Annual report pursuant to Section 13 and 15(d)


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



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.


At December 31, 2021, assets held in the Trust Account were comprised of $291,813,714 in money market funds which are invested primarily in U.S. Treasury Securities. During the period ended December 31, 2021, the Company did not withdraw any interest income from the Trust Account.


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. 


    (Level 1)     (Level 2)     (Level 3)  
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund   $ 291,813,714              
Public Warrants                 10,493,750  
Private Placement Warrants                 8,805,625  


The Company established the initial fair value of the warrants on December 7, 2021, the date of the consummation of the Company’s IPO. The Company allocated the proceeds received from (i) the sale of the SAIL securities to the redeemable Class A Shares and public warrants based on the with or without method by first allocating to the estimated fair value of the public warrants then to the redeemable Class A Shares, and (ii) the sale of the private placement warrants to the estimated fair value of the private placement warrants with the remainder being recorded through additional paid in capital.


The key inputs into the binomial lattice formula model were as follows:


    December 31,
    December 7,
Input   Public
Share Price   $ 9.65     $ 10.01     $ 9.62     $ 9.62  
Exercise Price   $ 11.50     $ 11.50     $ 11.50     $ 11.50  
Risk-free rate of interest     1.28 %     1.28 %     1.28 %     1.28 %
Volatility     12.9 %     12.9 %     13.5 %     13.5 %
Term     5 years       5 years       5 years       5 years  
Probability Weighted Fair Value of Warrants   $ 0.73     $ 0.73     $ 0.76     $ 0.76  


The Warrants were valued using a binomial lattice model, which is considered to a be Level 3 fair value measurement. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility as of the IPO date was derived from observable warrant pricing on comparable ‘blank-check’ companies without an identified target. The expected volatility as of subsequent valuation dates was implied from the Company’s own public warrant pricing.


The following table presents a summary of the changes in the fair value of the Public and Private Placement Warrants, Level 3 liabilities, measured on a recurring basis.


Fair Value as of April 9, 2021   $ -     $ -  
Initial Measurement on December 7, 2021     10,925,000       9,167,500  
Change in valuation inputs or other assumptions(1)     (431,250 )     (361,875 )
Fair Value as of December 31, 2021   $ 10,493,750     $ 8,805,625  




Changes in valuation inputs or other assumptions are recognized in change in fair value of warrant liabilities in the Statement of Operations.