Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assets Measured on Recurring Basis

The following table presents information about the Company’s liability measured at fair value on a recurring basis at March 31, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

 

Description

 

Level

 

 

March 31, 2022

 

 

December 31, 2021

 

Liabilities:

 

 

 

 

 

 

 

 

 

Warrant liability - Private Warrants

 

 

3

 

 

$

83,061

 

 

$

128,375

 

Schedule of Binomial Lattice Model for Private Warrants

The key inputs into the binomial lattice model incorporating the Cox-Ross-Rubenstein methodology for the Private Warrants were as follows as at March 31, 2022:

 

Input

 

March 31, 2022

 

Risk-free interest rate

 

 

2.4

%

Dividend yield

 

 

0.0

%

Selected volatility

 

 

77.2

%

Exercise price

 

$

11.50

 

Market stock price

 

$

1.25

 

Schedule of Changes in Fair Value of Warrant Liabilities

The following table presents the change in the fair value of warrant liabilities for the period:

 

Warrant Fair Values

 

Private

 

Fair value as of December 31, 2021

 

$

128,375

 

Change in fair value

 

 

(45,314

)

Fair value as of March 31, 2022

 

$

83,061