Annual report pursuant to Section 13 and 15(d)

Recurring Fair Value Measurements

v3.22.1
Recurring Fair Value Measurements
 10 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Disclosures
Note 6 — Recurring Fair Value Measurements
Investment Held in Trust Account
As of December 31, 2021, the investments in the Company’s Trust Account consisted of $898 in cash and $234,617,120 in U.S. Treasury securities. All of the U.S. Treasury securities will mature on March 31, 2022. The Company classifies its United States Treasury securities as
held-to-maturity
in accordance with FASB ASC 320 “Investments — Debt and Equity Securities.”
Held-to-maturity
treasury securities are recorded at amortized cost and adjusted for the amortization or accretion of premiums or discounts. The Company considers all investments with original maturities of more than three months but less than one year to be short-term investments. The carrying value approximates the fair value due to its short-term maturity (Level 1). The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on December 31, 2021 are as follows:
 
    
Amortized

Cost and

Carrying Value
     
Gross

Unrealized

Gains
     
Gross

Unrealized

Losses
     
Fair Value

as of

December 31,

2021
  
Cash
    $ 898      $ —        $ —        $ 898  
U.S. Treasury Securities
      234,617,120        —          (9,623 )       234,607,497  
    
 
 
     
 
 
     
 
 
     
 
 
  
     $ 234,618,018      $ —        $ (9,623 )     $ 234,608,395  
    
 
 
     
 
 
     
 
 
     
 
 
  
Warrants
At December 31, 2021, the Company’s warrant liability was valued at $11,600,000. Under the guidance in ASC
815-40
the warrants do not meet the criteria for equity treatment. As such, the warrants must be recorded on the balance sheet at fair value. This valuation is subject to
re-measurement
at each balance sheet date. With each
re-measurement,
the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations.
On November 12, 2021, the Company’s Public Warrants began separately trading from the Class A common stock, included in the Company’s Units, on the New York Stock Exchange (the “NYSE”). The Company’s warrant liability for the Public Warrants is based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. The fair value of the Public Warrant liability is classified within Level 1 of the fair value hierarchy.
 
The terms and conditions of the Company’s Private Placement Warrants are substantially the same as the Company’s Public Warrants. As such, they are economically equivalent and the Company’s warrant liability for the Private Placement Warrants is based on the price of the Company’s Public Warrants. The fair value of the Private Placement Warrants liability is classified within Level 2 of the fair value hierarchy.
The following table presents fair value information as of December 31, 2021 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.
The following table sets forth by level within the fair value hierarchy the Company’s financial instruments remeasured to fair value on a recurring basis:
 
     Level 1      Level 2      Level 3  
Public Warrants
    $ 5,750,000      $ —      $ —    
Private Placement Warrants
      —          5,850,000        —    
  
 
 
     
 
 
     
 
 
  
   $ 5,750,000      $ 5,850,000    $ —    
  
 
 
     
 
 
     
 
 
  
Measurement
The Company established the initial fair value for the Public Warrants and Private Placement Warrants on September 28, 2021, the date of the consummation of the Company’s Public Offering. The Company used a Binomial Option Pricing Model to value the Public Warrants and Private Placement Warrants. In November 2021, the Company’s Public Warrants began separately trading on the NYSE and consequently were reclassified to a Level 1 valuation. The Company’s Private Placement Warrants are economically equivalent to the Public Warrants. With their valuation based on quoted prices for similar instruments, the Private Placement Warrants were reclassified to a Level 2 valuation.
The key inputs into the Binomial Option Pricing Model were as follows at September 28, 2021:
 
Input
    September 28, 2021
(Initial Measurement)		  
Risk-free interest rate
      1.01 % 
Expected term (years)
      5.2  
Expected volatility
      13.8 % 
Exercise price
    $ 11.50  
Dividend rate
      0.0 % 
Measurement
The following table provides a reconciliation of changes in the Level 3 fair value classification:
 
Fair value at March 9, 2021 (inception)
    $ —      
Initial fair value of September 28, 2021
      17,632,000  
Public Warrants reclassified to level 1
      (5,865,000 ) 
Private Placement Warrants reclassified to level 2
      (5,967,000 ) 
Change in fair value
      (5,800,000 ) 
    
 
 
  
Fair
v
alue at December 31, 2021
    $ —