Fair Value Measurements

10 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 9 — Fair Value Measurements

The Public Warrants and Private Placement Warrants are accounted for as liabilities pursuant to ASC 815-40 and are measured at fair value as of each reporting period. Changes in the fair value of the Public Warrants and Private Placement Warrants are recorded in the statement of operations each period. The following table presents the fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of December 31, 2021 by level within the fair value hierarchy.

	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	319,421,010	$	—	$	—	$	319,421,010
	$	319,421,010	$	—	$	—	$	319,421,010
Liabilities:
Public Warrants	$	14,959,333	$	—	$	—	$	14,959,333
Private Placement Warrants		—		—		12,402,426		12,402,426
Total liabilities	$	14,959,333	$	—	$	12,402,426	$	27,361,759

The fair value of the Public Warrants issued in connection with the Initial Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model, a Level 3 measurement. On October 1, 2021, the Public Warrants surpassed the 52-day threshold waiting period to be publicly traded in accordance with the final prospectus filed August 12, 2021. Once publicly traded, the observable input qualifies the liability for treatment as a Level 1 fair value liability. As such, as of December 31, 2021, the Company classified the Public Warrants as Level 1. The estimated fair value of the Private Placement Warrants was determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its Class A ordinary shares warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s Class A ordinary shares 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 remaining at zero.

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. Outside of the transfer of the Public Warrants from Level 3 to Level 1, there were no transfers between Levels 1, 2 and 3 during the period ended December 31, 2021.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

Input	August 13, 2021			December 31, 2021
Risk-free interest rate		0.93	%		1.35	%
Expected term until merger (years)		1.50			1.12
Expected term until expiration (years)		6.50			6.12
Expected volatility		24.00	%		13.00	%
Underlying share price	$	9.25		$	9.86
Exercise price	$	11.50		$	11.50

The primary significant unobservable input used in the fair value measurement of the Company’s Private Placement Warrants is the expected volatility of the ordinary shares. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.

The following table presents a summary of the changes in the fair value of the level 3 derivative warrant liabilities:

	Public Warrant Liability			Private Warrant Liability			Total
Fair value, August 13, 2021	$	23,718,750		$	20,380,000		$	44,098,750
Change in fair value		(8,759,417	)		(7,977,574	)		(16,736,991	)
Transfers to level 1		(14,959,333	)		—			(14,959,333	)
Fair value, December 31, 2021	$	—		$	12,402,426		$	12,402,426