Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Fair Value Measurements [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 10 — FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC Topic 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually.

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

Level 1:	Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
Level 2:	Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.
Level 3:	Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2021 and 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level		December 31, 2021		Level		December 31, 2020
Assets:
Marketable securities held in Trust Account		1	$	232,387,376		1	$	232,296,529
Liabilities
Warrant Liability – Public Warrants		1	$	5,750,000		3	$	15,640,000
Warrant Liability – Private Placement Warrants		2	$	4,108,500		3	$	11,175,120

The warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the accompanying balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the change in fair value of warrant liabilities in the statements of operations.

The Public Warrants and Private Placement Warrants were valued as of November 24, 2020 and December 31, 2020 using a Monte Carlo simulation, which is considered to be a Level 3 fair value measurement. The Monte Carlo simulation’s primary unobservable input utilized in determining the fair value of the Warrants is the probability of consummation of the Business Combination. The probability assigned to the consummation of the Business Combination was 90%, which was estimated based on the observed success rates of business combinations for special purpose acquisition companies. The expected volatility as of the Initial Public Offering date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target.

The following table presents the quantitative information regarding Level 3 fair value measurements:

Input	November 24, 2020 (Initial Measurement)			December 31, 2020
Risk-free interest rate		0.53	%		0.52	%
Expected term (years)		5.42			5.42
Expected volatility		19.5	%		23.0	%
Exercise price	$	11.50		$	11.50
Unit Price	$	10.00		$	10.45

The subsequent measurements of the Public Placement Warrants after the detachment of the Public Placement Warrants from the Units are classified as Level 1 due to the use of the quoted price in an active market (the New York Stock Exchange) under the ticker CAS.WS. For the Private Placement Warrants, because of the provision in the Public and Private Placement Warrant agreements described in Note 8 regarding the Company’s ability to redeem the warrants when the trading price of the warrants equals or exceeds $10.00, the Company concluded the fair value of the Public and Private Placement Warrants to be equal. Therefore, subsequent measurements of the fair value of the Private Placement Warrants are also determined by using the quoted price in an active market under the ticker CAS. WS, which for the Private Warrants is a Level 2 measurement.

The following table presents the changes in the fair value of Level 3 warrant liabilities:

	Private Placement			Public			Warrant Liabilities
Fair value as of August 14, 2020 (inception)	$	—		$	—		$	—
Initial measurement on November 24, 2020 (inclusive of over-allotment)		8,217,000			11,500,000			19,717,000
Change in valuation inputs and other assumptions		2,958,120			4,140,000			7,098,120
Fair value as of December 31, 2020	$	11,175,120		$	15,640,000		$	26,815,120
Transfers to Level 1		—			(15,640,000	)		(15,640,00	)
Transfers to Level 2		(11,175,120	)		—			(11,175,120	)
Fair value as of December 31, 2021	$	—		$	—		$	—

Transfers in the amount of $15,640,000 from Level 3 to Level 1, and transfers in the amount of $11,175,120 from Level 3 to Level 2 of the fair value hierarchy occurred after the detachment of the Public Warrants from the Units during the year ended December 31, 2021. There were no transfers between fair value levels during the period from August 14, 2020 (inception) through December 31, 2020.