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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Summary of Change In Fair Value of Derivative Warrant Liabilities

The Company transferred the fair value of Public Warrants from a Level 3 measurement to a Level 1 measurement during the three months ended March 31, 2022

		Public Warrants				Private Placement Warrants				Warrant Liability
Derivative warrant liabilities at December 31, 2021		$	—			$	—			$	—
Initial fair value at issuance of public and private placement warrants			3,521,870				2,258,677				5,780,547
Change in fair value			(1,905,870	)			(1,730,725	)			(3,636,595	)
Transfer of public warrants to Level 1 measurement			(1,616,000	)			—				(1,616,000	)
Level 3 derivative warrant liabilities as of March 31, 2022		$	—			$	527,952			$	527,952

The following table presents the changes in the fair value of derivative warrant liabilities as of March 31, 2022 and December 31, 2021:

		Public Warrants				Private Placement Warrants				Total Derivative Warrant Liability
Fair value at August 6, 2021 (inception)			—				—				—
Derivative warrant liabilities as of December 31, 2021		$	—			$	—			$	—
Initial fair value at issuance			3,521,870				2,258,677				5,780,547
Change in fair value			(1,905,870	)			(1,730,725	)			(3,636,595	)
Derivative warrant liabilities as of March 31, 2022		$	1,616,000			$	527,952			$	2,143,952

Summary of Fair Value Hierarchy The Company's Assets and Liabilities That Were Accounted For At Fair Value On Recurring Basis

The following tables set forth by level within the fair value hierarchy the Company’s assets and liabilities that were accounted for at fair value on a recurring basis at March 31, 2022:

March 31, 2022

		(Level 1)				(Level 2)				(Level 3)
Assets
Cash and marketable securities held in trust account		$	204,020,000			$	—			$	—
Liabilities
Public Warrants		$	1,616,000			$	—			$	—
Private Placement Warrants		$	—			$	—			$	527,952

Summary of Fair Value Measurements Inputs

The key inputs into the Black Scholes Merton model formula were as follows at March 31, 2022:

		Private Placement Warrants
		March 31,
Input		2022
Ordinary share price		$	9.86
Exercise price		$	11.50
Risk-free rate of interest			2.40	%
Volatility			1.92	%
Term			5.84
Warrant to buy one share (unadjusted for the probability of dissolution)		$	0.08
Dividend yield			0.00	%

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
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-Publisher FASB
-Name Accounting Standards Codification
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-Section 50
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