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

Fair Value Measurements (Tables)

v3.21.4
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assets Measured on Recurring Basis

The following table presents information about the Company’s liability measured at fair value on a recurring basis at September 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

 

Level

 

 

September 30, 2021

 

 

December 31, 2020

 

Liabilities:

 

 

 

 

 

 

 

 

 

Warrant liability - Private Warrants

 

 

3

 

 

$

167,875

 

 

$

-

 

Schedule of Binomial Lattice Model for Private Warrants

The key inputs into the binomial lattice model incorporating the Cox-Ross-Rubenstein methodology for the Private Warrants were as follows at September 30, 2021:

 

Input

 

July 20, 2021

 

September 30, 2021

 

Risk-free interest rate

 

 

0.7

%

 

1.0

%

Dividend yield

 

 

0.0

%

 

0.0

%

Selected volatility

 

 

31.5

%

 

42.5

%

Exercise price

 

$

11.50

 

$

11.50

 

Market stock price

 

$

9.20

 

$

5.35

 

Schedule of Changes in Fair Value of Warrant Liabilities

The following table presents the change in the fair value of warrant liabilities for the period:

 

Warrant Fair Values

 

Private

 

Fair value as of July 20, 2021

 

$

381,175

 

Change in fair value

 

 

(213,300

)

Fair value as of September 30, 2021

 

$

167,875