Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Note 9 - Fair Value Measurements

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

	Fair Value Measured as of March 31, 2022
Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account ⁽¹⁾	$	206,541,294	$	-	$	-
Liabilities:
Derivative warrant liabilities - Public warrants		1,858,500		-		-
Derivative warrant liabilities - Private placement warrants		-		1,103,400		-

	Fair Value Measured as of December 31, 2021
Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
*Assets:*
Investments held in Trust Account ⁽¹⁾	$	206,554,632	$	-	$	-
*Liabilities:*
Derivative warrant liabilities - Public warrants		6,091,750		-		-
Derivative warrant liabilities - Private placement warrants		-		3,616,700		-

⁽¹⁾	Includes approximately $1,100 and $0 in cash as of March 31, 2022 and December 31, 2021, respectively.

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement and the estimated fair value of the Private Placement Warrants transferred from a Level 3 measurement to a Level 2 fair value measurement as a result of the Public Warrants being listed price in an active market in March 2021, the closing price of the warrants on NYSE as of March 31, 2021.

Level 1 assets may include investments in U.S. government securities or money market funds that invest solely in U.S. government securities. 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.

The fair value of Public Warrants and Private Warrants was measured by reference to the listed price in an active market for the Public Warrants, the closing price of the warrants on NYSE as of March 31, 2022 and December 31, 2021. The Company determined that the fair value of each Private Placement Warrant approximates the fair value of a Public Warrant as the transfer of Private Placement Warrants to anyone who is not a permitted transferee would result in the Private Placement Warrants having substantially the same terms as the Public Warrants. For the three months ended March 31, 2022 and 2021, the Company recognized income to the unaudited condensed consolidated statements of operations resulting from a decrease in the fair value of warrant liabilities of approximately $6.8 million and approximately $8.1 million, presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed consolidated statements of operations.

There is no change to the fair value of the derivative warrant liabilities, measured with Level 3 inputs for the three months ended March 31, 2022. For the three months ended March 31, 2021, the change in the fair value of the derivative warrant liabilities, measured with Level 3 inputs, is summarized as follows:

Level 3 derivative warrant liabilities at January 1, 2021	$	21,226,950
Transfer of Public Warrants and Private Placement Warrants from Level 3:		(21,226,950	)
Level 3 derivative warrant liabilities at March 31, 2021 (Unaudited)	$	-

- 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

Omnichannel Acquisition Corp. 10-Q