Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 11. FAIR VALUE MEASUREMENTS

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.

At December 31, 2021, assets held in the Trust Account were comprised of $150,004,512 in money market funds which are invested primarily in U.S. Treasury Securities. Through December 31, 2021, the Company did not withdraw any interest income from the Trust Account.

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 indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level	December  31, 2021
Assets:
Marketable securities held in Trust Account – U.S. Treasury Securities Money Market Fund	1	$	150,004,512
Liabilities:
Warrant liabilities – Public Warrants	1	$	3,975,000
Warrant liabilities – Private Placement Warrants	2	$	145,750

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Company’s 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 Warrants at issuance were valued using a binomial lattice model, which is considered to be a Level 3 fair value measurement. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the common stock. 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. Any changes in these assumptions can change the valuation significantly. For periods subsequent to the detachment of the Public Warrants from the Units, the Public Warrant price was used as the fair value as of each relevant date. The Warrants are measured at fair value on a recurring basis. The Public Warrants were valued using the instrument’s publicly listed trading price as of the balance sheet date, which is considered to be a Level 1 measurement due to the use of an observable market quote in an active market.

In the case of the Private Placement Warrants, the Company used the publicly-listed trading price of the Public Warrants as the price for the private warrants given the private warrants are also subject to the make-whole table, which is considered to be a Level 2 measurement as they follow the public price.

The key input for the binomial lattice model for the Private Placement and Public Warrants at inception was as follows:

Input	July 27, 2021
Stock price	$	9.43
Exercise price	$	11.50
Expected term in years		5.5
Volatility		20	%
Risk Free rate		0.8	%
Dividend yield		0.0	%

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

	Private Placement Warrants			Public Warrants			Total  Warrant Liabilities
Fair value as of January 1, 2021 (commencement of operations)	$	—		$	—		$	—
Initial measurement on July 27, 2021		258,500			7,050,000			7,308,500
Fair value as of July 27, 2021		258,500			7,050,000			7,308,500
Change in fair value		(107,250	)		(2,925,000	)		(3,032,250	)
Transfer to level 1		—			(4,125,000	)		(4,125,000	)
Transfer to level 2		(151,250	)		—			(151,250	)
	$	—		$	—		$	—

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period. There were transfers to level 1 of $4,125,000 and transfers to level 2 of $151,250 for the period from January 1, 2021 (commencement of operations) through December 31, 2021.