Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.22.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assumptions
The fair value of the Private Warrants was estimated at June 30, 2022 and December 31, 2021 using a Black-Scholes options pricing model and the following assumptions:
Input June 30, 2022 December 31, 2021
Asset price $ 6.20 $ 10.74
Exercise price $ 11.50 $ 11.50
Risk-free interest rate 2.99% 1.04%
Expected volatility 48.0% 41.0%
Expected term (years) 2.99 3.49
Dividend yield 0.0% 0.0%
Schedule of Changes in Fair Value of Warrants The changes in the warrant liabilities during the six months ended June 30, 2022 were as follows (in thousands):
Fair value of warrant liabilities as of December 31, 2021 $ 2,053 
Transfer of Private Warrants to Public Warrants (605)
Change in fair value of warrant liabilities in Q1 2022 (861)
Fair value of warrant liabilities as of March 31, 2022 587 
Change in fair value of warrant liabilities in Q2 2022 (193)
Fair value of warrant liabilities as of June 30, 2022 $ 394