Annual report pursuant to Section 13 and 15(d)

Warrant Liabilities (Tables)

v3.22.1
Warrant Liabilities (Tables)
12 Months Ended
Dec. 31, 2021
Warrants and Rights Note Disclosure [Abstract]  
Schedule of Liabilities Measured at Fair Value on Recurring Basis

The following tables present the Company's fair value hierarchy for liabilities measured at fair value on a recurring basis:

 

 

Quoted prices in active markets
(Level 1)

 

 

Other observable inputs
(Level 2)

 

 

Unobservable inputs
(Level 3)

 

 

Total

 

As of December 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

Public Warrants

 

$

752

 

 

$

-

 

 

$

-

 

 

$

752

 

Private Placement Warrants

 

 

-

 

 

 

871

 

 

 

-

 

 

 

871

 

Series A Warrants

 

 

-

 

 

 

1,934

 

 

 

-

 

 

 

1,934

 

 

 

$

752

 

 

$

2,805

 

 

$

-

 

 

$

3,557

 

As of December 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

Public Warrants

 

$

254

 

 

$

-

 

 

$

-

 

 

$

254

 

Private Placement Warrants

 

 

-

 

 

 

248

 

 

 

-

 

 

 

248

 

Series A Warrants

 

 

-

 

 

 

1,117

 

 

 

-

 

 

 

1,117

 

 

 

$

254

 

 

$

1,365

 

 

$

-

 

 

$

1,619

 

Summary of Assumptions Used to Calculate Fair Value for Private Placement Warrants and Series A Warrants

The following assumptions were used to calculate the fair value for the private placement and Series A Warrants:

 

 

Private Placement Warrants

 

Series A Warrants

As of December 31, 2021

 

 

 

 

Expected remaining life

 

1.9 years

 

3.9 years

Volatility rate

 

227.5%

 

227.5%

Risk-free interest rate

 

0.7%

 

1.1%

Expected dividend rate

 

0%

 

0%

 

 

 

 

 

As of December 31, 2020

 

 

 

 

Expected remaining life

 

2.86 years

 

4.9 years

Volatility rate

 

115.8%

 

115.8%

Risk-free interest rate

 

0.2%

 

0.4%

Expected dividend rate

 

0%

 

0%

Schedule of Activities, Including Changes in Fair Values of Warrant Liabilities

The following table summarizes the activities, including changes in fair values of the Company’s warrant liabilities for the periods indicated:

 

 

December 31,

 

 

 

2021

 

 

2020

 

Balance at beginning of period

 

$

1,619

 

 

$

8,147

 

Reclassification of warrant liability upon forfeiture

 

 

(232

)

 

 

(203

)

Change in fair value of warrant liabilities

 

 

2,152

 

 

 

(6,342

)

Amortization of warrant issuance costs

 

 

18

 

 

 

17

 

Balance at end of period

 

$

3,557

 

 

$

1,619