Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
8 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
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  
Fair Value Measurement Inputs and Valuation Techniques
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
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
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