XML 52 R35.htm IDEA: XBRL DOCUMENT v3.22.0.1
CONVERTIBLE PREFERRED STOCK WARRANT LIABILITY (Tables)
 12 Months Ended
Dec. 31, 2021
Warrants and Rights Note Disclosure [Abstract]  
Schedule of Valuation Assumptions
The fair value of the Series E convertible preferred stock contingent forward contract liability for the third closing was determined using a forward payoff. The Company’s inputs used in determining the fair value on the issuance date and settlement date, were as follows:
Stock Price$13.79 
Volatility100.00 %
Expected term (in years)0.01
Risk-free rate0.03 %
The fair value of the Series E convertible preferred stock contingent forward contract liability for the fourth closing was determined using a forward and an option payoff. The Company’s inputs used in determining the fair value on the issuance date were as follows:
Fair value of Series E convertible preferred share$13.79 
Volatility100.00 %
Expected term (in years)0.11
Risk-free rate0.03 %
The Company’s assumptions used in determining the fair value of convertible preferred stock warrants on December 31, 2020 were as follows:
December 31,
2020
Volatility50.00 %
Expected term (in years)
0.5 - 1.5
Risk-free rate
0.09 – 0.12%
Expected dividend rate0.00 %
The fair value of the private warrants that were subject to the contingent forfeiture provisions were as follows:
July 23, 2021
Fair value of Tranche 1 with $20.00 VWAP threshold per share
$18.16 
Fair value of Tranche 2 with $25.00 VWAP threshold per share
$18.07 
Fair value of Tranche 3 with $30.00 VWAP threshold per share
$17.92 

The fair value of the private warrants that are not subject to the contingent forfeiture provisions was estimated using a Black-Scholes option pricing model, and were as follows:

December 31, 2021July 23, 2021
Fair value of private warrants per share$31.45 $18.44 
The level 3 fair value inputs used in the Monte-Carlo simulation models and Black-Scholes option pricing models were as follows:
December 31, 2021July 23, 2021
Volatility85.00 %80.00 %
Expected term (in years)4.6 5.0 
Risk-free rate1.20 %0.72 %
Dividend yield— %— %