Fair Value Measurements
|3 Months Ended|
Mar. 31, 2023
|Fair Value Disclosures [Abstract]|
|Fair Value Measurements||
17. Fair Value Measurements
The Company uses the following hierarchy for determining and disclosing the fair value of financial instruments by valuation technique:
•Level 1: quoted (unadjusted) prices in active markets for identical assets or liabilities;
•Level 2: other techniques for which all inputs which have a significant effect on the recorded fair value are observable, either directly or indirectly; and
•Level 3: techniques which use inputs that have a significant effect on the recorded fair value that are not based on observable market data.
The Company recognizes transfers between levels of the fair value hierarchy at the end of the reporting period during which the change has occurred.
There were no transfers between fair value levels during the year.
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2023 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.
The following table presents a reconciliation of the fair values for each level of fair value instruments is below:
The AlbaCore Warrants and Earnout Shares were valued using a Monte Carlo simulation, which is considered to be a Level 3 fair value measurement. The Earnout Shares include both Stockholder and Sponsor Earnout Shares and have equivalent terms and conditions. The primary unobservable input utilized in determining the fair value of the AlbaCore Warrants and Earnout Shares is the expected volatility of our ordinary shares. The expected volatility of the Company’s ordinary shares was determined using peer group companies ranging from 41.9% to 111.8%. Due to the nominal exercise price of the AlbaCore Warrants, changes in volatility would not result in a material change in the fair value of the warrants.
The key inputs into the Monte Carlo simulation model for the AlbaCore Warrants were as follows on the date of exercise and as of March 31, 2023:
The key inputs into the Monte Carlo simulation model for the Earnout Shares were as follows as of March 31, 2023 and December 31, 2022:
The Gain / (loss) on fair value remeasurement of Warrant liabilities for the three months ended March 31, 2023 is $(0.1) million. The Gain / (loss) on fair value remeasurement of Earnout liabilities for the three months ended March 31, 2023 is $0.4 million.
The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.
Reference 1: http://www.xbrl.org/2003/role/disclosureRef