Quarterly report pursuant to Section 13 or 15(d)

Recurring Fair Value Measurements

v3.21.2
Recurring Fair Value Measurements
 7 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Disclosures
Note 6 — Recurring Fair Value Measurements
Investment Held in Trust Account
As of September 30, 2021, the investments in the Company’s Trust Account consisted of $785 in U.S. Money Market funds and $234,599,408 in U.S. Treasury Securities. All of the U.S. Treasury Securities mature on December 30, 2021. The Company classifies its United States Treasury securities as
held-to-maturity
in accordance with FASB ASC 320 “Investments — Debt and Equity Securities.”
Held-to-maturity
treasury securities are recorded at amortized cost and adjusted for the amortization or accretion of premiums or discounts. The Company considers all investments with original maturities of more than three months but less than one year to be short-term investments. The carrying value approximates the fair value due to its short-term
maturity
(Level 1).
The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on September 30, 2021 are as follows:
The following table presents fair value information as of September 30, 2021 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company’s warrant liability is based on a valuation models utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The fair value of the warrant liability is classified within Level 3 of the fair value hierarchy.
The following table sets forth by level within the fair value hierarchy the Company’s liability that was accounted for at fair value on a recurring basis:
 
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
Public Warrants
    $  —        $ —        $ 8,740,000  
Private Placement Warrants
    $  —        $ —        $ 8,892,000  
Measurement
The Company established the initial fair value for the Public Warrants and Private Placement Warrants on September 28, 2021, the date of the consummation of the Company’s IPO. The Company used a Binomial Option Pricing Model to value the Public Warrants and Private Placement Warrants.
The key inputs into the Binomial Option Pricing Model were as follows at September 28, 2021 and September 30, 2021:
 
Input
    September 30, 2021     September 28, 2021
(Initial Measurement)		  
Risk-free interest rate
      1.01 %      1.01 % 
Expected term (years)
      5.2       5.2  
Expected volatility
      13.8 %      13.8 % 
Exercise price
    $ 11.50     $ 11.50  
Dividend rate
      0.0 %      0.0 % 
Measurement
The following table provides a reconciliation of changes in the Level 3 fair value classification:
 
Fair value at March 9, 2021 (inception)
    $  —    
Issuance due to IPO at September 28, 2021
      17,632,000  
Change in fair value
      —    
    
 
 
  
Fair Value at September 30, 2021
    $ 17,632,000