Quarterly report pursuant to Section 13 or 15(d)

Recurring Fair Value Measurements

v3.21.2
Recurring Fair Value Measurements
 6 Months Ended
Jun. 30, 2021
Text Block [Abstract]  
Recurring Fair Value Measurements
Note 7 — Recurring Fair Value Measurements
Investments Held in Trust Account
As of December 31, 2020, the investments in the Company’s Trust Account consisted of $95 in U.S. Money Market funds and $166,243,519 in U.S. Treasury Securities. All of the U.S. Treasury Securities matured on May 27, 2021. The Company classifies its United States Treasury securities as
held-to-maturity
in accordance with FASB ASC 320 “Investments — Debt and Equity Securities.”
Held-to-maturity
treasury securities are recorded at amortized cost and adjusted for the amortization or accretion of premiums or discounts. The Company considers all investments with original maturities of more than three months but less than one year to be short-term investments. The carrying value approximates the fair value due to its short-term maturity.
The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on December 31, 2020 are as follows:
 
    
Carrying
Value/
Amortized
Cost
     
Gross
Unrealized
Gains
     
Gross
Unrealized
Losses
     
Fair Value as of
December 31,
2020
  
U.S. Money Market
    $ 95      $ —        $ —        $ 95  
U.S. Treasury Securities
      166,243,519        10,751        (12,968 )       166,230,551  
    
 
 
     
 
 
     
 
 
     
 
 
  
     $ 166,243,614      $ 10,751      $ (12,968 )     $ 166,230,646  
    
 
 
     
 
 
     
 
 
     
 
 
  
 
At June 30, 2021, all of the Company’s trust assets on the consolidated balance sheet consist of U. S. Money Market funds which are classified as cash equivalents. Fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets.
Warrant Liability
At June 30, 2021 and December 31, 2020, the Company’s warrant liability was valued at
 $41,166,837 
and $36,549,753, respectively. Under the guidance in ASC 815-40 the warrants do not meet the criteria for equity treatment. As such, the warrants must be recorded on the balance sheet at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations. 
Recurring Fair Value Measurements
The following tables presents fair value information as of June 30, 2021 and December 31, 2020 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. Since all of the Company’s permitted investments consist U.S. Money Market funds, fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets. The Company’s warrant liability for the Private Warrants is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The fair value of the Private Warrant liability is classified within Level 3 of the fair value hierarchy. The Company’s warrant liability for the Public Warrants is based on quoted prices (unadjusted) with less volume and transaction frequency than active markets. The fair value of the Public Warrant liability is classified within Level 2 of the fair value hierarchy. For the period ending June 30, 2021 the Public Warrants were reclassified from a Level 3 to a Level 2 classification.
The following table sets forth by level within the fair value hierarchy our financial assets and liabilities that were accounted for at fair value on a recurring basis:
June 30, 2021
 
     (Level 1)      (Level 2)      (Level 3)  
Assets
                           
Investments held in Trust Account—U.S. Money Market
    $ 166,290,257      $ —        $ —    
Invest Liabilities
                           
Public Warrants
    $ —        $ 19,980,699      $ —    
Private Warrants
    $ —        $ —        $ 21,186,138  
December 31, 2020
 
 
  
(Level 1)
 
  
(Level 2)
 
  
(Level 3)
 
Assets
  
      
  
      
  
      
Investments held in Trust Account—T-Bills
  
$
166,232,864
 
  
$
—  
 
  
$
—  
 
Invest Liabilities
  
      
  
      
  
      
Public Warrants
  
$
—  
 
  
$
17,605,944
 
  
$
—  
 
Private Warrants
  
$
—  
 
  
$
—  
 
  
$
18,943,809
 
Measurement
On June 30, 2021 and December 31, 2020, the Company used a modified Black-Scholes model to value the Private Warrants. The warrants were classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs.
The key inputs into the modified Black Scholes model were as follows at December 31, 2020 and at June 30, 2021:
 
Input    December 31, 2020     June 30, 2021  
Risk-free interest rate
      0.43 %      0.90 % 
Expected term (years)
      5.0       5.17  
Expected volatility
      40.0 %      32.5 % 
Exercise price
    $ 11.50     $ 11.50  
Probability of completing a Business Combination
      80 %      N/A  
Dividend yield
      0 %      0 % 
Expected stock price at
De-SPAC
    $ 10.00     $ 10.31  
The following table provides a reconciliation of changes in fair value of the beginning and ending balances for our Warrants classified as Level 3:
 
Fair value at December 31, 2020
    $ 36,549,753  
Public Warrants reclassified to level 2
(1)
      (17,933,496 ) 
Change in fair value
      2,569,881  
Fair Value at June 30, 2021
    $ 21,186,138  
 
(1)
Assumes the Public Warrants were reclassified on March 31, 2021.