Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 9 — Fair Value Measurements

As of December 31, 2020, the public warrants were measured utilizing a Monte Carlo simulation model, and private placement warrants were measured utilizing a Black-Scholes model. Subsequently, the public warrants have been measured at fair value utilizing their listed trading price.

For the year ended December 31, 2021, the Company recognized a gain from a decrease in the fair value of liabilities of $8.0 million presented as change in fair value of derivative warrant liabilities in the accompanying consolidated statements of operations. The estimated fair value of private placement warrants as of December 31, 2021 and the estimated fair values of the private placement warrants and the public warrants as of December 31, 2020 were determined utilizing Level 3 inputs. Inherent in a Monte Carlo simulation and Black-Scholes model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. The most significant input is volatility and significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2021 and December 31, 2020 by level within the fair value hierarchy:

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 – U.S. Treasury securities	$	172,543,076	$	-	$	-
Liabilities:
Derivative warrant liabilities - Public	$	4,226,250	$	-	$	-
Derivative warrant liabilities - Private Placement	$	-	$	-	$	2,376,500

December 31, 2020

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 – U.S. Treasury securities	$	172,511,212	$	-	$	-
Liabilities:
Derivative warrant liabilities - Public	$	-	$	-	$	9,249,400
Derivative warrant liabilities - Private Placement	$	-	$	-	$	5,331,210

Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of public warrants was transferred from a Level 3 fair value measurement to a Level 1 measurement, when the public warrants were separately listed and traded in February 2021. There were no other transfers to/from Levels 1, 2, and 3 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			As of December 31, 2020
Exercise price	$	11.50		$	11.50
Unit price	$	10.15		$	10.25
Volatility		8.80	%		17.70	%
Stock price	$	9.90		$	9.71
Expected life of the options to convert (years)		5.42			6.47
Risk-free rate		1.29	%		0.57	%

The changes in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the year ended December 31, 2021 and for the period from June 18, 2020 (inception) through December 31, 2020, are summarized as follows:

Derivative warrant liabilities as of June 18, 2020 (inception)	$	-
Issuance of public and private placement warrants on December 18, 2020 - Level 3		12,906,740
Change in fair value of derivative warrants liabilities		1,673,870
Derivative warrants liabilities as of December 31, 2020 - Level 3	$	14,580,610
Transfer of public warrants to Level 1		(9,249,400	)
Change of fair value of derivative warrants liabilities		(2,954,710	)
Derivative warrants liabilities as of December 31, 2021 - Level 3	$	2,376,500