Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

Fair Value Measurements
11 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  



The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually.


The fair value of the Company’s financial assets and liabilities reflects 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.


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


Description   Level     December 31,
Investments held in Trust Account     1     $ 236,903,949  
Warrant liabilities – Public Warrants     1     $ 4,370,000  
Warrant liabilities – Private Placement Warrants     3     $ 5,819,334  


The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statement of operations.


The Private Placement Warrants were valued using a Black Scholes Option Pricing Model, which is considered to be a Level 3 fair value measurement. The Black Scholes model’s primary unobservable input utilized in determining the fair value of the Private Placement Warrants is the expected volatility of the ordinary shares. The expected volatility was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. A Monte Carlo simulation methodology was used in estimating the fair value of the Public Warrants using the same expected volatility as was used in measuring the fair value of the Private Placement Warrants. For periods subsequent to the detachment of the warrants from the Units, the close price of the public warrants is used as the fair value as of each relevant date.


The following table provides quantitative information regarding Level 3 fair value measurements:



September 20,


    December 31,
Share price   $ 10.00     $ 10.11  
Exercise price   $ 11.50     $ 11.50  
Expected term (in years)     6.0       5.71  
Volatility     12.6 %     8.6 %
Risk-free rate     0.95 %     1.32 %
Dividend yield     0.0 %     0.0 %


The following table presents the changes in the fair value of Level 3 warrant liabilities:


    Public     Warrant
Fair value as of January 29, 2021 (inception)   $
Initial measurement on September 20, 2021     7,781,667       6,003,000       13,784,667  
Change in valuation inputs or other assumptions     (1,962,333 )     (1,633,000 )     (3,595,333 )
Transfer to Level 1 on December 31, 2021    
      (4,370,000 )     (4,370,000 )
Fair value as of December 31, 2021   $ 5,819,334     $
    $ 5,819,334  


Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. 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 was $4,370,000.