XML 25 R15.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 8 — 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 at June 30, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

		June 30,				Quoted Prices In Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		2022				(Level 1)				(Level 2)				(Level 3)
Assets:
Marketable Securities held in Trust Account		$	151,995,363			$	151,995,363			$	—			$	—
		$	151,995,363			$	151,995,363			$	—			$	—
Liabilities:
Public Warrants Liability		$	373,750			$	373,750			$	—			$	—
Private Placement Warrants Liability			352,875				—				—				352,875
		$	726,625			$	373,750			$	—			$	352,875

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

		December 31,				Quoted Prices In Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		2021				(Level 1)				(Level 2)				(Level 3)
Assets:
Marketable Securities held in Trust Account		$	151,775,132			$	151,775,132			$	—			$	—
		$	151,775,132			$	151,775,132			$	—			$	—

Liabilities:
Public Warrants Liability		$	3,588,000			$	3,588,000			$	—			$	—
Private Placement Warrants Liability			3,394,658				—				—				3,394,658
		$	6,982,658			$	3,588,000			$	—			$	3,394,658

The warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Balance Sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the condensed statements of operations.

The Company established the initial fair value of the Public Warrants on January 20, 2021, the date of the Company’s IPO, using a Monte Carlo simulation model, and as of June 30, 2022 and December 31, 2021 by using the associated trading price of the Public Warrants. The Company established the initial fair value of the Private Placement Warrants on January 20, 2021 and on June 30, 2022 and December 31, 2021 by using a modified Black Scholes calculation. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The most significant unobservable input was the volatility. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement. The Public Warrants were subsequently transferred out of Level 3 and classified as Level 1, as of December 31, 2021, as the subsequent valuation was based upon the trading price of the Public Warrants. The Private Placement Warrants were classified as Level 3 at June 30, 2022 and December 31, 2021 due to the use of unobservable inputs.

There were no transfers to/from Level 1, 2, or 3 during the three and six months ended June 30, 2022. The following table presents the changes in the fair value of Level 3 warrant liabilities for the three and six months ended June 30, 2022 and 2021.

		Level 3 Warrant Liabilities
Fair Value as of December 31, 2021		$	3,394,658
Change in fair value			(2,265,458	)
Fair Value as of March 31, 2022			1,129,200
Change in fair value			(776,325	)
Fair Value as of June 30, 2022		$	352,875

		Level 3 Warrant Liabilities
Fair Value as of December 31, 2020		$	-
Initial measurement on January 20, 2021			7,551,525
Change in fair value			(141,150	)
Fair Value as of March 31, 2021			7,410,375
Change in fair value			(2,470,125	)
Fair Value as of June 30, 2021		$	4,940,250

The key inputs into the Modified Black Scholes calculation as of June 30, 2022 and December 31, 2021 were as follows:

		June 30, 2022				December 31, 2021
Inputs
Risk-free interest rate			3.02	%			1.31	%
Expected term (years)			5.21				5.50
Expected volatility			2.90	%			8.46	%
Exercise price		$	11.50			$	11.50
Stock price		$	10.02			$	9.92

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.

+ References + Details