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Warrants (Tables)
9 Months Ended
Sep. 30, 2022
Warrant Disclosure [Abstract]  
Schedule of Quantitative Information Regarding Level 3 Fair Value Measurements

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

 

 

 

September 30, 2022

 

 

December 31, 2021

 

Stock price

 

$

2.24

 

 

$

8.50

 

Strike price

 

$

11.50

 

 

$

11.50

 

Term (in years)

 

 

3.4

 

 

 

4.1

 

Volatility

 

 

67.7

%

 

 

47.8

%

Risk-free rate

 

 

4.1

%

 

 

1.1

%

Dividend yield

 

 

0.0

%

 

 

0.0

%

Schedule of Fair Values for Outstanding Warrants

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

 

 

 

September 30,
2022

 

Public Warrants

 

$

958

 

Private Placement Warrants

 

 

46

 

Forward Purchase Warrants

 

 

167

 

Total

 

$

1,171

 

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 nine months ended September 30, 2022 (in thousands):

 

 

 

Nine Months Ended

 

 

 

September 30, 2022

 

Beginning balance

 

$

406

 

Change in fair value of Private Warrants liability recognized in earnings

 

 

(360

)

Ending balance

 

$

46