were as follows (in millions):
The public and private placement warrants are measured at fair value on a recurring basis. The public warrants were valued based on the closing price of the publicly traded instrument. The private placement warrants were valued using observable inputs for similar publicly traded instruments. Public warrants outstanding were 12 million as of September 30, 2023 and December 31, 2022. Private placement warrants outstanding were 9 million as of September 30, 2023 and December 31, 2022.
The earnout share liabilities are measured at fair value on a recurring basis utilizing a Monte Carlo simulation analysis. The expected volatility is determined based on the historical equity volatility of comparable companies over a period that matches the expected term of the instrument. The risk-free interest rate is based on relevant U.S. treasury rates for a period that matches the expected term of the instrument. Earnout shares outstanding were 5 million as of September 30, 2023 and December 31, 2022.
The components of change in fair value of derivative liabilities were as follows (in millions):
The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.
Reference 1: http://www.xbrl.org/2003/role/disclosureRef