Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Note 10 — Fair Value Measurements

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

	December 31,		Quoted Prices In Active Markets		Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2021		(Level 1)		(Level 2)		(Level 3)
Liabilities:
Public Warrants Liability	$	5,088,750	$	5,088,750	$	—	$	—
Private Placement Warrants Liability		3,708,598		—		—		3,708,598
	$	8,797,348	$	5,088,750	$	—	$	3,708,598

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Balance Sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the Statements of Operations.

The Company established the initial fair value of the Public Warrants and Private Warrants on February 19, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model. The Company established the fair value of the Private Warrants on December 31, 2021 using a Monto Carlo simulation model. The Public and Private Warrants were classified as Level 3 at the initial measurement date and the Private Warrants were classified as Level 3 at December 31, 2021 due to the use of unobservable inputs. As of December 31, 2021, the Public Warrants were trading separately from the Units, and the quoted market price was used to establish fair value.

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for our derivative warrant liabilities classified as level 3:

	Warrant Liability
Fair value at January 1, 2021	$	—
Initial classification of Public and Private Warrant liability at February 19, 2021		17,605,070
Transfer of Public Warrant liability to Level 1		(5,088,750	)
Change in fair value		(8,807,722	)
Fair Value at December 31, 2021	$	3,708,598

The key inputs into the Monte Carlo simulation as December 31, 2021 were as follows:

	December 31,			February 19,
	2021			2021
Inputs
Risk-free interest rate		1.3	%		0.78	%
Expected remaining term (years)		5.5			6.15
Expected volatility		11.8	%		24.1	%
Stock price	$	9.77		$	9.41

The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on December 31, 2021 are as follows:

	Carrying Value as of December 30, 2021		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value as of December 30, 2021
U.U. S. Treasury Securities		172,535,562		—		(23,136)	)		172,512,426
	$	172,535,562	$	—	$	(23,136)	)	$	172,512,426

- 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.

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