Quarterly report pursuant to Section 13 or 15(d)

SHARE-BASED COMPENSATION (Tables)

v3.21.1
SHARE-BASED COMPENSATION (Tables)
3 Months Ended
Mar. 31, 2021
Share-based Payment Arrangement [Abstract]  
Schedule of Share-based Payment Award, Stock Options, Valuation Assumptions
The following table presents the weighted-average assumptions used in the Black-Scholes-Merton option pricing model to determine the fair value of stock options and RSUs granted during periods presented:
Three Months Ended
March 31, 2021
Expected term
5.00 - 6.25
Risk-free interest rate
0.78 - 1.02%
Expected dividend yield
0.0%
Expected volatility 90  %
Schedule of Share-based Payment Arrangement, Option, Activity
The following table summarizes the Company’s stock option activity since December 31, 2020:
Stock Options
Weighted-Average
Exercise Price
 
Weighted-Average
Remaining
Contractual
Term (Years)
Aggregate Intrinsic Value
Balance as at December 31, 2020 896,888  $ 5.22  3.96 $ 2,889 
Granted 51,434  $ 14.40  9.92
Exercised —  $ —  —  $ — 
Forfeited —  $ —  — 
Balance as at March 31, 2021 948,322  $ 6.15  4.06 $ 3,922 
Vested and expected to vest as at March 31, 2021 937,041  $ 6.10  4.07 $ 3,923 
Vested and exercisable as at March 31, 2021 494,776  $ 6.17  3.71 $ 2,102 
Schedule of Unvested Restricted Stock Units Roll Forward The following table summarizes the changes in the Company’s time-based restricted share unit activity during the three months ended March 31, 2021:
Restricted Share Units
Weighted-Average
Grant Date Fair Value
Unvested as of December 31, 2020 78,634  $ 3.25 
Granted 338,393  14.33 
Vested (7,713) 14.40 
Canceled/forfeited —  — 
Unvested as of March 31, 2021 409,314  $ 12.47 
The following table summarizes the changes in the Company’s market-based restricted share unit activity during the three months ended March 31, 2021:
Restricted Share Units
Weighted-Average
Grant Date Fair Value
Unvested as of December 31, 2020   $  
Granted 1,038,718  13.89 
Vested —  — 
Canceled/forfeited —  — 
Unvested as of March 31, 2021 1,038,718  $ 13.89 
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