Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE MEASUREMENTS

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FAIR VALUE MEASUREMENTS
 9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
FAIR VALUE MEASUREMENTS 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 September 30, 2021
Assets:
Investment – Cansativa —  1,514  1,514 
Total Assets $ —  $ —  $ 1,514  $ 1,514 
Liabilities:
Loans and borrowings —  5,979  —  5,979 
Warrant liability —  —  13,671  13,671 
Convertible notes —  20,127  —  20,127 
Total Liabilities $ —  $ 26,106  $ 13,671  $ 39,777 
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 nine months ended September 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 nine months ended September 30, 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 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 
Change in fair value of warrant liabilities $ (9,065)
Warrant liabilities at September 30, 2021 $ 13,671 

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 September 30, 2021 and December 31, 2020:
As of
September 30,
2021		 December 31,
2020
Risk-free interest rate
0.80%
0.43%
Expected volatility
60%
60%
Share Price
$7.76
$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.