General form of registration statement for all companies including face-amount certificate companies

Fair Value Measurements (Tables)

v3.22.2.2
Fair Value Measurements (Tables)
6 Months Ended 12 Months Ended
Jun. 30, 2022
Dec. 31, 2021
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 June 30, 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    

June 30,

2022

    December 31, 2021  
Liabilities:                        
Warrant liability - Private Warrants     3     $ 43,065     $ 128,375  

The following table presents information about the Company’s liability measured at fair value on a recurring basis at December 31, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

Description   Level     December 31,
2021
    December 31,
2020
 
Liabilities:                        
Warrant liability - Private Warrants     3     $ 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 June 30, 2022:

 

Input   June 30,
2022
 
Risk-free interest rate     3.0 %
Dividend yield     0.0 %
Selected volatility     79.6 %
Exercise price   $ 11.50  
Market stock price   $ 0.88  

The key inputs into the binomial lattice model incorporating the Cox-Ross-Rubenstein methodology for the Private Warrants were as follows as at December 31, 2021:

 

Input   July 20,
2021
    December 31,
2021
 
Risk-free interest rate     0.7 %     1.2 %
Dividend yield     0.0 %     0.0 %
Selected volatility     31.5 %     49.7 %
Exercise price   $ 11.50     $ 11.50  
Market stock price   $ 9.20     $ 3.95  
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:

Schedule of Changes in Fair Value of Warrant Liabilities 

Warrant Fair Values   Private  
Fair value as of December 31, 2021   $ 128,375  
Change in fair value     (85,310 )
Fair value as of June 30, 2022   $ 43,065  

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

 

Warrant Fair Values   Private  
Fair value as of July 20, 2021   $ 381,175  
Change in fair value     (252,800 )
Fair value as of December 31, 2021   $ 128,375