Quarterly report pursuant to Section 13 or 15(d)

Recurring Fair Value Measurements (Tables)

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