Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2.2
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2022
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 September 30,
2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description Level September 30,
2022		 December 31,
2021
Liabilities:  
Warrant liabilities 3  $ 46  $ 2,274 
Earnout liability
 3  $ 1,116  $ — 
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:
September 30,
2022		 December 31,
2021
Stock price on valuation date $ 0.63  $ 3.71 
Exercise price per share $ 11.50  $ 11.50 
Expected life 4.00 years 4.75 years
Volatility 82.5  % 56.4  %
Risk-free rate 4.1  % 1.2  %
Dividend yield —  % —  %
Fair value per warrant $ 0.06  $ 0.73 
Schedule of changes in the fair value of warrant and earnout 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, 2021
 $ 2,274 
Transfer of Private Warrants to Public Warrants
 (670)
Change in fair value (1,558)
Balance at September 30, 2022
 $ 46 
The following table provides a summary of change in the balance of the earnout liability which is included within the other current liabilities within the balance sheet:
Earnout Liability
Balance at December 31, 2021
 $ — 
Recognition of Linear earnout liability 2,900 
Change in fair value (1,784)
Balance at September 30, 2022
 $ 1,116