Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Measurements [Abstract]

Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at March 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

	March 31		Quoted Prices In Active Markets		Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2022		(Level 1)		(Level 2)		(Level 3)
Liabilities:
Public Warrants Liability	$	1,638,750	$	1,638,750	$	—	$	—
Private Placement Warrants Liability		1,130,500		-		1,130,500		—
	$	2,769,250	$	1,638,750	$	1,130,500	$	—

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

Reconciliation of Changes in Fair Value of Assets and Liabilities Classified as Level 3

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 December 31, 2021	$	3,708,598
Transfer of Private Warrant Liability to Level 2		(3,708,598	)
Fair Value at March 31, 2022	$	—

Key Inputs into Monte Carlo Simulation

The key inputs into the Monte Carlo simulation used to value the private warrants at December 31, 2021 were as follows:

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

Held to Maturity Securities

The carrying value, excluding gross unrealized holdings loss and fair value of held to maturity securities on March 31, 2022 are as follows:

	Carrying Value as of March 31, 2022		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value as of March 31, 2022
U.S. Treasury Securities		172,578,080		—		(114,309	)		172,463,770
	$	172,578,080	$	—	$	(114,309	)	$	172,463,770

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

	Carrying Value as of December 31 2021		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value as of December 31, 2021
U.S. Treasury Securities		172,535,562		—		(23,136	)		172,512,426
	$	172,535,562	$	—	$	(23,136	)	$	172,512,426