Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 8. Fair Value Measurements

 

The following table presents information about the Company’s assets that are measured on a recurring basis as of December 31, 2020 and 2019 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

 

                       
    Quoted Prices   Significant   Significant Other
 

in Active

 Markets

 

Other

 Observable Inputs

 

Unobservable

Inputs

Description   (Level 1)   (Level 2)   (Level 3)
Assets held in Trust at December 31, 2020:                        
Money market fund   $ 109,742,246     $     $  
    $ 109,742,246     $     $  
                         
Liabilities:                        
Warrant liability (As Restated)   $ 30,118,500     $     $ 15,364,800  
Convertible note payable (As Restated)                

1,500,000

 
    $ 30,118,500     $     $ 16,864,800  

 

    Quoted Prices   Significant   Significant Other
   

in Active

 Markets

 

Other

 Observable Inputs

  Unobservable Inputs
Description   (Level 1)   (Level 2)   (Level 3)
Assets held in Trust at December 31, 2019:                        
U.S. Treasury Securities   $ 161,991,526     $     $  
Money market funds     28,383              
    $ 162,019,909     $     $  
                         
Liabilities:                        
Warrant liability (As Restated)   $     $     $ 10,943,950  
Convertible note payable (As Restated)          

      750,000  
    $     $     $ 11,693,950  

  

 Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. The public warrants transferred from Level 3 to Level 1 during the year ended December 31, 2020 as there was sufficient trading volume as of the reporting date to provide a reliable estimate of fair value. There were no transfers between levels for the years ended December 31, 2019.

 

As of December 31, 2019 the public warrants were unable to be reliably measured at fair value on a recurring basis using the price traded on an open market and therefore a Monte Carlo simulation was used to estimate the fair value as of that period. The significant unobservable input as of December 31, 2019 was the implied volatility rate of 5.4%. 

 

The Private Placement Warrants are measured at fair value on a recurring basis using a Black-Scholes option pricing model. The significant unobservable input as of December 31, 2020 and 2019 was the volatility rate implied from the public warrants, which are exchanged on an open market, of 23.8%, and 5.4%, respectively.

 

The Convertible Note was measured at fair value on a recurring basis by calculating the present value of the outstanding principal combined with the fair value of the conversion option which was valued using a Monte Carlo simulation during periods when the conversion option was effective. The significant unobservable inputs as of December 31, 2019 were the implied volatility rate of 5.4% and the discount rate of 12.9%. During the year ended December 31, 2020, the conversion option was waived and therefore the liability as of December 31, 2020 was valued solely on the present value of the outstanding principal. The significant unobservable input as of December 31, 2020 was the discount rate of 13.6%. 

 

The following table reconciles the beginning and ending balances for the Level 3 recurring fair value measurements during the periods presented:

 

               
    For the Years Ended December 31,
    2020   2019
Warrant liability                
Beginning balance   $ 10,943,950     $ 10,012,550  
Changes in fair value     18,393,350       931,400  
Transfers out of Level 3    

(13,972,500

)      
Ending balance   $ 15,364,800     $ 10,943,950  

 

                 
    For the Years Ended December 31,
    2020   2019
Convertible note payable                
Beginning balance   $ 750,000     $  
Additions     750,000       750,000  
Ending balance   $ 1,500,000     $ 750,000