XML 39 R29.htm IDEA: XBRL DOCUMENT v3.22.2.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assumptions
The fair value of the Private Warrants was estimated at September 30, 2022 and December 31, 2021 using a Black-Scholes options pricing model and the following assumptions:
InputSeptember 30, 2022December 31, 2021
Asset price$3.84$10.74
Exercise price$11.50$11.50
Risk-free interest rate4.24%1.04%
Expected volatility62.0%41.0%
Expected term (years)2.743.49
Dividend yield0.0%0.0%
Schedule of Changes in Fair Value of Warrants The changes in the warrant liabilities during the nine months ended September 30, 2022 were as follows (in thousands):
Fair value of warrant liabilities as of December 31, 2021$2,053 
Transfer of Private Warrants to Public Warrants(605)
Change in fair value of warrant liabilities in Q1 2022(861)
Fair value of warrant liabilities as of March 31, 2022587 
Change in fair value of warrant liabilities in Q2 2022(193)
Fair value of warrant liabilities as of June 30, 2022394 
Change in fair value of warrant liabilities in Q3 2022(186)
Fair value of warrant liabilities as of September 30, 2022$208