Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Summary of fair value hierarchy

Description

    

Level

    

September 30, 2021

    

December 31, 2020

Liabilities:

Warrant liabilities (Note 10)

3

$

775,263

$

Earnout Cash liability (Note 4)

 

3

$

26,283,238

$

Schedule of significant unobservable inputs

The significant unobservable inputs used in the Black-Scholes model to measure the warrant liability that are categorized within Level 3 of the fair value hierarchy are as follows:

    

September 30, 2021

    

At Effective Time

 

Stock price on valuation date

$

9.27

$

11.62

Exercise price per share

$

11.50

$

11.50

Expected life

 

4.65

 

4.9

Volatility

 

85.9%

 

35.7%

Risk-free rate

 

0.9%

 

0.85%

Dividend yield

 

%

 

%

Fair value of warrants

$

5.69

$

3.78

Common stock warrants  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Schedule of reconciliation of liabilities

A reconciliation of warrant liabilities is included below:

    

Fair Value

Balance as of December 31, 2020

$

Additions pursuant to Merger

 

1,983,674

Gain upon re-measurement

 

(1,468,649)

Balance as of June 30, 2021

515,025

Loss upon re-measurement

260,238

Balance as of September 30, 2021

$

775,263

Earnout Cash liability  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Schedule of reconciliation of liabilities

A reconciliation of the Earnout Cash liability is included below:

    

Fair Value

Balance as of December 31, 2020

$

Additions pursuant to Merger

 

25,520,195

Loss upon re-measurement

 

354,701

Balance as of June 30, 2021

25,874,896

Loss upon re-measurement

408,342

Balance as of September 30, 2021

$

26,283,238