Recurring Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

RECURRING FAIR VALUE MEASUREMENTS

NOTE 4 — RECURRING FAIR VALUE MEASUREMENTS

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

			Quoted		Significant		Significant
			Prices In		Other		Other
			Active		Observable		Observable
	December 31,		Markets		Inputs		Inputs
	2021		(Level 1)		(Level 2)		(Level 3)
Assets:
Cash held in Trust Account	$	172,516,200	$	172,516,200	$	—	$	—
		172,516,200		172,516,200		—		—
Liabilities:
Public Warrants	$	8,337,500	$	8,337,500	$	—	$	—
Private Placement Warrants		261,733		—		—		261,733
Warrant Liability	$	8,599,233	$	8,337,500	$	—	$	261,733

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting periods. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement as of December 31, 2021 after the Public Warrants were separately listed and traded.

Warrants

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 Statement of Operations.

The Company utilized a Monte Carlo simulation model to value the Public Warrants on the initial measurement date. A Modified Black-Scholes model is used to value the Private Placement Warrants at each reporting period. The changes in fair value of warants is recognized as part of other income (expense) in the statement of operations. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on historical volatility 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 to remain at zero.

The key inputs into the Monte Carlo simulation model and Black-Scholes Model were as follows at initial measurement:

	February 23,
	2021
Inputs	(Initial Measurement)
Risk-free interest rate		0.9	%
Expected term (years)		6.4
Expected volatility		14.0	%
Exercise price	$	11.50

Subsequent Measurement

At December 31, 2021, the key inputs into the Black-Scholes Model were as follows in determining the fair value of the private warrants:

	December 31,
Inputs	2021
Risk-free interest rate		1.30	%
Expected term (years)		5.5
Expected volatility		18.5	%
Exercise price	$	11.50
Dividend yield		-

The change in the fair value of the level 3 warrant liabilities for the year ended December 31, 2021 is summarized as follows:

Warrant liability at January 1, 2021	$	—
Initial warrant liability at February 23,2021		5,276,966
Transfer of public warrants to Level 1		(5,117,500	)
Change in fair value of warrant liability		102,267
Warrant liability at December 31,2021	$	261,733