Recurring Fair Value Measurements (Tables)
|
3 Months Ended |
Mar. 31, 2021 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Schedule of fair value of held to maturity securities |
The carrying value, excluding gross unrealized holding
loss and fair value of held to maturity securities on March 31, 2021 are as follows:
| |
|
Carrying
Value/
Amortized
Cost |
|
|
Gross
Unrealized
Gains |
|
|
Gross
Unrealized
Losses |
|
|
Fair Value
as of
March 31,
2021 |
|
| U.S. Money Market |
|
$ |
658 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
658 |
|
| U.S. Treasury Securities |
|
|
116,175,933 |
|
|
|
2,655 |
|
|
|
- |
|
|
|
116,178,588 |
|
| |
|
$ |
116,176,591 |
|
|
$ |
2,655 |
|
|
$ |
- |
|
|
$ |
116,179,246 |
|
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 |
|
$ |
379 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
379 |
|
| U.S. Treasury Securities |
|
|
116,162,094 |
|
|
|
1,154 |
|
|
|
- |
|
|
|
116,163,248 |
|
| |
|
$ |
116,162,473 |
|
|
$ |
1,154 |
|
|
$ |
- |
|
|
$ |
116,163,627 |
|
|
| Summary of changes in carrying value of investment held in Trust Account |
The following table sets forth a summary of the changes
in the carrying value of the investment held in Trust Account during the three months ended March 31, 2021:
| |
|
U.S. Money Market |
|
|
U.S. Treasury Securities |
|
| Carrying value as of January 1, 2021 |
|
$ |
379 |
|
|
$ |
116,162,094 |
|
| Amortization of interest income through the settlement date on February 4, 2021 |
|
|
- |
|
|
|
7,906 |
|
| Settlement on February 4, 2021 |
|
|
116,170,000 |
|
|
|
(116,170,000 |
) |
| Investment in Treasury Securities |
|
|
(116,169,721 |
) |
|
|
116,169,721 |
|
| Amortization of interest income through March 31, 2021 |
|
|
- |
|
|
|
6,212 |
|
| Carrying value as of March 31, 2021 |
|
$ |
658 |
|
|
$ |
116,175,933 |
|
|
| Schedule of assets and liabilities measured at fair value on a recurring basis |
The following table presents information about the
Company’s assets and liabilities that were measured at fair value on a recurring basis as of March 31, 2021, and indicates the fair
value hierarchy of the valuation techniques the Company utilized to determine such fair value.
| |
|
March 31, |
|
|
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 |
|
$ |
658 |
|
|
$ |
658 |
|
|
$ |
- |
|
|
$ |
- |
|
| U.S. Treasury Securities held in Trust Account |
|
|
116,175,933 |
|
|
|
116,175,933 |
|
|
|
- |
|
|
|
- |
|
| |
|
$ |
116,176,591 |
|
|
$ |
116,176,591 |
|
|
$ |
- |
|
|
$ |
- |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrant Liability |
|
$ |
8,761,750 |
|
|
$ |
7,590,000 |
|
|
$ |
- |
|
|
$ |
1,171,750 |
|
| |
|
$ |
8,761,750 |
|
|
$ |
7,590,000 |
|
|
$ |
- |
|
|
$ |
1,171,750 |
|
The following table presents information about the
Company’s assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2020, and indicates the
fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.
| |
|
December 31, |
|
|
Quoted
Prices In
Active
Markets |
|
|
Significant
Other
Observable
Inputs |
|
|
Significant
Other
Unobservable
Inputs |
|
| |
|
2020 |
|
|
(Level 1) |
|
|
(Level 2) |
|
|
(Level 3) |
|
| Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Money Market held in Trust Account |
|
$ |
379 |
|
|
$ |
379 |
|
|
$ |
- |
|
|
$ |
- |
|
| U.S. Treasury Securities held in Trust Account |
|
|
116,162,094 |
|
|
|
116,162,094 |
|
|
|
- |
|
|
|
- |
|
| |
|
$ |
116,162,473 |
|
|
$ |
116,162,473 |
|
|
$ |
- |
|
|
$ |
- |
|
| Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Warrant Liability |
|
$ |
12,372,000 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
12,372,000 |
|
| |
|
$ |
12,372,000 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
12,372,000 |
|
|
| Schedule of the fair value of the warrant liability |
The following table sets forth a summary of the changes
in the fair value of the warrant liability during the three months ended March 31, 2021:
| |
|
Warrant Liability |
|
| Fair value as of January 1, 2021 |
|
$ |
12,372,000 |
|
| Revaluation of warrant liability included in other income within the statement of income for the three months ended March 31, 2021 |
|
|
(3,610,250 |
) |
| Fair value as of March 31, 2021 |
|
$ |
8,761,750 |
|
|
| Schedule of assumption used |
The key inputs into the Monte Carlo simulation model
for the Private Placement Warrants were as follows at March 31, 2021 and December 31, 2020:
| Input |
|
March 31,
2021 |
|
|
December 31,
2020 |
|
| Expected term (years) |
|
|
5.31 |
|
|
|
5.59 |
|
| Expected volatility |
|
|
30.0 |
% |
|
|
29.0 |
% |
| Risk-free interest rate |
|
|
0.99 |
% |
|
|
0.44 |
% |
| Annual dividends |
|
$ |
0.00 |
|
|
$ |
0.00 |
|
|