Fair Value Measurements

6 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 9.  Fair Value Measurements

The following table presents information about the Company’s financial assets and financial liabilities that are measured at fair value on a recurring basis as of December 31, 2020 by level within the fair value hierarchy:

Description	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	$	116,728,736	$	-	$	-
Liabilities:
Derivative warrant liabilities	$	-	$	-	$	7,411,400

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between levels of the hierarchy in during the three and six months ended December 31, 2020.

The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model at each measurement date. For the period three and six months ended December 31, 2020, the Company recognized a gain of $0.2 million change in fair value of derivative warrant liabilities as presented in the unaudited condensed statement of operations, respectively .

The estimated fair value of the Private Placement Warrants, and the Public Warrants is determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its Class A common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s Class A common stock that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their  measurement:

	Initial Measurment			As of December  31, 2020
Volatility		15-16.5%			15-16.5%
Stock price	$	10.00		$	10.00
Probability of Business Combination		80	%		80	%
Expected life of the options to convert		6			5.96
Risk-free rate		0.5	%		0.5	%
Dividend yield		0.0	%		0.0	%

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the three and six months ended December 31, 2020 is summarized as follows:

Derivative warrant liabilities at June 30, 2020	$	-
Issuance of Public and Private Warrants, Level 3 measurements		7,595,400
Change in fair value of derivative warrant liabilities, Level 3		(184,000	)
Derivative warrant liabilities - Level 3, at December 31, 2020	$	7,411,400