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Warrants (Tables)
12 Months Ended
Dec. 31, 2021
Warrant Disclosure [Abstract]  
Schedule of Quantitative Information Regarding Fair Value Measurements

The following table provides quantitative information regarding Level 3 fair value measurements:

 

 

 

December 31, 2021

 

 

At February 10, 2021
(Closing Date)

 

Stock price

 

$

8.50

 

 

$

10.42

 

Strike price

 

$

11.50

 

 

$

11.50

 

Term (in years)

 

 

4.1

 

 

 

5.0

 

Volatility

 

 

47.8

%

 

 

35.3

%

Risk-free rate

 

 

1.1

%

 

 

0.5

%

Dividend yield

 

 

0.0

%

 

 

0.0

%

Fair value per Warrants

 

$

1.91

 

 

$

2.64

 

Schedule of Fair Values for Outstanding Warrants

The Company determined the following fair values for the outstanding Warrants (in thousands):

 

 

 

December 31,
2021

 

Public Warrants

 

$

9,056

 

Private Warrants

 

 

406

 

Forward Purchase Warrants

 

 

1,575

 

Total

 

$

11,037

 

Summary of Changes in liabilities classified in Level 3 of the fair value hierarchy

The following presents changes in liabilities classified in Level 3 of the fair value hierarchy for the year ended December 31, 2021 (in thousands):

 

 

 

Year Ended December 31, 2021

 

Beginning balance

 

$

 

Recognition of Private Warrants liability upon Closing Date

 

 

475

 

Change in fair value of Private Warrants liability recognized in earnings

 

 

(69

)

Ending balance

 

$

406