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

FAIR VALUE MEASUREMENTS

v3.21.2
FAIR VALUE MEASUREMENTS
 6 Months Ended 12 Months Ended
Jun. 30, 2021
Dec. 31, 2020
Fair Value Disclosures [Abstract]    
FAIR VALUE MEASUREMENTS

4. FAIR VALUE MEASUREMENTS

The following table provides the fair value measurement hierarchy of the Company’s assets and liabilities, except for those assets and liabilities that are short term in nature and approximate the fair values, as of the periods presented:

 

Level 1

  

Level 2

  

Level 3

  

Total

As of June 30, 2021

  

 

    

 

    

 

    

 

  

Assets:

  

 

    

 

    

 

    

 

  

Investment – Cansativa

  

 

—

  

 

—

  

 

1,528

  

 

1,528

Total Assets

  

 

—

  

 

—

  

 

1,528

  

 

1,528

Liabilities:

  

 

    

 

    

 

    

 

  

Loans and borrowings

  

 

—

  

 

6,559

  

 

—

  

 

6,559

Warrant liability

  

 

—

  

 

—

  

 

22,736

  

 

22,736

Convertible notes

  

 

—

  

 

27,119

  

 

—

  

 

27,119

Total Liabilities

  

$

—

  

$

33,678

  

$

22,736

  

$

56,414
   

 

    

 

    

 

    

 

  

As of December 31, 2020

  

 

    

 

    

 

    

 

  

Assets:

  

 

    

 

    

 

    

 

  

Investment – Cansativa

  

 

—

  

 

—

  

 

1,553

  

 

1,553

Total Assets

  

$

—

  

$

—

  

$

1,553

  

$

1,553

Liabilities:

  

 

    

 

    

 

    

 

  

Loans and borrowings

  

$

—

  

$

6,701

  

$

—

  

$

6,701

Warrant liability

  

 

—

  

 

—

  

 

19,061

  

$

19,061

Convertible notes

  

 

—

  

 

27,142

  

 

—

  

$

27,142

Total Liabilities

  

$

—

  

$

33,843

  

$

19,061

  

$

52,904

During the six months ended June 30, 2021, there were no transfers between fair value measurement levels.

The change in fair value of warrant liabilities related to private warrants during the six months ended June 30, 2021 and 2020 is as follows:

Private Placement Warrants

  

Total Warrant
Liability

Warrant liability at December 31, 2020

  

$

19,061

 

Change in fair value of warrant liability

  

$

4,851

 

Warrant liabilities at March 31, 2021

  

$

23,912

 

Change in fair value of warrant liabilities

  

$

(1,176

)

Warrant liabilities at June 30, 2021

  

$

22,736

 

The Company determined the fair value of its private warrants using the Monte Carlo simulation model. The following assumptions were used to determine the fair value of the Private Warrants at December 31,2020 and June 30,2021:

 

As of
   

June 30,
2021

  

December 31,
2020

Risk-free interest rate

  

 

0.76

%

  

 

0.43

%

Expected volatility

  

 

60

%

  

 

60

%

Share Price

  

$

10.15

 

  

$

8.90

 

Exercise Price

  

$

11.50

 

  

$

11.50

 

Expiration date

  

 

December 18, 2025

 

  

 

December 18, 2025

 

•        The risk-free interest rate assumptions are was based on U.S. dollar zero curve derived from swap rates at the valuation date, with a term to maturity matching the remaining term of warrants.

•        The expected volatility assumptions are based on average of historical volatility based on comparable industry volatilities of public warrants.

4. FAIR VALUE MEASUREMENTS

The following table provides the fair value measurement hierarchy of the Company’s assets and liabilities, except for those assets and liabilities that are short term in nature and approximate the fair values, as of the periods presented:

 

Level 1

  

Level 2

  

Level 3

  

Total

As of December 31, 2020

  

 

    

 

    

 

    

 

  

Assets:

  

 

    

 

    

 

    

 

  

Investment – Lift & Co

  

$

—

  

$

—

  

$

—

  

$

—

Investment – Cansativa

  

 

—

  

 

—

  

 

1,553

  

 

1,553

Total Assets

  

 

—

  

 

—

  

 

1,553

  

 

1,553

Liabilities:

  

 

    

 

    

 

    

 

  

Loans and borrowings

  

 

—

  

 

6,701

  

 

—

  

 

6,701

Warrant liability

  

 

—

  

 

—

  

 

19,061

  

 

19,061

Convertible notes

  

 

—

  

 

27,142

  

 

—

  

 

27,142

Total Liabilities (Restated)(a)

  

$

—

  

$

33,843

  

$

19,061

  

$

52,904
   

 

    

 

    

 

    

 

  

As of December 31, 2019

  

 

    

 

    

 

    

 

  

Assets:

  

 

    

 

    

 

    

 

  

Investment – Lift & Co

  

$

319

  

$

57

  

$

—

  

$

376

Investment – Cansativa

  

 

—

  

 

—

  

 

1,701

  

 

1,701

Total Assets

  

$

319

  

$

57

  

$

1,701

  

$

2,077

Liabilities:

  

 

    

 

    

 

    

 

  

Loans and borrowings

  

$

—

  

$

7,162

  

$

—

  

$

7,162

Convertible notes

  

 

 

  

 

26,566

  

 

 

$

26,566

Total Liabilities

  

$

—

  

$

33,728

  

$

—

  

$

33,728

(a)      See Note 3. for information on the restatement adjustment as of December 31, 2020.

In September 2020, Lift & Co. (“Lift”) filed for bankruptcy protection under Section 49 of the Bankruptcy and Insolvency Act of Canada. In connection with the filing, the Company fully impaired its investment in Lift and as a result, the carrying value of the Company’s common stock and warrant ownership was $nil as of December 31, 2020.

During the year ended December 31, 2020 and December 31, 2019, there were no transfers between fair value measurement levels.