Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Summary of Fair Value Measurements, Recurring and Nonrecurring

The Company’s financial assets and liabilities subject to fair value measurements on a recurring basis and the level of inputs used for such measurements were as follows (in thousands):

	June 30, 2022
	Level 1		Level 2		Level 3
Assets
Derivative assets	$	—	$	337	$	—
Total assets	$	—	$	337	$	—
Liabilities
Public warrants	$	1,700	$	—	$	—
Private placement warrants		—		—		800
Total liabilities	$	1,700	$	—	$	800
	December 31, 2021
	Level 1		Level 2		Level 3
Assets
Derivative assets	$	—	$	314	$	—
Total assets	$	—	$	314	$	—
Liabilities
Public warrants	$	2,701	$	—	$	—
Private placement warrants		—		—		2,133
Total liabilities	$	2,701	$	—	$	2,133

Summary of Fair Value of Significant Assumptions Utilized in the Valuation

The following table presents significant assumptions utilized in the valuation of the private placement warrants on June 30, 2022 and December 31, 2021:

	June 30, 2022			December 31, 2021
Risk-free rate		3.0	%		1.2	%
Dividend yield rate		—			—
Volatility		75.0	%		65.0	%
Contractual term (in years)		3.99			4.49
Exercise price	$	11.50		$	11.50

Summary of Change in the Fair Value of the Warrants

The following table presents changes in the fair value of the private placement warrants for the three and six months ended June 30, 2022 and 2021:

	Three months ended June 30,						Six months ended June 30,
	2022			2021			2022			2021
Balance, beginning of period	$	1,920		$	—		$	2,133		$	—
Assumed in Business Combination		—			26,400			—			26,400
Change in fair value		(1,120	)		(6,027	)		(1,333	)		(6,027	)
Balance, end of period	$	800		$	20,373		$	800		$	20,373