Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS

v3.22.0.1
FAIR VALUE MEASUREMENTS
11 Months Ended
Dec. 31, 2021
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

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

Amount at

Description

    

Fair Value

    

Level 1

    

Level 2

    

Level 3

December 31, 2021

Assets

Investments held in Trust Account:

 

  

  

 

  

  

Money Market investments

$

200,010,449

$

200,010,449

$

$

Liabilities

Warrant liability - Public Warrants

$

10,300,000

$

10,300,000

$

$

Warrant liability- Private Placement Warrants

$

6,240,000

$

$

$

6,240,000

The Company utilizes a Monte Carlo simulation model to value the Public Warrants and a Modified Black-Scholes model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the warrant liabilities are determined using Level 3 inputs. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on historical volatility that matches the expected remaining life of the 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 to remain at zero.

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting periods. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement as of December 31, 2021 after the Public Warrants were separately listed and traded.

The following table provides the significant inputs to the Monte Carlo Simulation for the fair value of the Public Warrants:

At March 25, 2021

(Initial

    

Measurement)

    

Stock price

 

$

9.76

 

Strike price

 

$

11.50

 

Probability of completing a Business Combination

 

83.0

%  

Expected life of the option to convert (in years)

 

6.59

 

Volatility

 

4.5% pre-merger / 25.0% post-merger

 

Risk-free rate

 

1.19

%  

Fair value of warrants

 

$

1.48

 

The following table provides the significant inputs to the Modified Black-Scholes model for the fair value of the Private Placement Warrants:

At March 25, 2021

 

(Initial

As of December 31, 

 

    

Measurement)

    

2021

 

Stock price

 

$

9.76

 

$

9.92

Strike price

 

$

11.50

 

$

11.50

Probability of completing a Business Combination

 

83.0

%  

*

Dividend yield

 

%  

%

Remaining term (in years)

 

6.59

 

5.25

Volatility

 

21.3

%  

15.1

%

Risk-free rate

 

1.19

%  

1.28

%

Fair value of warrants

 

$

1.48

 

$

1.04

*The probability of completing a Business Combination is considered within the volatility implied by the traded price of the Public Warrants

The following table presents the changes in the fair value of warrants liabilities:

Private

Warrant

    

Placement

    

Public

    

Liabilities

Fair value as of January 22, 2021 (inception)

$

$

$

Initial measurement at March 25, 2021

 

8,880,000

 

14,800,000

 

23,680,000

Change in fair value of warrant liabilities

 

(2,640,000)

 

(4,500,000)

 

(7,140,000)

Fair value as of December 31, 2021

$

6,240,000

$

10,300,000

$

16,540,000

The following table presents the changes in the fair value of the Company's Level 3 financial instruments that are measured at fair value:

Fair value as of January 22, 2021 (inception)

    

$

Initial measurement at March 25, 2021

 

23,680,000

Change in fair value

 

(7,140,000)

Transfer of Public Warrants to Level 1 measurement

 

(10,300,000)

Fair value as of December 31, 2021

$

6,240,000

The Company recognized a gain in connection with changes in the fair value of warrant liabilities of $7,140,000 within change in fair value of warrant liabilities in the Statement of Operations for the period from January 22, 2021 (inception) through December 31, 2021, respectively.