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