XML 31 R16.htm IDEA: XBRL DOCUMENT
v3.23.2

Fair Value Measurements | 3 Months Ended | 12 Months Ended
--- | --- | ---
Mar. 31, 2023 | Dec. 31, 2022
Fair Value Disclosures [Abstract] |  |
Fair Value Measurements | Note 9. Fair Value Measurements The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022, by level within the fair value hierarchy: March 31, 2023
Description |  | 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 – money market fund |  | $ | 353,653,029 |  | $ | — |  | $ | —
Liabilities: |  |  |  |  |  |  |  |  |
Derivative warrant liabilities – Public |  | $ | 12,506,250 |  | $ | — |  | $ | —
Derivative warrant liabilities – Private Placement |  | $ | — |  | $ | — |  | $ | 16,772,000
December 31, 2022
Description |  | 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 – money market fund |  | $ | 349,942,773 |  | $ | — |  | $ | —
Liabilities: |  |  |  |  |  |  |  |  |
Derivative warrant liabilities – Public |  | $ | 10,781,250 |  | $ | — |  | $ | —
Derivative warrant liabilities – Private Placement |  | $ | — |  | $ | — |  | $ | 14,051,190
Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 measurement as the Public Warrants were separately traded beginning in August 2021. There were no other transfers to/from Levels 1, 2, and 3 during the three months ended March 31, 2023 and 2022. Level 1 assets include investments in money market funds invested in government securities and Level 1 liabilities include Public Warrants. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments. The Public Warrants and the Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model. While the fair value of the Private Placement Warrants continues to be measured under a Monte Carlo simulation model, subsequent to the Public Warrants being traded on an active market, the fair value of the Public Warrants has since been based on the observable listed prices for such warrants. As of March 31, 2023 and December 31, 2022, the fair value of the Public Warrants was estimated at their listed public trading price. The estimated fair value of the Private Placement Warrants is determined using Level 3 inputs. Inherent in a Monte Carlo simulation model with the volatility calculated by back solving in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. Any changes in these assumptions can change the valuation significantly. The following table provides quantitative information regarding Level 3 fair value measurement inputs at their measurement dates:
|  | March 31, 2023 |  | December 31, 2022
Exercise price |  | $ | 11.50 |  |  | $ | 11.50 |
Stock price |  | $ | 10.24 |  |  | $ | 10.17 |
Volatility |  |  | 15.01 | % |  |  | 10.36 | %
Term |  |  | 5.17 |  |  |  | 5.33 |
Risk-free rate |  |  | 3.56 | % |  |  | 3.95 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the three months ended March 31, 2023 and 2022, is summarized as follows:
Derivative warrant liabilities at December 31, 2022 |  | $ | 14,051,190 |
Change in fair value of derivative warrant liabilities |  |  | 2,720,810 |
Derivative warrant liabilities at March 31, 2023 |  | $ | 16,772,000 |
Derivative warrant liabilities at December 31, 2021 |  | $ | 17,140,250 |
Change in fair value of derivative warrant liabilities |  |  | (10,305,950 | )
Derivative warrant liabilities at March 31, 2022 |  | $ | 6,834,300 |
| Note 9. Fair Value Measurements The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2022 and 2021, by level within the fair value hierarchy: December 31, 2022
Description |  | 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 – money market fund |  | $ | 349,942,773 |  | $ | — |  | $ | —
Liabilities: |  |  |  |  |  |  |  |  |
Derivative warrant liabilities – Public |  | $ | 10,781,250 |  | $ | — |  | $ | —
Derivative warrant liabilities – Private Placement |  | $ | — |  | $ | — |  | $ | 14,051,190
December 31, 2021
Description |  | 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 – money market fund |  | $ | 345,044,341 |  | $ | — |  | $ | —
Liabilities: |  |  |  |  |  |  |  |  |
Derivative warrant liabilities – Public |  | $ | 12,937,500 |  | $ | — |  | $ | —
Derivative warrant liabilities – Private Placement |  | $ | — |  | $ | — |  | $ | 17,140,250
Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 measurement as the Public Warrants were separately traded beginning in August 2021. There were no other transfers to/from Levels 1, 2, and 3 during the year ended December 31, 2022 and for the period from February 2, 2021 (inception) through December 31, 2021. Level 1 assets include investments in money market funds invested in government securities, and Level 1 liabilities include Public Warrants. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments. The Public Warrants and the Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model. While the fair value of the Private Placement Warrants continues to be measured under a Monte Carlo simulation model, subsequent to the Public Warrants being traded on an active market, the fair value of the Public Warrants has since been based on the observable listed prices for such warrants. As of December 31, 2021, the fair value of the Public Warrants was estimated at their listed public trading price. For the year ended December 31, 2022 and for the period from February 2, 2021 (inception) through December 31, 2021, the Company recognized a income/(loss) in the consolidated statements of operations resulting from a decrease (increase) in the fair value of derivative warrant liabilities of approximately $5.2 million and approximately ($6.7 million) presented as a change in fair value of derivative warrant liabilities on the accompanying consolidated statements of operations. The estimated fair value of the Private Placement Warrants is determined using Level 3 inputs. Inherent in a Monte Carlo simulation model with the volatility calculated by back solving in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. Any changes in these assumptions can change the valuation significantly. The following table provides quantitative information regarding Level 3 fair value measurements inputs as their measurement dates:
|  | December 31, 2022 |  | December 31, 2021
Exercise price |  | $ | 11.50 |  |  | $ | 11.50 |
Stock price |  | $ | 10.17 |  |  | $ | 10.00 |
Volatility |  |  | 10.36 | % |  |  | 21.82 | %
Term |  |  | 5.33 |  |  |  | 5.46 |
Risk-free rate |  |  | 3.95 | % |  |  | 1.30 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the year ended December 31, 2022 and for the period February 2, 2021 (inception) through December 31, 2021, is summarized as follows:
Derivative warrant liabilities at February 2, 2021 |  | $ | — |
Issuance of Public and Private Placement Warrants |  |  | 21,160,000 |
Loss upon issuance of Private Placement Warrants |  |  | 2,175,000 |
Transfer of Public Warrants to Level 1 |  |  | (11,471,250 | )
Change in fair value of derivative warrant liabilities |  |  | 5,276,500 |
Derivative warrant liabilities at December 31, 2021 |  |  | 17,140,250 |
Change in fair value of derivative warrant liabilities |  |  | (3,089,060 | )
Derivative warrant liabilities at December 31, 2022 |  | $ | 14,051,190 |

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition 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. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration