Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2021
Summary of Assets and Liabilities at Fair Value on a Recurring Basis
   
December 31, 2021
  
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Marketable securities
  
$
-
    
$
49,896
    
$
-
    
$
49,896
  
 
                                
Total financial assets
  
$
-
    
$
49,896
    
$
-
    
$
49,896
  
Liabilities:
                                
Warrants (1)
  
$
-
    
$
-
    
$
1,639
    
$
1,639
  
                                 
Total financial liabilities
  
$
-
    
$
-
    
$
1,639
    
$
1,639
  
Summary of the Binomial (Lattice) Valuation Model Assumptions used to Record the Fair Value of the Warrants
   
Year ended
December 31,
2021
  
Balance as of December 31, 2020
  
$
-
  
Private warrants liability assumed in Transactions
    
7,291
  
Change in fair value of warrants liability
    
(1,216
)
Reclassification of warrants liability to equity
    
(4,436
)
Balance as of December 31, 2021
  
$
1,639
  
Summary of Change in the Level 3 Warrant Liability
   
As of
  
   
April 5,
    
December 31,
  
   
2021
    
2021
  
Fair vale determined per warrant
  
 
 $3.8    
 
 $3.46  
Expected volatility
     50%
 
     90%
 
Expected annual dividend yield
     0%
 
     0%
 
Expected term (years)
     5.0       4.3  
Risk-free rate
     0.9%
 
     1.2%