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Fair Value Measurements on a Recurring Basis
 6 Months Ended 12 Months Ended
Jun. 30, 2022
Dec. 31, 2021
Fair Value Measurements on a Recurring Basis [Line Items]    
Fair Value Measurements on a Recurring Basis

13.    Fair Value Measurements

The Company follows ASC 820, “Fair Value Measurements and Disclosures,” which defines fair value, establishes a framework for measuring fair value in U.S. GAAP, and expands disclosures about fair value measurements.

ASC 820 defines fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the most advantageous market for the asset or liability in an orderly transaction. Fair value measurement is based on a hierarchy of observable or unobservable inputs. The standard describes three levels of inputs that may be used to measure fair value.

 

Level 1 —

  

Inputs to the valuation methodology are quoted prices available in active markets for identical investments as of the reporting date;
   

Level 2 —

  

Inputs to the valuation methodology other than quoted prices in active markets, which are either directly or indirectly observable as of the reporting date, and the fair value can be determined through the use of models or other valuation methodologies; and
   

Level 3 —

  

Inputs to the valuation methodology are unobservable inputs in situations where there is little or no market activity of the asset and liability and the reporting entity makes estimates and assumptions relating to the pricing of the asset or liability, including assumptions regarding risk. This includes certain cash flow pricing models, discounted cash flow methodologies and similar techniques that use significant unobservable inputs.

In instances where the determination of the fair value measurement is based on inputs from different levels of the fair value hierarchy, the level in the fair value hierarchy within which the entire fair value measurement falls is based on the lowest level input that is significant to the fair value measurement in its entirety. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the asset or liability.

The Company may measure eligible assets and liabilities at fair value, with changes in value recognized in profit and loss. Fair value treatment may be elected either upon initial recognition of an eligible asset or liability or, for an existing asset or liability, if an event triggers a new basis of accounting. The Company did not elect to remeasure any of its existing financial assets or liabilities, and did not elect the fair value option for any financial assets or liabilities transacted in the three and six months ended June 30, 2022 and 2021.

  
CF ACQUISITION CORP. VI [Member]    
Fair Value Measurements on a Recurring Basis [Line Items]    
Fair Value Measurements on a Recurring Basis

Note 8 — Fair Value Measurements on a Recurring Basis

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs to valuation techniques used in measuring fair value.

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These three levels of the fair value hierarchy are:

•        Level 1 measurements — unadjusted observable inputs such as quoted prices for identical instruments in active markets;

•        Level 2 measurements — inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and

•        Level 3 measurements — unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the lowest level input that is significant to the fair value measurement.

The following tables present 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 indicate the fair value hierarchy of the inputs that the Company utilized to determine such fair value.

June 30, 2022

Description

  

Quoted
Prices in
Active
Markets
(Level 1)

  

Significant
Other
Observable
Inputs
(Level 2)

  

Significant
Other
Unobservable
Inputs
(Level 3)

  

Total

Assets:

  

 

    

 

    

 

    

 

  

Assets held in Trust Account – U.S. government debt securities

  

$

300,346,262

  

$

—

  

$

—

  

$

300,346,262
   

 

    

 

    

 

    

 

  

Liabilities:

  

 

    

 

    

 

    

 

  

Warrant liability

  

$

10,425,000

  

$

243,250

  

$

—

  

$

10,668,250

FPS liability

  

 

—

  

 

 

  

 

4,154,577

  

 

4,154,577

Total Liabilities

  

$

10,425,000

  

$

243,250

  

$

4,154,577

  

$

14,822,827

December 31, 2021

Description

  

Quoted
Prices in
Active
Markets
(Level 1)

  

Significant
Other
Observable
Inputs
(Level 2)

  

Significant
Other
Unobservable
Inputs
(Level 3)

  

Total

Assets:

  

 

    

 

    

 

    

 

  

Assets held in Trust Account – U.S. government debt securities

  

$

300,023,016

  

$

—

  

$

—

  

$

300,023,016
   

 

    

 

    

 

    

 

  

Liabilities:

  

 

    

 

    

 

    

 

  

Warrant liability

  

$

19,499,250

  

$

454,982

  

$

—

  

$

19,954,232

FPS liability

  

 

—

  

 

—

  

 

4,452,968

  

 

4,452,968

Total Liabilities

  

$

19,499,250

  

$

454,982

  

$

4,452,968

  

$

24,407,200

Level 1 assets as of both June 30, 2022 and December 31, 2021 include investments in a money market fund classified as cash equivalents; the fund holds U.S government debt securities. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

Warrant Liability

The warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liability on the Company’s consolidated balance sheet. The warrant liability is measured at fair value at inception and on a recurring basis, with any subsequent changes in fair value presented within change in fair value of warrant liability in the Company’s consolidated statement of operations.

Initial Measurement

The Company established the initial fair value for the warrants on February 23, 2021, the date of the closing of the Initial Public Offering. The Public Warrants and Private Placement Warrants were measured at fair value on a recurring basis, using an Options Pricing Model (the “OPM”). The Company allocated the proceeds received from

(i) the sale of Units in the Initial Public Offering (which is inclusive of one share of Class A common stock and one-fourth of one Public Warrant), (ii) the sale of the Private Placement Units (which is inclusive of one share of Class A common stock and one-fourth of one Private Placement Warrant), and (iii) the issuance of Class B common stock, first to the warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to the shares of Class A common stock subject to possible redemption. The warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

The Company utilized the OPM to value the warrants as of February 23, 2021, with any subsequent changes in fair value recognized in the consolidated statement of operations. The estimated fair value of the warrant liability as of February 23, 2021, was determined using Level 3 inputs. Inherent in the OPM are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its shares of common stock based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate was 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 was assumed to be equivalent to their remaining contractual term. The dividend rate was based on the historical rate, which the Company anticipated to remain at zero. The aforementioned warrant liability is not subject to qualified hedge accounting.

The following table provides quantitative information about the inputs utilized by the Company in the fair value measurement of the warrants as of February 23, 2021:

 

February 23,
2021
(Initial
Measurement)

Risk-free interest rate

  

 

0.76

%

Expected term (years)

  

 

5

 

Expected volatility

  

 

17.5

%

Exercise price

  

$

11.50

 

Stock price

  

$

10.00

 

Dividend yield

  

 

0.0

%

Subsequent Measurement

During the year ended December 31, 2021, the fair value measurement of the Public Warrants was reclassified from Level 3 to Level 1 due to the use of an observable quoted price in an active market. 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 the Private Placement Warrants is equivalent to that of the Public Warrants. As such, the Private Placement Warrants were reclassified from Level 3 to Level 2 during the year ended December 31, 2021. There were no transfers into or out of Level 3 fair value measurement during the three and six months ended June 30, 2022.

The following tables present the changes in the fair value of warrant liability for the three and six months ended June 30, 2022, for the period from February 23, 2021 through March 31, 2021, and for the three months ended June 30, 2021:

 

Private
Placement

  

Public

  

Warrant
Liability

Fair value as of December 31, 2021

  

$

454,982

 

  

$

19,499,250

 

  

$

19,954,232

 

Change in valuation inputs or other assumptions(1)

  

 

146,143

 

  

 

6,263,250

 

  

 

6,409,393

 

Fair value as of March 31, 2022

  

$

601,125

 

  

$

25,762,500

 

  

$

26,363,625

 

Change in valuation inputs or other assumptions(1)

  

 

(357,875

)

  

 

(15,337,500

)

  

 

(15,695,375

)

Fair value as of June 30, 2022

  

$

243,250

 

  

$

10,425,000

 

  

$

10,668,250

 
 

Private
Placement

  

Public

  

Warrant
Liability

Fair value as of February 23, 2021

  

$

217,437

 

  

$

9,318,750

 

  

$

9,536,187

 

Change in valuation inputs or other assumptions(1)

  

 

4,533

 

  

 

194,250

 

  

 

198,783

 

Fair value as of March 31, 2021

  

$

221,970

 

  

$

9,513,000

 

  

$

9,734,970

 

Change in valuation inputs or other assumptions(1)

  

 

(55,720

)

  

 

(2,388,000

)

  

 

(2,443,720

)

Fair value as of June 30, 2021(2)

  

$

166,250

 

  

$

7,125,000

 

  

$

7,291,250

 

​(1)      Changes in valuation inputs or other assumptions are recognized in Change in fair value of warrant liability in the consolidated statement of operations.

​(2)      Due to the use of quoted prices in an active market (Level 1) and the use of observable inputs for similar assets or liabilities (Level 2) for Public Warrants and Private Placement Warrants, respectively, subsequent to initial measurement, the Company had transfers out of Level 3 totaling $7.3 million during the three and six months ended June 30, 2021.

FPS Liability

The liability for the FPS was valued using an adjusted net assets method, which is considered to be a Level 3 fair value measurement. Under the adjusted net assets method utilized, the aggregate commitment of $15.0 million pursuant to the FPA is discounted to present value and compared to the fair value of the shares of common stock and warrants to be issued pursuant to the FPA. The fair value of the shares of common stock and warrants to be issued under the FPA are based on the public trading price of the Units issued in the Initial Public Offering. The excess (liability) or deficit (asset) of the fair value of the shares of common stock and warrants to be issued compared to the $15.0 million fixed commitment is then reduced to account for the probability of consummation of the Business Combination. The primary unobservable input utilized in determining the fair value of the FPS is the probability of consummation of the Business Combination. As of June 30, 2022 and December 31, 2021, the probability assigned to the consummation of the Business Combination was 95% and 80%, respectively. The probability was determined based on a hybrid approach of both observed success rates of business combinations for special purpose acquisition companies and affiliates of the Sponsor’s track record for consummating similar transactions.

The following tables present the changes in the fair value of the FPS liability for the three and six months ended June 30, 2022, for the period from February 23, 2021 through March 31, 2021, and for the three months ended June 30, 2021:

 

FPS
Liability

Fair value as of December 31, 2021

  

$

4,452,968

 

Change in valuation inputs or other assumptions(1)

  

 

3,038,232

 

Fair value as of March 31, 2022

  

$

7,491,200

 

Change in valuation inputs or other assumptions(1)

  

 

(3,336,623

)

Fair value as of June 30, 2022

  

$

4,154,577

 
 

FPS
Liability

Fair value as of February 23, 2021

  

$

3,859,558

 

Change in valuation inputs or other assumptions(1)

  

 

(1,070,164

)

Fair value as of March 31, 2021

  

$

2,789,394

 

Change in valuation inputs or other assumptions(1)

  

 

234,372

 

Fair value as of June 30, 2021

  

$

3,023,766

 

(1)      Changes in valuation inputs or other assumptions are recognized in Change in fair value of FPS liability in the consolidated statement of operations.

Note 9 — Fair Value Measurements on a Recurring Basis

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs to valuation techniques used in measuring fair value.

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These three levels of the fair value hierarchy are:

•        Level 1 measurements — unadjusted observable inputs such as quoted prices for identical instruments in active markets;

•        Level 2 measurements — inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and

•        Level 3 measurements — unobservable inputs for which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the lowest level input that is significant to the fair value measurement.

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

December 31, 2021

Description

  

Quoted Prices
in Active
Markets
(Level 1)

  

Significant
Other
Observable Inputs
(Level 2)

  

Significant
Other
Unobservable
Inputs
(Level 3)

  

Total

Assets:

  

 

    

 

    

 

    

 

  

Assets held in Trust Account U.S. Treasury Securities

  

$

300,023,016

  

$

—

  

$

—

  

$

300,023,016

Liabilities:

  

 

    

 

    

 

    

 

  

Warrant liability

  

$

19,499,250

  

$

454,982

  

$

—

  

$

19,954,232

FPS liability

  

 

—

  

 

—

  

 

4,452,968

  

 

4,452,968

Total Liabilities

  

$

19,499,250

  

$

454,982

  

$

4,452,968

  

$

24,407,200

Level 1 assets as of December 31, 2021 include investments in a money market fund that holds U.S. Treasury securities. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

Warrant Liability

The warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liability on the Company’s consolidated balance sheet. The warrant liability is measured at fair value at inception and on a recurring basis, with any subsequent changes in fair value presented within change in fair value of warrant liability in the Company’s consolidated statement of operations.

Initial Measurement

The Company established the initial fair value for the warrants on February 23, 2021, the date of the closing of the Initial Public Offering. The Public Warrants and Private Placement Warrants were measured at fair value on a recurring basis, using an Options Pricing Model (the “OPM”). The Company allocated the proceeds received from (i) the sale of Units in the Initial Public Offering (which is inclusive of one share of Class A common stock and one-fourth of one Public Warrant), (ii) the sale of the Private Placement Units (which is inclusive of one share of Class A common stock and one-fourth of one Private Placement Warrant), and (iii) the issuance of Class B common stock, first to the warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to shares of Class A common stock subject to possible redemption. The warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

The Company utilized the OPM to value the warrants as of February 23, 2021, with any subsequent changes in fair value recognized in the consolidated statement of operations. The estimated fair value of the warrant liability as of February 23, 2021, was determined using Level 3 inputs. Inherent in the OPM are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its shares of common stock based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate was 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 was assumed to be equivalent to their remaining contractual term. The dividend rate was based on the historical rate, which the Company anticipated to remain at zero. The aforementioned warrant liability is not subject to qualified hedge accounting.

The following table provides quantitative information about the inputs utilized by the Company in the fair value measurement of the warrants as of February 23, 2021:

 

February 23,
2021
(initial measurement)

Risk-free interest rate

  

 

0.76

%

Expected term (years)

  

 

5

 

Expected volatility

  

 

17.5

%

Exercise price

  

$

11.50

 

Stock price

  

$

10.00

 

Dividend yield

  

 

0.0

%

Subsequent Measurement

During the year ended December 31, 2021, the fair value measurement of the Public Warrants was reclassified from Level 3 to Level 1 due to the use of an observable quoted price in an active market. 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 the Private Placement Warrants is equivalent to that of the Public Warrants. As such, the Private Placement Warrants were reclassified from Level 3 to Level 2 during the year ended December 31, 2021.

As of December 31, 2021, the aggregate fair values of the Private Placement Warrants and Public Warrants were approximately $0.5 million and $19.5 million, respectively.

The following table presents the changes in the fair value of warrant liability:

 

Private
Placement

  

Public

  

Warrant
Liability

Fair value as of December 31, 2020

  

$

—

  

$

—

  

$

—

Fair value as of February 23, 2021

  

 

217,437

  

 

9,318,750

  

 

9,536,187

Change in valuation inputs or other assumptions(1)

  

 

237,545

  

 

10,180,500

  

 

10,418,045

Fair value as of December 31, 2021(2)

  

$

454,982

  

$

19,499,250

  

$

19,954,232

(1)      Changes in valuation inputs or other assumptions are recognized in Change in fair value of warrant liability in the consolidated statement of operations.

(2)      Due to the use of quoted prices in an active market (Level 1) and the use of observable inputs for similar assets or liabilities (Level 2) for Public Warrants and Private Placement Warrants, respectively, subsequent to initial measurement, the Company had transfers out of Level 3 totalling $7.3 million during the year ended December 31, 2021.

FPS Liability

The liability for the FPS was valued using an adjusted net assets method, which is considered to be a Level 3 fair value measurement. Under the adjusted net assets method utilized, the aggregate commitment of $15.0 million pursuant to the FPA is discounted to present value and compared to the fair value of the shares of common stock and warrants to be issued pursuant to the FPA. The fair value of the shares of common stock and warrants to be issued under the FPA are based on the public trading price of the Units issued in the Initial Public Offering. The excess (liability) or deficit (asset) of the fair value of the shares of common stock and warrants to be issued

compared to the $15.0 million fixed commitment is then reduced to account for the probability of consummation of the Business Combination. The primary unobservable input utilized in determining the fair value of the FPS is the probability of consummation of the Business Combination. As of December 31, 2021, the probability assigned to the consummation of the Business Combination was 80%, which was determined based on a hybrid approach of both observed success rates of business combinations for SPACs and affiliates of the Sponsor’s track record for consummating similar transactions.

The following table presents a summary of the changes in the fair value of the FPS liability:

 

FPS
Liability

Fair value as of February 23, 2021

  

$

3,859,558

Change in valuation inputs or other assumptions(1)

  

 

593,410

Fair value as of December 31, 2021

  

$

4,452,968

(1)      Changes in valuation inputs or other assumptions are recognized in Change in fair value of FPS liability in the consolidated statement of operations.