Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

The following table presents the estimated fair values of investments held in the Trust Account as of September 30, 2022:


	Level		Fair Value
U.S. Treasury Marketable securities held in Trust Account—U.S. Treasury Securities Money Market Fund		1	$	289,072,839

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


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

The following table presents the fair value hierarchy for liabilities measured at fair value on a recurring basis as of September 30, 2022:

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

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


	As of September 30, 2022			As of December 31, 2021
Exercise price	$	11.50		$	11.50
Initial Public Offering price	$	10.00		$	10.00
Underlying asset price (per share)	$	9.85		$	10.37
Volatility		2.00	%		32.25	%
Time to Maturity (Years)		5.42			5.50
Risk-free rate		4.04	%		1.31	%
Dividend yield		0.00	%		0.00	%

The following tables present a summary of the changes in the fair value of the Warrants:


	Public Warrant Liability			Private Warrant Liability			Total
Fair value, January 1, 2022	$	15,909,292		$	3,465,285		$	19,374,577
Recognized gain on change in fair value		(15,431,084	)		(3,398,732	)		(18,829,816	)

Fair value, September 30, 2022	$	478,208		$	66,553		$	544,761


	Public Warrant Liability			Private Warrant Liability			Total
Fair value, January 1, 2021	$	—		$	—		$	—
Initial value on March 1, 2021 (Initial Public Offering date)		13,129,167			1,853,333			14,982,500
Recognized gain on change in fair value		(4,935,417	)		(707,269	)		(5,642,686	)

Fair value, September 30, 2021	$	8,193,750		$	1,146,064		$	9,339,814

USHG Acquisition Corp. 10-Q