Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Note 8—Fair Value Measurements

The following tables present information about the Company’s assets that are measured at fair value on a recurring basis as of December 31, 2021 and December 31, 2020, indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value. In general, fair values determined by Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs utilize data points that are observable, such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability.

The Company’s investments held in the Trust Account is investments in money market funds that invest in U.S. government securities. Gains and losses resulting from the change in fair value of these securities is included in net gain from investments held in Trust Account in the accompanying statement of operations. The estimated fair values of investments held in the Trust Account are determined using available market information.

The following table presents the estimated fair values of investments held in the Trust Account as of December 31, 2021:


Held-To-Maturity	Level		Fair Value
U.S. Treasury Marketable securities held in Trust Account—U.S. Treasury Securities Money Market Fund		1	$	287,516,155

The Warrants are accounted for as liabilities pursuant to ASC

815-40

and are measured at fair value as of each reporting period. Changes in the fair value of the Warrants are recorded in the statement of operations each period.

The following table presents the fair value hierarchy for liabilities measured at fair value on a recurring basis as of December 31, 2021:


	Level 1		Level 2		Level 3		Total
Warrant liabilities:
Public Warrants	$	15,909,292	$	—	$	—	$	15,909,292
Private Placement Warrants		—		—		3,465,285		3,465,285

Total warrant liabilities	$	15,909,292	$	—	$	3,465,285	$	19,374,577

The Private Placement Warrants were valued using a Monte Carlo simulation model, which is considered to be a Level 3 fair value measurement. The primary unobservable input utilized in determining the fair value of the

Private Placement Warrants is the volatility rate. The volatility applied was 19.50% based on implied volatilities from selected publicly traded warrants.

Beginning on April 19, 2021, the Public Warrants began trading under the ticker HUGSW. After this date, Public Warrant values per share were based on the observed trading prices of the Public Warrants. Accordingly, as of June 30, 2021, the observable input qualifies the liability for treatment as a Level 1 liability. There were no transfers between levels during the year ended December 31, 2021.

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


	As of December 31, 2021
Exercise price	$	11.50
IPO price	$	10.00
Underlying asset price (per share)	$	10.37
Volatility		32.25	%
Time to Maturity (Years)		5.50
Risk-free rate		1.31	%
Dividend yield		0.00	%

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


	Public Warrant Liability			Private Warrant Liability			Total
Fair value, March 01, 2021	$	13,129,167		$	1,853,333		$	14,982,500
Recognized loss on change in fair value		(2,780,125	)		(1,611,952	)		(4,392,077	)

Fair value, December 31, 2021	$	15,909,292		$	3,465,285		$	19,374,577

- 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.

+ References + Details

USHG Acquisition Corp. 10-K