Fair Value Measurements (Tables)
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3 Months Ended |
Mar. 31, 2022 |
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| Fair Value Disclosures [Abstract] |
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| Summary of Liabilities Measured at Fair Value on Recurring Basis |
The following table presents information about the Company’s 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:
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March 31, 2022
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Level 1
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Level 2
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Level 3
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Liabilities:
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Public Warrants
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$
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3,161,000
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$
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3,161,000
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$
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—
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$
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—
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Private Placement Warrants
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2,672,000
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—
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2,672,000
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—
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$
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5,833,000
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$
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3,161,000
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$
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2,672,000
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$
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—
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December 31, 2021
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Level 1
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Level 2
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Level 3
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Liabilities:
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Public Warrants
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$
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5,813,000
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$
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5,813,000
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$
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—
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$
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—
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Private Placement Warrants
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4,913,000
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—
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4,913,000
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—
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$
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10,726,000
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$
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5,813,000
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$
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4,913,000
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$
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—
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| Summary of Key Inputs into Monte Carlo Simulation Model |
The key inputs into the Monte Carlo simulation model were as follows:
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Input
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Initial Measurement
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Risk-free interest rate
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0.91
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%
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Expected term remaining (years)
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5.0
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Expected term until merger (years)
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0.38
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Estimated probability of successful merger
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95.0
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%
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Expected volatility
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29.0
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%
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Implied Share price
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$
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9.18
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Exercise price
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$
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11.50
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| Summary of Changes in Fair Value of Level 3 Warrant Liabilities |
The following table presents the changes in the fair value of Level 3 Warrant Liabilities for the period from March 9, 2021 (inception) through December 31, 2021:
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Fair value of Level 3 Warrant Liabilities as of March 9, 2021 (inception)
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$
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—
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Initial measurement of warrants
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29,164,800
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Change in fair value
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(18,438,800
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)
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Transfer Public Warrants from Level 3 to Level 1 on December 31, 2021
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(5,813,000
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)
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Transfer Private Placement Warrants from Level 3 to Level 2 on December 31, 2021
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(4,913,000
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)
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Fair value of Level 3 Warrant Liabilities as of December 31, 2021
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$
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—
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| Summary of Carrying Value, Excluding Gross Unrealized Holding Loss and Fair Value of Held To Maturity Securities |
The carrying value, excluding gross unrealized holding loss, and fair value of held to maturity securities on March 31, 2022 and December 31, 2021 are as follows:
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Carrying
Value as of
March 31, 2022
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Gross
Unrealized
Gains
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Gross
Unrealized
Losses
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Fair Value
as of
March 31, 2022
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Cash
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$
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323
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$
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—
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$
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—
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$
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323
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U.S. Treasury Securities
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206,073,925
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—
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17,135
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206,056,790
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$
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206,074,248
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$
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—
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$
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17,135
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$
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206,057,113
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Carrying
Value as of
December 31, 2021
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Gross
Unrealized
Gains
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Gross
Unrealized
Losses
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Fair Value
as of
December 31, 2021
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Cash
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$
|
93
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$
|
—
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$
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—
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$
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93
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U.S. Treasury Securities
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206,018,797
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1,975
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—
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206,020,772
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$
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206,018,890
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$
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1,975
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$
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—
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$
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206,020,865
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