Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.22.0.1
FAIR VALUE MEASUREMENTS (Tables)
11 Months Ended
Dec. 31, 2021
FAIR VALUE MEASUREMENTS  
Schedule of Company's assets that are measured at fair value on a recurring basis

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

Schedule of significant inputs to the Monte Carlo Simulation for the fair value

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

 

Schedule of financial assets that are measured at fair value on a recurring basis

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

Schedule of changes in the fair value of warrant 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