Registration of securities issued in business combination transactions

Fair Value Measurements

v3.21.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 9 — Fair Value Measurements

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

    June 30,     Quoted
Prices In
Active
Markets
    Significant
Other
Observable
Inputs
    Significant
Other
Unobservable
Inputs
 
    2021     (Level 1)     (Level 2)     (Level 3)  
Assets:                                
U.S. Money Market held in Trust Account   $ 116,155,315     $ 116,155,315     $     $  
Liabilities:                                
Public Warrants Liability   $ 5,289,425     $ 5,289,425     $     $  
Private Placement Warrants Liability     241,681                   241,681  
Fair value of liabilities   $ 5,531,106     $ 5,289,425     $     $ 241,681  

 

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Condensed Balance Sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the Condensed Statement of Operations.

 

 

The Company established the initial fair value of the Public Warrants and Private Warrants on January 14, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model. On June 30, 2021, the Company established the fair value of the Private Warrants using a Monto Carlo simulation model, and the fair value of the Public Warrants by reference to the quoted market price. The Public Warrants have traded on Nasdaq stock market since January 14, 2021 under the trading symbol BCYPW. The Public and Private Warrants were classified as Level 3 at June 30, 2021 and the Private Warrants were classified as Level 3 at June 30, 2021 due to the use of unobservable inputs. As of June 30, 2021, the Public Warrants were transferred to Level 1 due to the use of the quoted market price.

 

The following table presents the changes in the fair value of the Level 3 liabilities:

    Private Placement Warrants    

Public

Warrants

    Warrant Liabilities  
Fair Value as of December 31, 2020   $     $     $  
Initial measurement on January 14, 2021     249,963       6,775,220       7,025,183  
Change in valuation     (8,282 )     (1,485,795 )     (1,494,077 )
Transferred to Level 1           (5,289,425 )     (5,289,425 )
Balance, June 30, 2021   $ 241,681     $     $ 241,681  

 

The key inputs into the Monte Carlo simulation as of January 14, 2021 and June 30, 2021 were as follows:

    (Initial Measurement)        
Inputs   January 14, 2021     June 30, 2021  
Risk-free interest rate     0.60 %     0.90 %
Expected term remaining (years)     5.67       5.19  
Expected volatility     24.2 %     19.8 %
Stock price   $ 9.41     $ 9.96