Quarterly report pursuant to Section 13 or 15(d)

CAPITAL STOCK (Tables)

v3.21.1
CAPITAL STOCK (Tables)
3 Months Ended
Mar. 31, 2021
Equity [Abstract]  
Fair Value Measurement Inputs and Valuation Techniques
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 March 31, 2021:
March 31, 2021
Risk-free interest rate 1.00%
Expected volatility 60  %
Share price $ 10.29 
Exercise price $ 11.50 
Expiration date 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 and implied volatility of public warrants.
The following table presents the weighted-average assumptions used in the Monte Carlo simulation model to determine the fair value of the market-based restricted share units granted in the three months ended March 31, 2021:

Three Months Ended
March 31, 2021
Grant date share price $ 14.40 
Risk-free interest rate 0.5  %
Expected dividend yield 0.0  %
Expected volatility 90  %
Expected life (in years)
1.8 - 3.8