Quarterly report pursuant to Section 13 or 15(d)

Recurring Fair Value Measurements (Tables)

v3.21.2
Recurring Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2021
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Summary of Held To Maturity Securities
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  
    
 
 
     
 
 
     
 
 
     
 
 
  
 
Summary of Key Inputs in Monte Carlo simulation model
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  
Summary of Change in Fair Value of Warrant Liabilities
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.
Fair Value, Recurring [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Summary of Financial Assets and Liabilities at Fair Value on Recurring Basis
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