Quarterly report pursuant to Section 13 or 15(d)

Stock Warrants

v3.23.1
Stock Warrants
 3 Months Ended
Mar. 31, 2023
Warrants and Rights Note Disclosure [Abstract]  
Stock Warrants

Note 12. Stock Warrants

Private Placement Warrants and Public Warrants

The Private Placement Warrants were initially recognized as a liability on July 14, 2021 at a fair value of $5.7 million. The Private Placement Warrants were remeasured to a fair value of $0.5 million as of March 31, 2023. The Company recorded a gain of $0.2 million and $2.0 million, respectively, for the three months ended March 31, 2023 and 2022, which is included in change in fair value of derivative liabilities on the condensed consolidated statements of operations.

The Private Placement Warrants were valued using the following assumptions under the Binomial Lattice Model:

 

 

 

March 31,
2023

 

 

December 31, 2022

 

 

March 31,
2022

 

Market price of public stock

 

$

0.96

 

 

$

1.16

 

 

$

3.99

 

Exercise price

 

$

11.50

 

 

$

11.50

 

 

$

11.50

 

Expected term (years)

 

3.29

 

 

3.54

 

 

4.29

 

Volatility

 

 

170.0

%

 

 

177.0

%

 

 

76.0

%

Risk-free interest rate

 

 

3.74

%

 

 

4.12

%

 

 

2.42

%

Dividend rate

 

 

—

%

 

 

—

%

 

 

—

%

 

The Public Warrants were recognized in stockholder’s equity at a fair value of $9.7 million on July 14, 2021.