XML 97 R35.htm IDEA: XBRL DOCUMENT v3.22.2.2
FAIR VALUE MEASUREMENTS (Q2) (Tables)
6 Months Ended 12 Months Ended
Jun. 30, 2022
Dec. 31, 2021
FAIR VALUE MEASUREMENTS [Abstract]    
Gross Holding Gains (Loss) Fair Value of Held-to-maturity Securities

The following table presents the gross holding gain and loss and fair value of held-to-maturity securities at June 30, 2022 and December 31, 2021:
 
Held-To-Maturity
Level
Amortized
Cost
Gross
Holding
Gain/(Loss)
Fair
Value(i)
June 30, 2022
U.S. Treasury Securities
(Matured on 07/12/22, reinvested and mature on 08/25/22)
1
$287,534,896
$(10,910)
$287,523,986
 
 
 
 
 
 
December 31, 2021
U.S. Treasury Securities
(Matured on 1/25/2022)
1
$284,373,197
$959
$284,374,156

(i)
Fair value of securities does not include cash held in trust in the amount of $7,874 and $6,579, as of June 30, 2022 and December 31, 2021, respectively.

The following table presents the gross holding gain and loss and fair value of held-to-maturity securities at December 31, 2021 and 2020:
 
Held-To-Maturity
Level
Amortized
Cost
Gross
Holding
Gain/(Loss)
Fair
Value(i)
December 31, 2021
U.S. Treasury Securities
(Mature on 1/25/2022)
1
$284,373,197
$959
$284,374,156
 
 
 
 
 
 
December 31, 2020
U.S. Treasury Securities
(Mature on 2/25/2021)
1
$278,773,543
$(1,423)
$278,772,120

(i)
Fair value of securities does not include cash held in trust in the amount of $6,579 and $1,103, as of December 31, 2021 and 2020, respectively.
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 June 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
June 30,
2022
Level
December 31,
2021
Warrant liabilities – public warrants
1
$6,593,640
1
$9,798,000
Warrant liabilities – private placement warrants
3
$12,541,170
3
$11,422,018
FPA liabilities – committed
3
$2,759,038
3
$2,474,941
FPA liabilities – optional
3
$2,762,023
3
$2,533,104

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2021 and 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Level
December 31,
2021
Level
December 31,
2020
Warrant liability – Public Warrants
1
$9,798,000
3
$22,364,221
Warrant liability – Private Placement Warrants
3
$11,422,018
3
$16,867,946
FPA liability – committed
3
$2,474,941
3
$2,947,167
FPA liability – optional
3
$2,533,104
3
$3,810,610
Level 3 Fair Value Measurement Inputs

The following table provides quantitative information regarding Level 3 fair value measurement inputs at their measurement dates:
 
At
June 30, 2022
At
December 31, 2021
Warrants- private placement
 
 
Common stock price
$10.27
$10.13
Volatility
4.5%
10.20%
Expected life of the options to convert
5.25 years
5.45 years
Risk free rate
3.01%
1.30%
Dividend yield
0%
0%
 
At
June 30, 2022
At
December 31, 2021
FPA-committed
 
 
Common stock price
$10.27
$10.13
Time to maturity
0.25 year
0.45 year
Risk Free rate
1.72%
0.17%
 
 
 
FPA-optional
 
 
Common stock price
$10.27
$10.13
Volatility
4.5%
5.0%
Time to maturity
0.25 year
0.45 year
Risk Free rate
1.72%
0.17%

The following table provides quantitative information regarding Level 3 fair value measurement inputs at their measurement dates:
 
As of
December 31, 2021
As of
December 31, 2020
Warrants- Private Placement
 
 
Common share price
$10.13
$9.77
Volatility
10.20%
22.59%
Expected life of the options to convert
5.45 years 
5.95 years 
Risk free rate
1.30%
0.50%
Dividend yield
0%
0%
 
 
 
FPA-committed
 
 
Common share price
$10.13
$9.77
Time to maturity
0.45 year 
0.95 year 
Risk Free rate
0.17%
0.10%
 
 
 
FPA-optional
 
 
Common share price
$10.13
$9.77
Volatility
5.0%
10%
Time to maturity
0.45 year 
0.95 year 
Risk Free rate
0.17%
0.10%
Change in Fair Value of Warrants and FPA Liabilities

The following table presents the changes in the fair value of the Warrants and the FPA liabilities at June 30, 2022:
 
Public
Warrants
Private
Placement
Warrants
Total
Warrant
Liabilities
Committed
FPA
Optional
FPA
Total FPA
Liabilities
Fair value as of December 31, 2021
$9,798,000
$11,422,018
$21,220,018
$2,474,941
$2,533,104
$5,008,045
Additional Private Placement Warrants May 25, 2022
2,760,000
2,760,000
Fair Value of Private Placement Warrants in excess of purchase price
81,153
81,153
Change in fair value
(3,204,360)
(1,722,001)
(4,926,361)
284,097
228,919
513,016
Fair value as of June 30, 2022
$6,593,640
$12,541,170
$19,134,810
$2,759,038
$2,762,023
$5,521,061

The following table presents the changes in the fair value of the Warrants and the FPA liabilities at June 30, 2021:
 
Public
Warrants
Private
Placement
Warrants
Total
Warrant
Liability
Committed
FPA
Optional
FPA
Total FPA
Liability
Fair value as of December 31, 2020
$22,364,221
$16,867,946
$39,232,167
$2,947,167
$3,810,610
$6,757,777
Additional Private Placement Warrants May 25, 2021
2,760,000
2,760,000
Fair Value of Private Placement Warrants in excess of purchase price
(79,548)
(79,548)
Change in fair value
(6,908,221)
(4,652,842)
(11,534,063)
25,391
(209,500)
(184,109)
Fair value as of June 30, 2021
$15,456,000
$14,992,556
$31,903,209
$2,972,558
$3,601,110
$6,573,668

The following table presents the changes in the fair value of the Warrants and the FPA liabilities:
 
Public
Warrants
Private
Placement
Warrants
Total
Warrant
Liabilities
Committed
FPA
Optional
FPA
Total FPA
Liabilities
Fair value as of July 27, 2020 (inception)
$
$
$
$
$
$
Initial measurement on November 27, 2020
15,897,248
11,926,600
27,823,848
904,970
2,494,505
3,399,475
Change in fair value
6,466,973
4,941,346
11,408,319
2,042,197
1,316,105
3,358,302
Fair value as of December 31, 2020
22,364,221
$16,867,946
$39,232,167
$2,947,167
$3,810,610
$6,757,777
Additional Private Placement Warrants May 27, 2021
2,680,452
2,680,452
Additional Private Placement Warrants November 27, 2021
2,428,804
2,428,804
Change in fair value
(12,566,221)
(10,555,184)
(23,121,405)
(472,226)
(1,277,506)
(1,749,732)
Fair value as of December 31, 2021
$9,798,000
$11,422,018
$21,220,018
$2,474,941
$2,533,104
$5,008,045