Fair Value Measurements

6 Months Ended

Jun. 30, 2022

Note 9 —Fair Value Measurements

The following table presents information about the Company’s assets and liabilities that are measured at fair value 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.

June 30, 2022 (unaudited)


	Quoted Prices in		Significant Other		Significant Other
	Active Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities (1)	$	234,983,462	$	—	$	—
Liabilities:
Convertible note - related party	$	—	$	—	$	1,011,808
Derivative liabilities- Public Warrants	$	2,530,000	$	—	$	—
Derivative liabilities- Private Placement Warrants	$	—	$	2,321,000	$	—
Derivative liabilities - Forward Purchase Agreement	$	—	$	—	$	771,999

December 31, 2021


	Quoted Prices in		Significant Other		Significant Other
	Active Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities (2)	$	234,618,654	$	—	$	—
Liabilities:
Convertible note - related party	$	—	$	—	$	1,053,556
Derivative liabilities- Public Warrants	$	5,806,420	$	—	$	—
Derivative liabilities- Private Placement Warrants	$	—	$	—	$	5,301,100
Derivative liabilities - Forward Purchase Agreement	$	—	$	—	$	393,460

(1)	Excludes $726 of cash balance held within the Trust Account

(2)	Excludes $344 of cash balance held within the Trust Account

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of Public Warrants was transferred from a Level 3 measurement to a Level 1 measurement, when the Public Warrants were separately listed and traded in an active market in December 2021. The estimated fair value of the Private Placement Warrants was transferred from a Level 3 measurement to a Level 2 fair value measurement in January 2022, as the transfer of Private Placement Warrants to anyone who is not a permitted transferee would result in the Private Placement Warrants having substantially the same terms as the Public Warrants, the

Company determined that the fair value of each Private Placement Warrant is equivalent to that of each Public Warrant. There were no other transfers between levels of the hierarchy for the six months ended June 30, 2022.

Level 1 assets include investments in U.S. treasury securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

The initial estimated fair value as of November 15, 2021, of the Public Warrants, the Private Placement Warrants, and the Forward Purchase Agreement is measured at fair value using a Monte Carlo simulation, determined using Level 3 inputs. The fair value of Public Warrants issued in connection with the Initial Public Offering have subsequently been measured based on the listed market price of such warrants. As of June 30, 2022 and December 31, 2021, the fair value of the Forward Purchase Securities are measured using a Monte Carlo simulation, and the fair value of the convertible note is measured using a Black-Scholes model. As of December 31, 2021, the fair value of the Private Placement Warrants were measured using the Monte Carlo simulation due to the lack of trading volume of Public Warrants. As of June 30, 2022, the fair value of Private Placement Warrants was determined based on the quoted price of the Public Warrants. Inherent in a Monte Carlo simulation and Black-Scholes model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s shares 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 remaining at zero.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at June 30, 2022 and December 31, 2021 measurement date:

June 30, 2022 (unaudited)


	Forward Purchase
	Agreements			Convertible Note
Exercise price	$	10.00		$	1.00
Stock price	$	10.12		$	0.22
Term (years)		0.71			0.71
Volatility		—			49.0	%
Risk-free rate		2.60	%		2.60	%
Dividend yield		0.0	%		0.0	%

December 31, 2021


				Forward Purchase
	Warrants			Agreements			Convertible Note
Exercise price	$	11.50		$	10.00		$	1.00
Stock price	$	9.82		$	9.85		$	0.50
Term (years)		5.88			0.87			0.87
Volatility		8.6	%		—			65.5	%
Risk-free rate		1.33	%		0.34	%		0.34	%
Dividend yield		0.0	%		0.0	%		0.0	%

The change in the fair value of the derivative liabilities measured using Level 3 inputs for the six months ended June 30, 2022, is summarized as follows:


Derivative liabilities at December 31, 2021	$	5,694,560
Transfer of Private Placement Warrants to Level 2		(5,301,100)
Change in fair value of derivative warrant liabilities		385,990
Derivative liabilities at March 31, 2022 (unaudited)		779,450
Change in fair value of derivative warrant liabilities		(7,451)
Derivative liabilities at June 30, 2022 (unaudited)	$	771,999

The change in the fair value of the convertible note – related party measured using Level 3 inputs for the six months ended June 30, 2022, is summarized as follows:


Convertible note - related party at December 31, 2021	$	1,053,556
Change in fair value of convertible note - related party		4,208
Convertible note - related party at March 31, 2022 (unaudited)		1,057,764
Change in fair value of convertible note - related party		(45,956)
Convertible note - related party at June 30, 2022 (unaudited)	$	1,011,808

- 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.

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