Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2022		Fair Value at June 30, 2022		Fair Value at February 4, 2022		Gain (Loss) Three Months Ended September 30, 20221		Gain (Loss) Nine Months Ended September 30, 20221
Private Warrants derivative liability	3	$	662	$	3,693	$	3,916	$	3,031	$	3,254
Forward share purchase agreements derivative liability 2	3	—		17,763		14,170		3,939		346
Escrow Shares derivative liability	3	47		3,481		6,868		3,434		6,821
Stockholder earn-out rights derivative liability	3	288		12,147		26,131		11,859		25,843
Total		$	997	$	37,084	$	51,085	22,264		$	36,264

1 Totals may not foot due to rounding.

2 The forward share purchase agreements were settled effective August 1, 2022, at which time the fair value was $13,824 based on cash settlement.

Schedule of Valuation Assumptions

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

	September 30, 2022		June 30, 2022		February 4, 2022
Exercise price	$	11.50	$	11.50	$	11.50
Stock price	$	0.68	$	4.50	$	6.53
Volatility	98.0%		51.6%		34.3%
Term (in years)	4.34		4.59		5.00
Risk-free rate	4.1%		3.0%		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:

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

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

	September 30, 2022		June 30, 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	$	0.68	$	4.50	$	6.53
Volatility	79.0%		68.0%		64.0%
Term (in years)	2.34		2.59		3.00
Risk-free rate	4.2%		3.0%		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:

	September 30, 2022		June 30, 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	$	0.68	$	4.50	$	6.53
2022 Revenue assumption	$	47,500	$	49,500	$	55,500
Volatility	79.0%		68.0%		64.0%
Term (in years)	2.34		2.59		3.00
Risk-free rate	4.2%		3.0%		1.6%
Dividend yield	0.0%		0.0%		0.0%