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Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 10. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s asset 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.

Description		December 31, 2021				Quoted Prices In Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Other Unobservable Inputs (Level 3)
Asset:
Investments held in Trust Account		$	221,654,793			$	221,654,793			$	—			$	—
Liabilities:
Derivative warrant liabilities - Private Placement Warrants			3,629,922				—				—				3,629,922
Derivative warrant liabilities - Public Warrants			5,983,373				5,983,373				—				—
		$	9,613,295			$	5,983,373			$	—			$	3,629,922

The Public Warrants and Private Placement 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 warrants in the statements of operations.

Initial Measurement

The Company established the initial fair value of the Public Warrants and Private Placement Warrants on July 2, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model. The Public Warrants and Private Placement Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

The key inputs into the Monte Carlo simulation model for the Public Warrants and Private Placement Warrants were as follows at initial measurement:

Risk-free interest rate			0.98	%
Expected term (years)			5.71
Expected volatility			19.0	%
Stock price		$	9.47
Strike price		$	11.50

Subsequent Measurement

The warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants as of December 31, 2021, is classified as Level 1 due to the use of an observable market quote in an active market. As of December 31, 2021, the aggregate value of Public Warrants was $5,983,373.

The subsequent measurement of the Private Placement Warrants was calculated using a Monte Carlo simulation model which is considered a Level 3 measurement.

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows as of December 31, 2021:

Risk-free interest rate			1.32	%
Expected term (years)			5.70
Expected volatility			10.0	%
Stock price		$	9.73
Strike price		$	11.50

The following table sets forth a summary of the changes in the fair value of the Level 3 liability for the year ended December 31, 2021:

		Warrant Liabilities
Fair value as of December 31, 2020		$	—
Initial fair value of warrant liabilities as of July 2, 2021			17,152,751
Fair value as of July 14, 2021 – overallotment			1,598,904
Transfer out of Level 3 to Level 1 on December 31, 2021			(5,983,373	)
Change in fair value			(9,138,360	)
Fair value as of December 31, 2021		$	3,629,922

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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