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Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Summary of Liabilities Measured at Fair Value on Recurring Basis

The Company’s liabilities that are measured at fair value on a recurring basis consist of the following (in thousands):

As of June 30, 2022

 

Quoted Prices in
Active Markets for
Identical Liabilities
(Level 1)

 

 

Significant Other
Observable Inputs
(Level 2)

 

 

Significant
Unobservable Inputs
(Level 3)

 

Public warrant liabilities

 

$

3,963

 

 

$

—

 

 

$

—

 

Private placement warrant liabilities

 

$

—

 

 

$

—

 

 

$

1,897

 

 

As of December 31, 2021

 

Quoted Prices in
Active Markets for
Identical Liabilities
(Level 1)

 

 

Significant Other
Observable Inputs
(Level 2)

 

 

Significant
Unobservable Inputs
(Level 3)

 

Public warrant liabilities

 

$

14,356

 

 

$

—

 

 

$

—

 

Private placement warrant liabilities

 

$

—

 

 

$

—

 

 

$

9,705

 
Schedule of Changes in Private Placement Warrant Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs

The private placement warrants were initially recognized as a liability in connection with the Business Combination on September 1, 2021. The following summarizes the changes in the Company’s private placement warrant liabilities, which are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the respective periods:

 

 

Three Months Ended June 30,

 

 

Six Months Ended June 30,

 

($ in thousands)

 

2022

 

 

2021

 

 

2022

 

 

2021

 

Beginning balance

 

$

7,530

 

 

$

—

 

 

$

9,705

 

 

$

—

 

Change in fair value of private placement warrants included in net income

 

 

(5,633

)

 

 

—

 

 

 

(7,808

)

 

 

—

 

Ending balance

 

$

1,897

 

 

$

—

 

 

$

1,897

 

 

$

—

 
Schedule of Fair Value of Private Placement Warrants Estimated Using Black-Scholes-Merton Option Pricing Model

The range of assumptions used in the Black-Scholes-Merton option-pricing model to determine the fair value of the private placement warrants during the six months ended June 30, 2022 are as follows:

Volatility

 

47.00% - 62.75%

Stock price

 

$2.18 - $5.03

Expected life of the options to convert (in years)

 

4.169 - 4.419

Risk-free rate

 

2.43% - 3.00%

Dividend yield

 

0.00%