Fair Value Measurements

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurements

NOTE 9. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level	June 30, 2022		May 10, 2022 (Initial Measurement)
Liabilities:
Warrant liability – Public warrants	1	$	2,750,475	$	—
Warrant liability – Public warrants	3	$	—	$	2,560,668
Warrant liability – Private Placement Warrants	3	$	3,195,584	$	2,972,600
Convertible Promissory Note	3	$	4,165,549	$	4,600,000

The warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statement of operations.

The warrants were valued using a binomial lattice model, which is considered to be a Level 3 fair value measurement. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the warrants is the expected volatility of the Class A Ordinary Shares. The expected volatility as of the closing date of the Initial Public Offering date was derived from observable pricing of public warrants on comparable ‘blank-check’ companies without an identified target.

The following table provides quantitative information regarding Level 3 fair value measurements:

	June 30, 2022			May 10, 2022 (Initial Measurement)
Trading stock price	$	9.93		$	9.89
Exercise price	$	11.50		$	11.50
Expected term (in years)		6.25			6.10
Volatility		1.00	%		2.30	%
Risk-free rate		3.03	%		2.95	%
Dividend yield		0.00	%		0.00	%

The following table presents the changes in the fair value of Level 3 warrant liabilities:

	Public Warrant Liabilities			Private Warrant Liabilities		Total Warrant Liabilities
Fair value as of October 13, 2021 (inception)	$	—		$	—	$	—
Initial measurement on May 10, 2022		2,560,668			2,972,600		5,533,268
Change in fair value		189,807			222,984		412,791
Transfer to Level 1		(2,750,475	)		—		(2,750,475	)
Fair value as of June 30, 2022	$	—		$	3,195,584	$	3,195,584

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers in or out of Level 3 from other levels in the fair value hierarchy for the period from October 13, 2021 (inception) through June 30, 2022.