Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Summary of assets and liabilities measured at fair value on recurring basis

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 December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


Description	Level		June 30, 2022		Level		December 31, 2021
Assets:
Investments held in Trust Account—Money Market Funds		1	$	238,534,138		1	$	238,188,617
Liabilities:
Warrant liability—Public W arrants		3	$	476,354		1	$	4,445,971
Warrant liability—Private Placement Warrants		3	$	270,542		2	$	2,525,055

Summary of fair value measurements inputs

The following table provides quantitative information regarding Level 3 fair measurements:


	At June 30, 2022
Unit price	$	9.75
Strike price	$	11.50
Term (in years)		0.50
Volatility		0.7	%
Risk-free rate		2.99	%
Dividend yield		0.0	%
Fair value of warrants	$	0.06

Summary of change in fair value of derivative warrant liabilities

The following table presents the changes in Level 3 fair value of warrant liability for the six months ended June 30, 2022:


	Private Placement Warrants			Public Warrants			Warrant Liabilities
Fair value as of December 31, 2021	$	—		$	—		$	—
Change in fair value of warrant liability		(2,254,513	)		(3,969,617	)		(6,224,130	)
Transfer to Level 3		2,525,055			4,445,971			6,971,026

Fair value as of June 30, 2022	$	270,542		$	476,354		$	746,896

The following table presents the changes in the fair value of warrant liability for the period from January 15, 2021 (inception) to June 30, 2021:


	Private Placement Warrants		Public Warrants		Warrant Liability

Fair value as of January 15, 2021	$	—	$	—	$	—
Initial measurement on March 12, 2021		3,832,673		6,748,349		10,581,022
Change in fair value of warrant liability		901,805		1,587,847		2,489,652

Fair value as of June 30, 2021	$	4,734,478	$	8,336,196	$	13,070,674

Sandbridge X2 Corp 10-Q