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Warrants (Tables)
3 Months Ended
Mar. 31, 2022
Warrants and Rights Note Disclosure [Abstract]  
Summary of Number of Outstanding Public and Private Placement Warrants and Corresponding Exercise Price

The following table summarizes the number of outstanding Public Warrants and Private Placement Warrants and the corresponding exercise price:

 

 

March 31,

 

 

December 31,

 

 

 

 

 

 

 

2022

 

 

2021

 

 

Exercise Price

 

 

Expiration Date

Public Warrants

 

10,541,667

 

 

 

10,541,667

 

 

$

11.50

 

 

December 21, 2026

Private Placement Warrants

 

5,432,237

 

 

 

5,432,237

 

 

$

11.50

 

 

December 21, 2026

Schedule of Key Inputs into Monte Carlo Simulation Model for Private Placement Warrants at Initial and Subsequent Measurement Date

The key inputs into the Monte Carlo simulation model for the Private Placement were as follows:

 

 

March 31,

 

 

December 31,

 

 

2022

 

 

2021

 

Risk-free interest rate

 

2.41

%

 

 

1.25

%

Dividend yield

 

0.00

%

 

 

0.00

%

Expected term (years)

 

4.73

 

 

 

4.98

 

Expected Volatility

 

30.90

%

 

 

35.30

%

Exercise Price

$

11.50

 

 

$

11.50

 

Stock Price

$

9.84

 

 

$

5.87

 

Schedule of Changes in Fair Value of Public and Private Placement Warrants

The following table presents the changes in the fair value of the Public and Private Placement Warrants:

 

 

Public Warrants

 

 

Private Placement Warrants

 

 

Total Warrant Liabilities

 

Fair value as of December 31, 2021

$

7,168

 

 

$

4,998

 

 

$

12,166

 

Change in valuation inputs or other assumptions

 

7,696

 

 

 

8,240

 

 

 

15,936

 

Fair value as of March 31, 2022

$

14,864

 

 

$

13,238

 

 

$

28,102