General form of registration statement for all companies including face-amount certificate companies

FAIR VALUE MEASUREMENTS

v3.21.2
FAIR VALUE MEASUREMENTS
6 Months Ended
Jun. 30, 2021
FAIR VALUE MEASUREMENTS  
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, there were 2,875,000 Public Warrants and 102,000 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 indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

Quoted Prices in

Significant Other

Significant Other

June 30, 

Active Markets

Observable Inputs

Unobservable Inputs

    

Description

    

2021

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets:

  

  

  

  

  

Cash and marketable securities held in Trust Account

 

  

$

115,005,972

$

115,005,972

$

$

Liabilities:

 

  

 

  

 

  

 

  

 

  

Warrant Liability – Private Placement Warrants

 

  

$

315,180

$

$

$

315,180

The Private Placement Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on our accompanying June 30, 2021 condensed consolidated balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the condensed consolidated statement of operations.

The Private Placement Warrants were valued using a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology, which is considered to be a Level 3 fair value measurement. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Private Placement Warrants is the expected volatility of the common stock. The expected volatility as of the IPO date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The expected volatility as of subsequent valuation dates was implied from the Company’s own public warrant pricing.

There were no transfers between Levels 1, 2 or 3 during the three and six months ended June 30, 2021.

The following table provides quantitative information regarding Level 3 fair value measurements:

At

March 5, 2021

 

(Initial

At

 

Measurement)

June 30, 2021

Stock price

    

$

9.78

$

9.90

Strike price

$

11.50

$

11.50

Volatility

14.9

%

25.2

%

Risk-free rate

0.87

%

0.84

%

Probability of Business Combination occurring

75

%

75

%

Dividend yield

0.0

%

0.0

%

Fair value of private warrants

$

0.90

$

1.64

Fair Value of public warrants

1.64

3.09

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

    

Warrant Liabilities

Fair value as of March 5, 2021 (Initial Measurement)

$

91,800

Change in valuation inputs or other assumptions

 

9,180

Fair value as of March 31, 2021

82,620

Change in valuation inputs or other assumptions

232,560

Fair value as of June 30, 2021

$

315,180