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CONTINGENT FORWARD CONTRACTS (Tables)
 3 Months Ended
Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Valuation Assumptions
The fair value of the Series E convertible preferred stock contingent forward contract liability for the third closing was determined using a forward payoff. The Company’s inputs used in determining the fair value on the issuance date and settlement date, were as follows:
Stock Price$13.79 
Volatility100.00 %
Expected term (in years)0.01
Risk-free rate0.03 %
The fair value of the Series E convertible preferred stock contingent forward contract liability for the fourth closing was determined using a forward and an option payoff. The Company’s inputs used in determining the fair value on the issuance date were as follows:
Fair value of Series E convertible preferred share$13.79 
Volatility100.00 %
Expected term (in years)0.11
Risk-free rate0.03 %
The fair value of the Private Placement Warrants that were subject to the contingent forfeiture provisions were as follows:
July 23, 2021
Fair value of Tranche 1 with $20.00 VWAP threshold per share
$18.16 
Fair value of Tranche 2 with $25.00 VWAP threshold per share
$18.07 
Fair value of Tranche 3 with $30.00 VWAP threshold per share
$17.92 

The fair value of the Private Placement Warrants that are not subject to the contingent forfeiture provisions was estimated using a Black-Scholes option pricing model, and were as follows:

March 31, 2022December 31, 2021
Fair value of Private Placement Warrants per share
$19.65 $31.45 
The level 3 fair value inputs used in the Monte-Carlo simulation models and Black-Scholes option pricing models were as follows:
March 31, 2022December 31, 2021
Volatility85.00 %85.00 %
Expected term (in years)4.3 4.6 
Risk-free rate2.43 %1.20 %
Dividend yield— %— %