Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 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 March 31, 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 March 31,
2022		 December 31,
2021
Liabilities:  
Warrant liabilities 3  $ 1,130  $ 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:
March 31,
2022		 December 31,
2021
Stock price on valuation date $ 2.86  $ 3.71 
Exercise price per share $ 11.50  $ 11.50 
Expected life 4.5 years 4.75 years
Volatility
56.4%
56.4%
Risk-free rate
2.4%
1.2%
Dividend yield —  % —  %
Fair value per warrant $ 0.50  $ 0.73 
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, 2021
 $ 2,274 
Transfer of Private Warrants to Public Warrants
 (382)
Change in fair value (762)
Balance at March 31, 2022
 $ 1,130