Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
 8 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Disclosures
NOTE 9. FAIR VALUE MEASUREMENTS
The Company follows the guidance in ASC 820 for its financial assets and liabilities that are
re-measured
and reported at fair value at each reporting period, and
non-financial
assets and liabilities that are
re-measured
and reported at fair value at least annually.
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.
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at September 30, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
Description
   
Level
     
September 30,

2021
  
Assets:
                  
Marketable securities held in Trust Account
      1      $ 236,900,000  
     
Liabilities:
                  
Warrant liability – Public Warrants
      3      $ 6,348,000  
Warrant liability – Private Placement Warrants
      3      $ 8,110,334  
The Warrants were accounted for as liabilities in accordance with ASC
815-40
and are presented within warrant liabilities in the accompanying balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statements of operations.
The Private Placement Warrants were valued using a Black Scholes Option Pricing Model, which is considered to be a Level 3 fair value measurement. The Black Scholes model’s primary unobservable input utilized in determining the fair value of the Private Placement Warrants is the expected volatility of the ordinary shares. The expected volatility was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. A Monte Carlo simulation methodology was used in estimating the fair value of the Public Warrants using the same expected volatility as was used in measuring the fair value of the Private Placement Warrants. For periods subsequent to the detachment of the warrants from the Units, the close price of the public warrant price will be used as the fair value as of each relevant date.
 
The following table provides quantitative information regarding Level 3 fair value measurements:
 
    
September 20, 2021
(Initial Measurement)
    
September 30,
2021
  
Stock price
    $  10.00     $ 10.00  
Exercise price
    $ 11.50     $ 11.50  
Expected term (in years)
      6.0       5.96  
Volatility
      12.6 %      12.6 % 
Risk-free rate
      0.95 %      1.14 % 
Dividend yield
      0.0 %      0.0 % 
The following table presents the changes in the fair value of Level 3 warrant liabilities:
 
    
Private

Placement
     
Public
     
Warrant

Liabilities
  
Fair value as of January 29, 2021 (inception)
    $ —        $ —        $ —    
Initial measurement on September 20, 2021
      7,781,667        6,003,000        13,784,667  
Change in valuation inputs or other assumptions
      328,667        345,000        673,667  
    
 
 
     
 
 
     
 
 
  
Fair value as of September 30, 2021
    $ 8,110,334      $ 6,348,000      $ 14,458,334  
    
 
 
     
 
 
     
 
 
  
Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers in or out of Level 3 from other levels in the fair value hierarchy for the period from January 29, 2021 (inception) through September 30, 2021.