Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

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.

 

At June 30, 2021 and December 31, 2020, investments held in the Trust Account were comprised of $111,107,428 and $111,101,918 in money market funds which are invested primarily in U.S. Treasury Securities, respectively. Through June 30, 2021, the Company did not withdraw any interest income from the Trust Account.

 

At June 30, 2021 and December 31, 2020, there were 11,000,000 Public Warrants and 10,000,000 Private Placement Warrants outstanding.

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

Description   June 30,
2021
   

Quoted Prices

in Active

Markets

(Level 1)

   

Significant

Other

Observable

Inputs

(Level 2)

   

Significant

Other

Unobservable

Inputs

(Level 3) 

 
Assets:                        
Investments held in Trust Account   $ 111,107,428     $ 111,107,428     $
    $
 
                                 
Liabilities:                                
Warrant Liability – Public Warrants   $ 5,170,000     $ 5,170,000     $
    $
 
Warrant Liability – Private Placement Warrants   $ 6,000,000     $
    $
    $ 6,000,000  

 

Description   December 31,
2020
   

Quoted Prices

in Active

Markets

(Level 1)

   

Significant

Other

Observable

Inputs

(Level 2)

   

Significant

Other

Unobservable

Inputs

(Level 3)

 
Assets:                        
Investments held in Trust Account   $ 111,101,918     $ 111,101,918     $
    $
 
                                 
Liabilities:                                
Warrant Liability – Public Warrants   $ 8,800,000     $ 8,800,000     $
    $
 
Warrant Liability – Private Placement Warrants   $ 6,950,000     $
    $
    $ 6,950,000  

 

The fair value of the Private Placement Warrants was estimated using a probability adjusted Black-Scholes option pricing model. The assumptions under the model include the underlying stock price, strike price, risk-free interest rate, estimated volatility, the expected term, and probability of an expected acquisition. Expected stock price volatility is based on the actual historical volatility of a group of comparable publicly traded companies observed over a historical period equal to the expected remaining life of the Private Placement Warrants. The fair value of the underlying shares is the published closing market price on the Nasdaq Capital Market as of each reporting date, as adjusted for significant results, as necessary. The risk-free interest rate is based on the U.S. Treasury yield curve in effect on the date of valuation equal to the remaining expected life of the Private Placement Warrants. The dividend yield percentage is zero because the Company does not currently pay dividends, nor does it intend to do so during the expected term of the Private Placement Warrants. The fair value of the Public Warrants was determined using the close price as of the reporting date.

 

The fair value of the Private Placement Warrants was estimated at December 31, 2020 using the Black-Scholes model and the following assumptions:

 

    June 30,
2021
    December 31,
2020
 
Estimated dividend yield  
   
 
Expected volatility     13.8 %     25 %
Risk-free interest rate     0.73 %     0.36 %
Expected term (years)     4.92       5.00  

 

The following table presents the changes in the fair value of warrant liabilities:

 

    Private
Placement
    Public     Warrant
Liabilities
 
Fair value as of January 1, 2021   $ 6,950,000     $ 8,800,000     $ 15,750,000  
Change in valuation inputs or other assumptions     (950,000 )     (3,630,000 )     (4,580,000 )
Fair value as of June 30, 2021   $ 6,000,000     $ 5,170,000     $ 11,170,000  

 

There were no transfers in or out of Level 3 from other levels in the fair value hierarchy.