Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Fair Value Measurements

Fair Value Measurements

Note 10—Fair Value Measurements

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

March 31, 2022

	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account	$	203,834,057	$	—	$	—
Liabilities:
Derivative warrant liabilities -Public	$	2,377,650	$	—	$	—
Derivative warrant liabilities - Private	$	—	$	—	$	1,726,670

December 31, 2021

	Quoted Prices in		Significant Other		Significant Other
	Active Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account	$	203,813,533	$	—	$	—
Liabilities:
Derivative warrant liabilities - Public	$	4,687,370	$	—	$	—
Derivative warrant liabilities - Private	$	—	$	—	$	3,406,670

Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants was transferred from a Level 3 measurement to a Level 1 measurement in May 2021, when the Public Warrants were separately listed and traded in an active market

Level 1 assets include investments in mutual funds invested in government securities. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

The fair value of the Public Warrants issued in connection with the Public Offering were initially measured at fair value using a binomial / lattice model, which assumes optimal exercise of the Company’s redemption option, including the make whole table, at the earliest

possible date. Subsequently, the fair value of Public Warrants issued in connection with the Initial Public Offering have been measured based on the listed market price of such warrants. The fair value of the Private Placement Warrants have been estimated using the Black Scholes Option Pricing Model at each measurement date. For the three months ended March 31, 2022 and the period from January 29, 2021 (inception) through March 31, 2021, the Company recognized a gain of approximately $4.0 million and $67,000 resulting from a decrease in the fair value of liabilities, presented as change in fair value of derivative warrant liabilities on the accompanying condensed statements of operations.

The estimated fair value of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, is determined using Level 3 inputs. Inherent in the Black Scholes Option Pricing Model and a binomial / lattice model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants and from historical volatility of implied volatility from comparable publicly-traded 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 remaining at zero.

The following table provides quantitative information regarding Level 3 fair value measurements inputs as of March 31, 2022 and December 31, 2021:
​

	As of March 31,2022			As of December 31,2021
Volatility		5.5	%		12.0	%
Stock price	$	9.75		$	9.76
Expected life of the options to convert		5.5			5.5
Risk-free rate		2.40	%		1.30	%
Dividend yield		0.0	%		0.0	%

The change in the fair value of the derivative warrant liabilities measured utilizing Level 3 inputs for the three months ended March 31, 2022 and the period from January 29, 2021 (inception) through March 31, 2021, is summarized as follows:

Level 3 -Derivative warrant liabilities at December 31, 2021	$	3,406,670
Change in fair value of derivative warrant liabilities		(1,680,000)
Level 3 -Derivative warrant liabilities at March 31, 2022	$	1,726,670

Level 3- Derivative warrant liabilities at January 29, 2021 (inception)	$	—
Issuance of derivative warrant liabilities		13,690,430
Change in fair value of derivative warrant liabilities		(66,660)
Level 3 -Derivative warrant liabilities at March 31, 2021	$	13,623,770