Quarterly report pursuant to Section 13 or 15(d)

Warrants (Tables)

v3.22.1
Warrants (Tables)
3 Months Ended
Mar. 31, 2022
Warrants and Rights Note Disclosure [Abstract]  
Schedule of Warrants Issued and Outstanding

Warrants issued and outstanding consisted of the following:

 

Balance Sheet Classification

 

March 31, 2022

 

 

December 31, 2021

 

Public Warrants

Liability

 

 

9,994,635

 

 

 

9,994,635

 

Private Placement Warrants

Liability

 

 

9,172,782

 

 

 

9,172,782

 

Series A Warrants

Liability

 

 

6,666,662

 

 

 

6,222,218

 

Term C Loan Warrants

Equity

 

 

14,999,999

 

 

 

-

 

RDO Investor Warrants

Equity

 

 

14,180,375

 

 

 

-

 

Placement Agent Warrants

Equity

 

 

992,626

 

 

 

-

 

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 March 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

Public Warrants

 

$

1,100

 

 

$

-

 

 

$

-

 

 

$

1,100

 

Private Placement Warrants

 

 

-

 

 

 

1,202

 

 

 

-

 

 

 

1,202

 

Series A Warrants

 

 

-

 

 

 

2,005

 

 

 

-

 

 

 

2,005

 

 

 

$

1,100

 

 

$

3,207

 

 

$

-

 

 

$

4,307

 

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

 

Summary of Assumptions Used to Calculate the Fair Value of Warrants

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

 

 

Private Placement Warrants

 

Series A Warrants

As of March 31, 2022

 

 

 

 

Expected remaining life

 

1.6 years

 

3.7 years

Volatility rate

 

329.0%

 

329.0%

Risk-free interest rate

 

2.0%

 

2.4%

Expected dividend rate

 

0%

 

0%

 

 

 

 

 

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%