Post-effective amendment to a registration statement that is not immediately effective upon filing

Fair Value Measurements

v3.22.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2021
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 December 31, 2021

  

 

    

 

    

 

    

 

  

Assets:

  

 

    

 

    

 

    

 

  

Investment – Cansativa

  

 

—

  

 

—

  

 

1,458

  

 

1,458

Total Assets

  

$

—

  

$

—

  

$

1,458

  

$

1,458

Liabilities:

  

 

    

 

    

 

    

 

  

Loans and borrowings

  

 

—

  

 

7,396

  

 

—

  

 

7,396

Warrant liability

  

 

—

  

 

—

  

 

2,205

  

 

2,205

Convertible notes

  

 

—

  

 

17,699

  

 

—

  

 

17,699

Total Liabilities

  

$

—

  

$

25,095

  

$

2,205

  

$

27,300

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 years ended December 31, 2021 and December 31, 2020, there were no transfers between fair value measurement levels.

The change in fair value of warrant liabilities related to private warrants during the year ended December 31, 2021 is as follows:

Private Placement Warrants:

  

Total Warrant
Liability

Warrant liability at December 31, 2020

  

$

19,061

 

Change in fair value of warrant liability

  

 

(16,856

)

Warrant liability at December 31, 2021

  

$

2,205

 

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 as of December 31, 2021 and December 31, 2020:

 

As of
   

December 31,
2021

  

December 31,
2020

Risk-free interest rate

  

 

1.11

%

  

 

0.43

%

Expected volatility

  

 

60

%

  

 

60

%

Share Price

  

$

3.10

 

  

$

8.90

 

Exercise Price

  

$

11.50

 

  

$

11.50

 

Expiration date

  

 

December 18, 2025

 

  

 

December 18, 2025

 

•        The risk-free interest rate assumptions are 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.