XML 25 R14.htm IDEA: XBRL DOCUMENT

Recurring Fair Value Measurements

10 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Recurring Fair Value Measurements

Note 8 — Recurring Fair Value Measurements

The following table presents information about the Company’s assets and liabilities 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:

		December 31,				Quoted Prices In Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		2021				(Level 1)				(Level 2)				(Level 3)

Assets:
Money Market Funds held in Trust Account		$	128,400,078			$	128,400,078				—				—
		$	128,400,078			$	128,400,078			$	—			$	—
Liabilities:
Public Warrants: Liabilities		$	5,313,000			$	5,313,000			$	—			$	—
Private Placement Warrants: Liabilities			2,566,959				—				—				2,566,959
		$	7,879,959			$	5,313,000			$	—			$	2,566,959

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

The Company established the initial fair value of the Public Warrants on August 30, 2021 using a Modified Black Scholes simulation model, and as of December 31, 2021 by using the associated trading price of the Public Warrants. The Company established the initial fair value of the Private Placement Warrants on August 30, 2021 and on December 31, 2021 by using a modified Black Scholes calculation. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The Public Warrants were subsequently classified as Level 1 as the subsequent valuation was based upon the trading price of the Public Warrants.

The following table presents the changes Level 3 labilities for the year ended December 31, 2021:

Fair Value at January 1, 2021		$	—
Initial fair value of public and private warrants			15,085,335
Transfer of public warrants to Level 1			(10,141,998	)
Change in fair value			(2,376,378	)

Fair Value at December 31, 2021		$	2,566,959

The key inputs into the Modified Black Scholes simulation as of August 30, 2021 and December 31, 2021 were as follows:

		(Initial Measurement) August 30, 2021				December 31, 2021
Risk-free interest rate			0.97	%			1.31	%
Expected term remaining (years)			5.91				5.49
Expected volatility			17.0	%			7.7	%
Stock price		$	9.197			$	9.98

The probability of a business combination was 90% at August 30, 2021 and December 31, 2021

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details