Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

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FAIR VALUE MEASUREMENTS
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTSThe fair value of the Company’s financial assets and liabilities reflects the Company’s 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.
As of September 30, 2021, assets held in the Trust Account were comprised of $155,255,316 in money market funds, which are invested primarily in U.S. Treasury securities.
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description Level September 30, 2021
Assets:
Investments held in the Trust Account $ 155,255,316 
Liabilities:
Warrant liability—Public Warrants $ 3,996,343 
Warrant liability—Private Placement Warrants $ 7,320,738 
The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liability in the accompanying condensed 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 condensed statement of operations.
The Warrants were initially valued using a Monte Carlo simulation model, which is considered to be a Level 3 fair value measurement for which there are uncertainties involved. If factors or assumptions change, the estimated fair values could be materially different. The Monte Carlo simulation model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the ordinary shares. The expected volatility as of the closing date of the Initial Public Offering was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The expected volatility as of subsequent valuation dates was implied from the Company’s own public warrant pricing. A Monte Carlo simulation methodology was used in estimating the fair value of the Public Warrants for periods where no observable traded price was available, using the same expected volatility as was used in measuring the fair value of the Private Warrants. The Public Warrants have detached from the Units and the Public Warrants were moved from Level 3 to Level 1. For periods subsequent to the detachment, the closing price of the Public Warrants will be used as the fair value as of each relevant date.
The following table provides quantitative information regarding Level 3 fair value measurements:
As of September 30, 2021
Stock price $ 9.26
Strike price $ 11.50
Term (in years) 5.0
Volatility 40.00  %
Risk-free rate 1.13  %
Dividend yield 0.00  %

The following table presents the changes in the fair value of Level 3 warrant liabilities:
Private
Placement Warrants
Public Warrants Warrant Liabilities
Fair value as of March 8, 2021 $ 6,091,858  $ 3,326,894  $ 9,418,752 
Change in valuation inputs or other assumptions 1,769,596  962,175  2,731,771 
Fair value of Warrants transferred out of Level 3 —  (4,289,069) (4,289,069)
Fair value of Level 3 warrant liabilities as of June 30, 2021 7,861,454  —  7,861,454 
Change in valuation inputs or other assumptions (540,716) —  (540,716)
Fair value of Level 3 warrant liabilities as of September 30, 2021 7,320,738  —  7,320,738