Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table presents information about the Company’s derivative liabilities that are measured at fair value on a recurring basis beginning February 4, 2022 (the date of closing of the Business Combination) when the derivative liabilities were assumed, and discloses the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level	Fair Value at June 30, 2022		Fair Value at March 31, 2022		Fair Value at February 4, 2022		Gain (Loss) Three Months Ended June 31, 20221		Gain (Loss) Six Months Ended June 31, 20221
Private Warrants derivative liability	3	$	3,693	$	7,989	$	3,916	$	4,296	$	223
Forward share purchase agreements derivative liability	3	17,763		7,452		14,170		$	(10,311)	$	(3,593)
Escrow Shares derivative liability	3	3,481		10,129		6,868		$	6,648	$	3,387
Stockholder earn-out rights derivative liability	3	12,147		35,912		26,131		$	23,765	$	13,984
Total		$	37,084	$	61,482	$	51,085	24,397		$	14,000

1 Totals may not foot due to rounding

Schedule of Valuation Assumptions

The Private Warrants were valued using a Black-Scholes model and the following Level 3 inputs:

	June 30, 2022		March 31, 2022		February 4, 2022
Exercise price	$	11.50	$	11.50	$	11.50
Stock price	$	4.50	$	8.28	$	6.53
Volatility	51.6%		36.7%		34.3%
Term (in years)	4.59		4.85		5.00
Risk-free rate	3.0%		2.4%		1.8%
Dividend yield	0.0%		0.0%		0.0%

The FPAs were valued using a Black-Scholes model and the following Level 3 inputs:

	June 30, 2022		March 31, 2022		February 4, 2022
Exercise price - one agreement	$	10.31	$	10.16	$	10.16
Exercise price - three agreements	$	10.16	$	10.01	$	10.01
Stock price	$	4.50	$	8.28	$	6.53
Volatility	70.4%		72.6%		63.9%
Term (in years)	0.09		0.09		0.24
Risk-free rate	1.3%		0.2%		0.2%
Dividend yield	0.0%		0.0%		0.0%

The Escrow Shares derivative liability was calculated using a binomial lattice model and the following Level 3 inputs:

	June 30, 2022		March 31, 2022		February 4, 2022
First stock price trigger	$	13.50	$	13.50	$	13.50
Second stock price trigger	$	15.50	$	15.50	$	15.50
Stock price	$	4.50	$	8.28	$	6.53
Volatility	68.0%		63.0%		64.0%
Term (in years)	2.59		2.85		3.00
Risk-free rate	3.0%		2.4%		1.6%
Dividend yield	0.0%		0.0%		0.0%

The stockholder earn-out rights were valued using a binomial lattice model and the following Level 3 inputs:

	June 30, 2022		March 31, 2022		February 4, 2022
First stock price trigger	$	13.50	$	13.50	$	13.50
Second stock price trigger	$	15.50	$	15.50	$	15.50
First revenue trigger	$	65,000	$	65,000	$	65,000
Second revenue trigger	$	101,000	$	101,000	$	101,000
Stock price	$	4.50	$	8.28	$	6.53
2022 Revenue assumption	$	49,500	$	55,500	$	55,500
Volatility	68.0%		63.0%		64.0%
Term (in years)	2.59		2.85		3.00
Risk-free rate	3.0%		2.4%		1.6%
Dividend yield	0.0%		0.0%		0.0%