General form of registration statement for all companies including face-amount certificate companies

Fair Value Measurements and Hierarchy

v3.23.1
Fair Value Measurements and Hierarchy
12 Months Ended
Dec. 31, 2022
Fair Value Measurements and Hierarchy  
Fair Value Measurements and Hierarchy

Note 6: Fair Value Measurements and Hierarchy

Information about the Company’s financial liabilities measured at fair value on a recurring basis is presented below:

December 31, 2022

    

Carrying Value

    

Level 1

    

Level 2

    

Level 3

Financial liabilities:

 

  

 

  

Liability for private placement warrants

$

40

$

$

$

40

Liability for public warrants

$

1,477

$

1,477

$

$

    

December 31, 2021

Carrying Value

Level 1

Level 2

Level 3

Financial liabilities:

 

  

 

  

 

  

 

  

Liability for private placement warrants

$

502

$

$

$

502

Liability for public warrants

$

10,881

$

10,881

$

$

The key Level 3 inputs into the option pricing model related to the private placement warrants to purchase Class A common stock were as follows:

December 31,

    

2022

    

2021

Volatility

    

55

%

60

%

Risk-free interest rate

 

4.11

%

1.26

%

Exercise price

$

11.50

$

11.50

Expected term

3.9

Years

 

4.9

Years

Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the warrants would each result in a directionally similar change in the estimated fair value of the Company’s warrant liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not, and does not plan to, declare dividends on its common stock and, as such, there is no change in the estimated fair value of the warrant liabilities due to the dividend assumption.

The following table sets forth a summary of changes in the fair value of the Company’s private placement warrants, which are considered to be Level 3 fair value measurements:

    

Successor

 

  

Predecessor

    

Year

    

December 3, 2021

  

  

Ended

through

December

December 31,

January 1, 2021

31, 2022

2021

through

(Private

(Private

December 2, 2021

Placement

Placement

(Class D

Warrants)

Warrants)

Warrants)

Beginning balance

$

502

$

793

$

6,316

Mark-to-market adjustment of stock warrants

(462)

 

(291)

 

7,665

Ending balance

$

40

$

502

$

13,981

The Company recorded gains on the changes in the fair value of public warrants of $9.4 million and $2.3 million during the year ended December 31, 2022 and the Successor Period of 2021, respectively.