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Fair Value Measurements

3 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 9 — Fair Value Measurements

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

September 30, 2021
		Quoted Prices in Active				Significant Other Observable				Significant Other Unobservable
		Markets				Inputs				Inputs
Description		(Level 1)				(Level 2)				(Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities		$	116,778,424			$	-			$	-
Liabilities:
Derivative warrant liabilities - Public		$	2,898,000			$	-			$	-
Derivative warrant liabilities - Private		$	-			$	-			$	2,911,680

June 30, 2021

		Quoted Prices in Active				Significant Other Observable				Significant Other Unobservable
		Markets				Inputs				Inputs
Description		(Level 1)				(Level 2)				(Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities		$	116,760,907			$	-			$	-
Liabilities:
Derivative warrant liabilities - Public		$	3,507,500			$	-			$	-
Derivative warrant liabilities - Private		$	-			$	-			$	3,635,450

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers between levels in the three months ended September 30, 2021 or 2020.

Level 1 instruments include investments in mutual funds invested in government securities and Public Warrants. The Company uses actual trade data to determine the fair value of its investments.

The fair value of the Private Placement Warrants are measured using a Monte Carlo simulation model. The fair value of Public Warrants issued in connection with the Initial Public Offering are measured based on the listed market price of such warrants, a Level 1 measurement. For the three months ended September 30, 2021, the Company recognized income resulting from an decrease in the fair value of liabilities of $1.3 million, presented as change in fair value of derivative warrant liabilities on the accompanying condensed statements of operations.

The estimated fair value of the Private Placement 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 common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s 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:

		As of June 30, 2021				As of September 30, 2021
Volatility			13	%			10.8	%
Stock price		$	9.93			$	9.98
Probability of Business Combination			80	%			80	%
Expected life of the options to convert			5.46				5.46
Risk-free rate			0.9	%			1.05	%
Dividend yield			0.0	%			0.0	%

The change in the fair value of the derivative warrant liabilities, classified as level 3, for the period for the three months ended September 30, 2021 is summarized as follows:

Derivative warrant liabilities - Level 3, at June 30, 2021 - Level 3		$	3,635,450
Change in fair value of derivative warrant liabilities, Level 3			(723,770	)
Derivative warrant liabilities - Level 3, at September 30, 2021 - Level 3		$	2,911,680

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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