Annual report pursuant to Section 13 and 15(d)

Recurring Fair Value Measurements

v3.21.1
Recurring Fair Value Measurements
 5 Months Ended
Dec. 31, 2020
Text Block [Abstract]  
Recurring Fair Value Measurements
Note 7 — Recurring Fair Value Measurements
Investment 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 mature 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  
    
 
 
     
 
 
     
 
 
     
 
 
  
Fair values of its investments are classified as Level 1 utilizing quoted prices (unadjusted) in active markets for identical assets.
Warrant Liability
At December 31, 2020, the Company’s warrant liability was valued at $36,549,753. 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
S
tatement of
O
perations.
Recurring Fair Value Measurements
The following table presents fair value information as of 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 of U. S. Treasury Bills or U.S. Money Market, 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 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 warrant liability is classified within Level 3 of the fair value hierarchy. For the period ending December 31, 2020 there were to transfers into or out of Level 1, Level 2 or Level 3 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:
 
    
Quoted Prices in
Active Markets

(Level 1)
     
Significant Other
Observable
Inputs

(Level 2)
     
Significant
Other
Unobservable
Inputs

(Level 3)
  
Assets
                           
Investments held in Trust Account—U.S. Money Market
    $ 95      $ —        $ —    
Investments held in Trust Account—U.S. Treasury
    $ 166,230,551      $ —        $ —    
Liabilities
                           
Public Warrants
    $ —        $ —        $ 17,605,944  
Private Warrants
    $ —        $ —        $ 18,943,809  
Measurement
The Company established the initial fair value for the Warrants on November 27, 2020, the date of the consummation of the Company’s IPO. On December 31, 2020 the fair value was remeasured. For both periods, neither the Public Warrants nor the Private Warrants were separately traded on an open market. As such, the Company used a Monte Carlo simulation model to value the Public Warrants and a modified Black-Scholes model to value the Private Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary shares and
one-half
of one Public Warrant), (ii) the sale of Private Warrants, and (iii) the issuance of Class B ordinary shares, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption (temporary equity), Class A ordinary shares (permanent equity) and Class B ordinary shares (permanent equity) based on their relative fair values at the initial measurement date. 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 Monte Carlo simulation model and the modified Black-Scholes model were as follows at initial measurement and at December 31, 2020:
 
Input
   
November 27, 2020
(Initial Measurement)
    
December 31, 2020
  
Risk-free interest rate
      0.44 %      0.43 % 
Expected term (years)
      5.0       5.0  
Expected volatility
      40.0 %      40.0 % 
Exercise price
    $ 11.50     $ 11.50  
Probability of completing a Business Combination
 
 
80
% 
 
 
80
% 
Dividend yield
 
 
0
% 
 
 
0
% 
Expected stock price at De-SPAC
    $ 10.00     $ 10.00  
The change in the fair value of the warrant liabilities for the period ended December 31, 2020 is summarized as follows:
 
Fair value at issuance November 27, 2020
    $ 36,549,753  
Change in fair value
      —    
Fair Value at December 31, 2020
    $ 36,549,753