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Recurring Fair Value Measurements

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

Recurring Fair Value Measurements

Note 7 — Recurring Fair Value Measurements

The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of June 30, 2021 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.

		June 30,				Quoted Prices In Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		2021				(Level 1)				(Level 2)				(Level 3)
Assets:
U.S. Mutual Fund held in Trust Account		$	133,003,878			$	133,003,878			$	-			$	-
		$	133,003,878			$	133,003,878			$	-			$	-
Liabilities:
Warrant Liability		$	196,416			$	-			$	-			$	196,416
		$	196,416			$	-			$	-			$	196,416

The estimated fair value of the warrant liability on March 15, 2021 and June 30, 2021 is determined using Level 3 inputs. Inherent in a Monte-Carlo simulation model are assumptions related to expected stock-price volatility (pre-merger and post-merger), expected term, dividend yield and risk-free interest rate. The Company estimates the volatility of its common stock based on management’s understanding of the volatility associated with instruments of other similar entities. The risk-free interest rate is based on the U.S. Treasury Constant Maturity similar to the expected remaining life of the warrants. The expected life of the warrants is simulated based on management assumptions regarding the timing and likelihood of completing a business combination. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. The assumptions used in calculating the estimated fair values represent the Company’s best estimate. However, inherent uncertainties are involved. If factors or assumptions change, the estimated fair values could be materially different.

The key inputs into the Monte Carlo simulation model for the warrant liability were as follows at March 15, 2021:

Input		March 15, 2021
Expected term (years)			5.99
Expected volatility			24.30	%
Risk-free interest rate			1.06	%
Stock price		$	9.36
Dividend yield			0.00	%
Exercise price		$	11.50

The key inputs into the Monte Carlo simulation model for the warrant liability were as follows at June 30, 2021:

Input		June 30, 2021
Expected term (years)			5.65
Expected volatility			17.20	%
Risk-free interest rate			0.98	%
Stock price		$	9.55
Dividend yield			0.00	%
Exercise price		$	11.50

The following table sets forth a summary of the changes in the fair value of the warrant liability for the six months ended June 30, 2021:

		Warrant Liability
Fair value as of December 31, 2020		$	-
Initial fair value of warrant liability upon issuance at IPO			270,307
Change in fair value			(73,891	)

Fair value as of June 30, 2021		$	196,416

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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