Fair Value Measurements

6 Months Ended

Jun. 30, 2022

14. Fair value measurement

The following table lists the Company’s financial assets and liabilities by level within the fair value hierarchy. The Company’s assessment of the significance of an input to the fair value measurement requires

judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels.

During the three-months period ended June 30, 2022, there were no changes in the fair value methodology of the financial instruments and, therefore, there were no transfers between levels.


	As of June 30, 2022
	Level 1			Level 2		Level 3			Total			Fair value of the other financial instruments			Fair Value			Book Value
Assets
Cash and cash equivalents	$	—		$	—	$	—		$	—		$	176,316,554		$	176,316,554		$	176,316,554
Financial investments		—			154,464,652		—			154,464,652			—			154,243,313			154,464,652

		—			154,464,652		—			154,464,652			176,316,554			330,559,867			330,781,206

Liabilities
Trade accounts payable		—			—		—			—			(889,594	)		(889,594	)		(889,594	)
Derivative financial instruments (i)		—			—		(7,267,500	)		(7,267,500	)		—			(7,267,500	)		(7,267,500	)
Other Payables		(164,290	)		—		—			(164,290	)		—			(164,290	)		(164,290	)
Other Liabilities		—			—		—			—			(2,133,122	)		(2,133,122	)		(2,133,122	)

	$	(164,290	)	$	—	$	(7,267,500	)	$	(7,431,790	)	$	(3,022,716	)	$	(10,454,506	)	$	(10,454,506	)

(i)	Refers to the Private Placement Warrants.


	As of December 31, 2021
	Level 1			Level 2			Total			Fair value of the other financial instruments			Fair Value			Book Value
Assets
Cash and cash equivalents	$	—		$	—		$	—		$	14,376,523		$	14,376,523		$	14,376,523

		—			—			—			14,376,523			14,376,523			14,376,523

Liabilities
Trade accounts payable		—			—			—			(877,641	)		(877,641	)		(877,641	)
Derivative financial instruments		—			(32,226	)		(32,226	)		—			(32,226	)		(32,226	)
Other Payables		(183,041	)		—			(183,041	)		—			(183,041	)		(183,041	)
Other Liabilities		—			—			—			(731,036	)		(731,036	)		(731,036	)

	$	(183,041	)	$	(32,226	)	$	(215,267	)	$	(1,608,677	)	$	(1,823,944	)	$	(1,823,944	)

Under the guidance in ASC

815-40,

the Private Placement Warrants do not meet the criteria for equity treatment. As such, they must be recorded on the balance sheet at fair value. This valuation is subject to

re-measurement

at each balance sheet date. With each

re-measurement,

the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s Consolidated Statements of Operations.

The Company’s Private Placement Warrant liability as of June 30, 2022 is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The Company used a modified Black-Scholes model to value the Private Placement Warrants.

The Company estimates the volatility of its common stock based on expected implied volatility from publicly traded 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 key inputs into the modified Black-Scholes model were as follows at June 30, 2022 and December 31, 2021:


Input	June 30, 2022			December 31, 2021
Risk-free interest rate		3.01	%		1.29	%
Expected term (years)		5.0			5.1
Expected volatility		25.5	%		15.9	%

Exercise price	$	11.50		$	11.50

Dividend yield		0.0	%		0.0	%

Expected stock price at De-SPAC	$	6.2		$	8.66

Probability-weighted average of additional shares to be issued for the forward contract	$	N/A		$	4,600,000

The change in the fair value of the derivative liabilities for the Closing date until June 30, 2022:


	Private Placement Warrants
Balance as of May 9, 2022	$	11,400,000
Change in fair value		(4,132,500	)

Balance as of June 30, 2022	$	7,267,500

The Public Warrants were remeasured at fair value as of the Closing date and reclassified to equity.

- 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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