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Fair Value Measurements

6 Months Ended

11 Months Ended

Jun. 30, 2022

Dec. 31, 2021

Fair Value Measurements

Fair Value Measurements

Note 9 - Fair Value Measurements

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis by level within the fair value hierarchy:

June 30, 2022


		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		$	150,236,426		$	—		$	—
Liabilities:
Derivative liabilities - Public Warrants		$	2,025,000		$	—		$	—
Derivative liabilities - Private Placement Warrants		$	—		$	—		$	945,000

December 31, 2021


		Quoted Prices in Active			Significant Other			Significant Other
		Markets			Observable Inputs			Unobservable Inputs
Description		(Level 1)			(Level 2)			(Level 3)
Assets:
Investments held in Trust Account		$	150,006,015		$	—		$	—
Liabilities:
Derivative liabilities - Public Warrants		$	3,825,000		$	—		$	—
Derivative liabilities - Private Placement Warrants		$	—		$	—		$	1,785,000

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 fair value measurement to a Level 1 measurement, when the public warrants were separately listed and traded in September 2021. There were no other transfers between levels in the six months ended June 30, 2022 and in the period from January 28, 2021 (inception) through December 31, 2021.

Level 1 assets include investments in mutual funds invested in U.S. government securities and derivative warrant liabilities (public warrants). 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.

For periods where no observable traded price is available, the fair value of the public warrants has been estimated using a Monte-Carlo simulation model and the private placement warrants has been estimated using a Black-Scholes option pricing model. For periods subsequent to the detachment of the public warrants from the units, the fair value of the public warrants is based on the observable listed price for such warrants. The estimated fair value of the public and private placement warrants, prior to the public warrants being traded in an active market, was determined using Level 3 inputs. Inherent in a Monte-Carlo simulation and Black-Scholes option pricing model are assumptions related to the unit price, expected volatility, risk-free interest rate, term to expiration, and dividend yield. The unit price is based on the publicly traded price of the units as of the measurement date. The Company estimated the volatility for the public and private placement warrants based on the implied volatility from the traded prices of warrants issued by other special purpose acquisition companies. The risk-free interest rate is based on interpolated U.S. Treasury rates, commensurate with a similar term to the public and private placement warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. Finally, the Company does not anticipate paying a dividend. Any changes in these assumptions can change the valuation significantly.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:


		As of June 30, 2022			As of December 31, 2021
Exercise price		$	11.50		$	11.50
Volatility			3.4	%		9.6	%
Stock price		$	9.77		$	9.66
Remaining term (yrs)			5.25			5.75
Risk-free rate			2.97	%		1.32	%

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


Derivative warrant liabilities at December 31, 2021		$	1,785,000
Change in fair value of derivative liabilities			245,000
Derivative warrant liabilities at March 31, 2022			2,030,000
Change in fair value of derivative liabilities			(1,085,000)
Derivative warrant liabilities at June 30, 2022		$	945,000

Note 9 - Fair Value Measurement

The following table presents information as of December 31, 2021 about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis by level within the fair value hierarchy:


		Quoted Prices in Active			Significant Other			Significant Other
		Markets			Observable Inputs			Unobservable Inputs
Description		(Level 1)			(Level 2)			(Level 3)
Assets:
Investments held in Trust Account		$	150,006,015		$	—		$	—
Liabilities:
Derivative liabilities - Public Warrants		$	3,825,000		$	—		$	—
Derivative liabilities - Private Placement Warrants		$	—		$	—		$	1,785,000

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 fair value measurement to a Level 1 measurement, when the public warrants were separately listed and traded in September 2021. There were no other transfers between levels in the period from January 28, 2021 (inception) through December 31, 2021.

Level 1 assets include investments in mutual funds invested in U.S. government securities and derivative warrant liabilities (public warrants). 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.

For periods where no observable traded price is available, the fair value of the public warrants has been estimated using a Monte-Carlo simulation model and the private placement warrants has been estimated using a Black-Scholes option pricing model. For periods subsequent to the detachment of the public warrants from the units, the fair value of the public warrants is based on the observable listed price for such warrants. The estimated fair value of the public and private placement warrants, prior to the public warrants being traded in an active market, was determined using Level 3 inputs. Inherent in a Monte-Carlo simulation and Black-Scholes option pricing model are assumptions related to the unit price, expected volatility, risk-free interest rate, term to expiration, and dividend yield. The unit price is based on the publicly traded price of the units as of the measurement date. The Company estimated the volatility for the public and private placement warrants based on the implied volatility from the traded prices of warrants issued by other special purpose acquisition companies. The risk-free interest rate is based on interpolated U.S. Treasury rates, commensurate with a similar term to the public and private placement warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. Finally, the Company does not anticipate paying a dividend. Any changes in these assumptions can change the valuation significantly.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:


		As of December 31, 2021			As of August 6, 2021
Exercise price		$	11.50		$	11.50
Volatility			9.6	%		11.3	%
Stock price		$	9.66		$	9.66
Remaining term (yrs)			5.75			6.51
Risk-free rate			1.32	%		0.99	%

The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the period from January 28, 2021 (inception) through December 31, 2021 is summarized as follows:


Derivative warrant liabilities at January 28, 2021 (inception)		$	—
Issuance of Public and Private Warrants			7,515,000
Transfer of Public Warrants to Level 1			(5,100,000)
Change in fair value of derivative liabilities			(630,000)
Derivative warrant liabilities at December 31, 2021		$	1,785,000

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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