Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Schedule of assets and liabilities that are measured at fair value on a recurring basis The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description
  
Level
    
December 31, 2021
    
December 31, 2020
 
Liabilities:
                          
Warrant liabilities
     3      $ 2,274      $ —    
Schedule of key inputs
The significant unobservable inputs used in the Binomial Lattice Model to measure the warrant liabilities that are categorized within Level 3 of the fair value hierarchy are as follows:
 
    
December 31, 2021
   
At Closing
(September
29, 2021)
 
Stock price on valuation date
   $ 3.71     $ 8.54  
Exercise price per share
   $ 11.50     $ 11.50  
Expected life
     4.75 years       5 years  
Volatility
     56.4     43.9
Risk-free rate
     1.2     1.0
Dividend yield
     —       —  
    
 
 
   
 
 
 
Fair value per warrant
   $ 0.73     $ 2.57  
    
 
 
   
 
 
 
Schedule of changes in the fair value of warrant liabilities
The following table provides a summary of changes in fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis:
 
    
Warrant
Liabilities
 
Balance at December 31, 2020
   $ —    
Additions pursuant to Merger
     11,865  
Transfer of Private Warrants to Public Warrants
     (1,485
Change in fair value
     (8,106
    
 
 
 
Balance at December 31, 2021
   $ 2,274