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Financial Instruments | 3 Months Ended
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Mar. 31, 2023
Investments, All Other Investments [Abstract] |
Financial Instruments | Note 19. Financial Instruments Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. The fair value hierarchy ranks the inputs used in measuring fair value as follows:
| ○ | Level 1 – Observable, unadjusted quoted prices in active markets
| ○ | Level 2 – Inputs other than quoted prices included in Level 1 that are directly or indirectly observable for the asset or liability
| ○ | Level 3 – Unobservable inputs with little or no market activity that require the Company to use reasonable inputs and assumptions
The Company uses fair value measurements to record adjustments to certain financial assets and liabilities on a recurring basis. The Company may be required to record certain assets at fair value on a nonrecurring basis in specific circumstances, such as evidence of impairment. Methodologies used to determine fair value might be highly subjective and judgmental in nature; therefore, valuations may not be precise. If the Company determines that a valuation technique change is necessary, the change is assumed to have occurred at the end of the respective reporting period. Assets and Liabilities Reported at Fair Value on a Recurring Basis Public Warrants: Public warrants are recorded at fair value on a recurring basis. The Company obtains dealer quotes, of Level 1 inputs, based on observable data to value these warrants. Private Placement Warrants Private Placement Warrants are recorded at fair value on a recurring basis. The Company value these derivatives based on third party reports for Level 3 inputs. Level 3 inputs, based on observable data to value these derivatives. PIPE Warrants PIPE Warrants are recorded at fair value on a recurring basis. The Company value these derivatives based on third party reports for Level 3 inputs. Level 3 inputs, based on observable data to value these derivatives. Forward purchase option derivatives: Forward purchase option derivatives are recorded at fair value on a recurring basis. The Company values these derivatives based on third party reports for Level 3 inputs. Level 3 inputs, based on observable data to value these derivatives. The following tables summarize financial assets and liabilities recorded at fair value on a recurring basis, by the level of valuation inputs in the fair value hierarchy on March 31, 2023 and December 31,2022: Schedule of Fair Value Assets and Liabilities Measured on Recurring Basis March 31, 2023:
|  | Total Fair Value |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Unobservable Inputs (Level 3) |
Description |  |  |  |  |  |  |  |  |  |  |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Public warrants |  | $ | 150,650 |  |  |  | 150,650 |  |  |  | - |
Private placement warrants |  |  | 7,953 |  |  |  | - |  |  |  | 7,953 |
PIPE Warrants |  |  | 74,762 |  |  |  | - |  |  |  | 74,762 |
Forward purchase option derivative |  |  | 7,309,580 |  |  |  | - |  |  |  | 7,309,580 |
Liabilities,fair value |  |  | 7,309,580 |  |  |  | - |  |  |  | 7,309,580 |
December 31, 2022:
|  | Total Fair Value |  |  | Quoted Prices in Active Markets (Level 1) |  |  | Significant Other Unobservable Inputs (Level 3) |
Description |  |  |  |  |  |  |  |  |  |  |  |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Public warrants |  | $ | 361,100 |  |  |  | 361,100 |  |  |  | - |
Private placement warrants |  |  | 19,110 |  |  |  | - |  |  |  | 19,110 |
PIPE Warrants |  |  | 286,300 |  |  |  | - |  |  |  | 286,300 |
Forward purchase option derivative |  |  | 7,309,580 |  |  |  | - |  |  |  | 7,309,580 |
Liabilities, fair value |  |  | 7,309,580 |  |  |  | - |  |  |  | 7,309,580 |
Assets Measured at Fair Value on a Nonrecurring Basis There were no assets or liabilities recorded at fair value on a nonrecurring basis for the three months periods ended March 31, 2023 and for the year ended as on December 31, 2022, respectively. Fair Value of Financial Instruments The Company uses various methodologies and assumptions to estimate the fair value of certain financial instruments. With the exceptions of loans receivable, warrants and forward purchase option derivatives, the Company considers the carrying amounts of its financial instruments (cash, accounts receivable and accounts payable) in the balance sheet to approximate fair value because of the short-term or highly liquid nature of these financial instruments. The following tables present the carrying amounts and fair values of financial instruments, by the level of valuation inputs in the fair value hierarchy, as of the dates indicated: Schedule of Carrying Amounts and Fair Values of Financial Instruments by the Level of Valuation Inputs in the Fair Value Hierarchy
|  |  |  |  |  |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
|  | As on March 31, 2023 |
|  | Carrying amount |  |  | Fair value |  |  | Fair value measurement using |
|  |  |  |  |  |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 8,628,752 |  |  | $ | 8,628,752 |  |  | $ | 8,628,752 |  |  |  | - |  |  |  | - |
Forward purchase receivables |  |  | 4,584,221 |  |  |  | 4,584,221 |  |  |  | 4,584,221 |  |  |  | - |  |  |  | - |
Loans |  |  | 413,292 |  |  |  | 365,781 |  |  |  | - |  |  |  | - |  |  |  | 365,781 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deferred consideration |  |  | 17,272,308 |  |  |  | 17,272,308 |  |  |  | 17,272,308 |  |  |  | - |  |  |  | - |
Senior Secured Promissory note |  |  | 14,500,000 |  |  |  | 14,500,000 |  |  |  | 14,500,000 |  |  |  | - |  |  |  | - |
Indemnity liability |  |  | 1,147,832 |  |  |  | 1,147,832 |  |  |  | 1,147,832 |  |  |  | - |  |  |  | - |
Public warrants |  |  | 150,650 |  |  |  | 150,650 |  |  |  | 150,650 |  |  |  | - |  |  |  | - |
Private placement warrants |  |  | 7,953 |  |  |  | 7,953 |  |  |  | - |  |  |  | - |  |  |  | 7,953 |
PIPE Warrants |  |  | 74,762 |  |  |  | 74,762 |  |  |  | - |  |  |  | - |  |  |  | 74,762 |
Forward purchase derivative |  |  | 7,309,580 |  |  |  | 7,309,580 |  |  |  | - |  |  |  | - |  |  |  | 7,309,580 |
|  |  |  |  |  |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
|  | As on December 31, 2022 |
|  | Carrying amount |  |  | Fair value |  |  | Fair value measurement using |
|  |  |  |  |  |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 8,390,195 |  |  | $ | 8,390,195 |  |  | $ | 8,390,195 |  |  |  | - |  |  |  | - |
Forward purchase receivables |  |  | 4,584,221 |  |  |  | 4,584,221 |  |  |  | 4,584,221 |  |  |  |  |  |  |  | - |
Loans |  |  | 1,301,991 |  |  |  | 1,241,761 |  |  |  | - |  |  |  | - |  |  |  | 1,241,761 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deferred consideration |  |  | 14,359,822 |  |  |  | 14,359,822 |  |  |  | 14,359,822 |  |  |  | - |  |  |  | - |
Due to seller - current portion |  |  | 25,973,017 |  |  |  | 25,973,017 |  |  |  | 25,973,017 |  |  |  | - |  |  |  | - |
Due to seller - long term position |  |  | 30,976,783 |  |  |  | 30,976,783 |  |  |  | 30,976,783 |  |  |  | - |  |  |  | - |
Deferred underwriter fee payable |  |  | 1,450,500 |  |  |  | 1,450,500 |  |  |  | 1,450,500 |  |  |  | - |  |  |  | - |
Indemnity liability |  |  | 499,465 |  |  |  | 499,465 |  |  |  | 499,465 |  |  |  | - |  |  |  | - |
Public warrants |  |  | 361,100 |  |  |  | 361,100 |  |  |  | 361,100 |  |  |  | - |  |  |  | - |
Private placement warrants |  |  | 19,110 |  |  |  | 19,110 |  |  |  | - |  |  |  | - |  |  |  | 19,110 |
PIPE Warrants |  |  | 286,300 |  |  |  | 286,300 |  |  |  | - |  |  |  | - |  |  |  | 286,300 |
Forward purchase derivative |  |  | 7,309,580 |  |  |  | 7,309,580 |  |  |  | - |  |  |  | - |  |  |  | 7,309,580 |
The change in the assets measured at fair value on a recurring basis for which we have utilized Level 3 inputs to determine fair value are presented in the following table: Schedule of Fair Value Assets Measured on Recurring Basis
|  | PIPE Warrants |  |  | Private Placement Warrants |  |  | Forward purchase derivative |
|  | For the three months ended March 31, 2023 |
|  | PIPE Warrants |  |  | Private Placement Warrants |  |  | Forward purchase derivative |
Balance at the beginning of the period |  | $ | 286,300 |  |  |  | 19,110 |  |  |  | 7,309,580 |
Fair value adjustment |  |  | (211,538 | ) |  |  | (11,157 | ) |  |  | - |
Balance at the end of the period |  | $ | 74,762 |  |  |  | 7,953 |  |  |  | 7,309,580 |
The private placement warrants and PIPE warrants are measured at fair value using a Black-Scholes model and Black-Scholes-Merton model, respectively. As of March 31, 2023, these warrants were valued based on third party reports for Level 3 inputs. Level 3 inputs, based on observable data to value these derivatives. The fair value of the forward purchase derivative was estimated using a Monte-Carlo Simulation in a risk-neutral framework (a special case of the Income Approach). Specifically, the future stock price is simulated assuming a Geometric Brownian Motion (“GBM”). For each simulated path, the forward purchase value is calculated based on the contractual terms and then discounted at the term-matched risk-free rate. Finally, the value of the forward is calculated as the average present value over all simulated paths. The Company measured the fair value of the forward purchase option derivative upon execution of the Forward Purchase Agreement and as of December 31, 2022, with the respective fair value adjustments recorded within its Statements of Operations. The Company will continue to monitor the fair value of the forward option derivative each reporting period with subsequent revisions to be recorded in the Statements of Operations. The following table provides quantitative information regarding Level 3 fair value measurements inputs as it relates to the private placement warrants and public warrants as of their measurement dates: Schedule of Level 3 Fair Value Measurement Inputs
As on March 31, 2023 |  | PIPE Warrants |  |  | Private placement warrants |
Exercise price |  | $ | 5.00 |  |  | $ | 11.50 |
Share Price |  | $ | 0.51 |  |  | $ | 0.51 |
Expected term (years) |  |  | 4.49 |  |  |  | 4.49 |
Volatility |  |  | 73.2 | % |  |  | 73.2 | %
Risk-free rate |  |  | 3.62 | % |  |  | 3.62 | %
As on December 31,2022 |  | PIPE Warrants |  |  | Private placement warrants |
Exercise price |  | $ | 5.00 |  |  | $ | 11.50 |
Share Price |  | $ | 1.78 |  |  | $ | 1.78 |
Expected term (years) |  |  | 4.74 |  |  |  | 4.74 |
Volatility |  |  | 46.00 | % |  |  | 46.00 | %
Risk-free rate |  |  | 4.00 | % |  |  | 3.98 | %
The following table provides quantitative information regarding Level 3 fair value measurements inputs as it relates to the forward purchase derivatives as of their measurement dates on March 31,2023 and December 31,2022: Schedule of Level 3 Fair Value Measurements Inputs
|  | March 31, 2023 |
Reset Price |  | $ | 5.00 |
Expected term (years) |  |  | 2.74 |
Additional maturity consideration per share |  | $ | 2.00 |
Volatility |  |  | 46 | %
Risk-free rate |  |  | 4.2 | %
Risk-adjusted discount rate |  |  | 13.4 | %
|  | December 31, 2022 |
Reset Price |  | $ | 5.00 |
Expected term (years) |  |  | 2.74 |
Additional maturity consideration per share |  | $ | 2.00 |
Volatility |  |  | 46 | %
Risk-free rate |  |  | 4.2 | %
Risk-adjusted discount rate |  |  | 13.4 | %

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- Definition The entire disclosure for financial instruments. This disclosure includes, but is not limited to, fair value measurements of short and long term marketable securities, international currencies forward contracts, and auction rate securities. Financial instruments may include hedging and non-hedging currency exchange instruments, derivatives, securitizations and securities available for sale at fair value. Also included are investment results, realized and unrealized gains and losses as well as impairments and risk management disclosures. + References No definition available. + Details
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