Annual report pursuant to Section 13 and 15(d)

Recurring Fair Value Measurements (Tables)

v3.22.1
Recurring Fair Value Measurements (Tables)
10 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] 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  
    
 
 
    
 
 
    
 
 
    
 
 
 
Schedule of Fair Value Measurements, Recurring and Nonrecurring
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    $ —    
  
 
 
    
 
 
    
 
 
 
Schedule of Fair Value Measurement Inputs and Valuation Techniques
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
Schedule of Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
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
   $ —