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

Fair Value Measurements and Hierarchy (Tables)

v3.23.1
Fair Value Measurements and Hierarchy (Tables)
12 Months Ended
Dec. 31, 2022
Fair Value Measurements and Hierarchy  
Summary of carrying amounts of financial instruments

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

$

$

Schedule of Level 3 inputs into option pricing model

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

Summary of changes in company's 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