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Fair Value Measurements

9 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 as of September 30, 2021 and December 31, 2020 by level within the fair value hierarchy:

		Fair Value Measured as of September 30, 2021
		Level 1				Level 2				Level 3				Total
Assets:
Investments held in Trust Account - money market fund holding solely U.S. Treasury Securities		$	115,000,482			$	—			$	—			$	115,000,482
Liabilities:
Public Warrant liabilities		$	5,175,000			$	—			$	—			$	5,175,000
Private Placement Warrant liabilities			—				3,420,000				—				3,420,000
Total Warrant liabilities		$	5,175,000			$	3,420,000			$	—			$	8,595,000

		Fair Value Measured as of December 31, 2020
		Level 1				Level 2				Level 3				Total
Assets:
Investments held in Trust Account - U.S. Treasury Securities		$	115,020,078			$	—			$	—			$	115,020,078
Liabilities:
Public Warrant liabilities		$	—			$	—			$	5,443,335			$	5,443,335
Private Placement Warrant liabilities			—				—				3,597,335				3,597,335
Total Warrant liabilities		$	—			$	—			$	9,040,670			$	9,040,670

The Company utilized a Monte Carlo simulation to estimate the fair value of the Public Warrants and Private Placement Warrants at December 31, 2020, and used the quoted price of the Public Warrants on the Nasdaq Stock Market at September 30, 2021 to estimate the fair value of both the Public Warrants and Private Placement Warrants at that date.

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period. Effective March 31, 2021, the fair value of the Public Warrant liabilities was reclassified from Level 3 to Level 1, and the fair value of the Private Placement Warrants was reclassified from Level 3 to Level 2.

Level 1 assets include investments in money market funds that invest solely in U.S. Treasury securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

The following table presents the changes in the fair value of warrant liabilities measured using Level 3 inputs during the nine months ended September 30, 2021:

		Public Warrants				Private Placement Warrants				Total Warrant Liabilities

Fair value as of December 31, 2020		$	5,443,335			$	3,597,335			$	9,040,670

Transfers to Levels 1 and 2			(5,443,335	)			(3,597,335	)			(9,040,670	)

Fair value as of September 30, 2021		$	0			$	0			$	0

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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