Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Schedule of fair value of the derivative warrant liabilities

	Fair Value Measured as of June 30, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account - U.S. Treasury Securities (1)	$	230,301,214	$	-	$	-	$	230,301,214
Liabilities:
Derivative warrant liabilities - Public warrants	$	-	$	766,670	$	-	$	766,670
Derivative warrant liabilities - Private warrants	$	-	$	-	$	440,000	$	440,000

	Fair Value Measured as of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	230,026,133	$	-	$	-	$	230,026,133
Liabilities:
Derivative warrant liabilities - Public warrants	$	3,910,000	$	-	$	-	$	3,910,000
Derivative warrant liabilities - Private warrants	$	-	$	-	$	2,288,000	$	2,288,000

Schedule of fair value measurements inputs as their measurement dates

	As of June 30, 2022			As of December 31, 2021
Exercise price	$	11.50		$	11.50
Stock Price	$	9.77		$	9.73
Option term (in years)		5.25			5.50
Volatility		1.40	%		12.00	%
Risk-free interest rate		3.01	%		1.31	%

Schedule of fair value of the derivative warrant liabilities

Derivative warrant liabilities at December 31, 2021 - Level 3 measurements	$	2,288,000
Change in fair value of derivative warrant liabilities - Level 3 measurements		(836,000	)
Derivative warrant liabilities at March 31, 2022 - Level 3 measurements		1,452,000
Change in fair value of derivative warrant liabilities - Level 3 measurements		(1,012,000	)
Derivative warrant liabilities at June 30, 2022 - Level 3 measurements	$	440,000

Derivative warrant liabilities at January 1, 2021 - Level 3 measurements	$	-
Issuance of Public and Private Warrants - - Level 3 measurements		6,468,000
Change in fair value of derivative warrant liabilities - - Level 3 measurements		(176,000	)
Derivative warrant liabilities at March 31, 2021 - Level 3 measurements	$	6,292,000
Change in fair value of derivative warrant liabilities - Level 3 measurements		(2,376,000	)
Derivative warrant liabilities at June 30, 2021 - Level 3 measurements	$	3,916,000

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

+ References + Details

Velocity Acquisition Corp. 10-Q