Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Schedule of company's assets that are measured at fair value on a recurring basis

The following presents the Company’s fair value hierarchy for assets and liabilities measured at fair value on non-recurring basis as of June 30, 2022.


	Level 1		Level 2		Level 3		Total
Assets:
Marketable securities held in Trust Account – U.S. Money Market	$	345,180,030	$	—	$	—	$	345,180,030
Forward purchase unit assets		—		—		546,000		546,000
Liabilities:
Warrant liabilities		(3,789,250)		(3,645,025)		—		(7,434,275)
Forward purchase unit liabilities		—		—		—		—
Total	$	341,390,780	$	(3,645,025)	$	546,000	$	338,291,755

The following presents the Company’s fair value hierarchy for assets and liabilities measured at fair value on non-recurring basis as of December 31, 2021.


	Level 1		Level 2		Level 3		Total
Assets:
Marketable securities held in Trust Account – U.S. Money Market	$	345,015,191	$	—	$	—	$	345,015,191
Liabilities:
Warrant liabilities		(15,410,000)		(14,150,374)		—		(29,560,374)
Forward purchase unit liabilities		—		—		(3,297,294)		(3,297,294)
Total	$	329,605,191	$	(14,150,374)	$	(3,297,294)	$	312,157,523

Schedule of quantitative information regarding Level 3 fair value measurements inputs


	Forward Purchase
Inputs	Units
Exercise price	$	10.00
Volatility		4.00% pre-merger/ 4.00% post-merger
Expected term to business combination		0.48 year
Risk-free rate		2.50	%
Dividend yield		0.00	%
Stock price	$	9.71

The following table presents information about the Company’s Level 3 liabilities that are measured at fair value on a recurring basis as of December 31, 2021.


	Private Placement			Forward Purchase
Inputs	Warrants			Units
Exercise price	$	11.50		$	10.00
Volatility		5.0% pre-merger/ 20.5% post-merger			5.0% pre-merger/ 20.5% post-merger
Expected term to business combination		0.73 year (5 years exercise period after close of business combination)			0.73 year
Risk-free rate		1.33	%		0.28	%
Dividend yield		0	%		0	%
Stock price	$	9.69		$	9.69

Schedule of changes in the fair value of warrant liabilities and Forward Purchase Units

The following table presents the changes in the fair value of warrant liabilities and Forward Purchase Units for the six months ended June 30, 2022:


	Public		Private		Forward Purchase
	Warrants		Warrants		Units
Fair value as of December 31, 2021	$	15,410,000	$	14,150,374	$	3,297,294
Change in valuation inputs or other assumptions		(10,292,500)		(9,429,741)		(4,397,294)
Fair value as of March 31, 2022		5,117,500		4,720,633		(1,100,000)
Change in valuation inputs or other assumptions		(1,328,250)		(1,075,608)		554,000
Fair value as of June 30, 2022	$	3,789,250	$	3,645,025	$	546,000

The following table presents the changes in the fair value of warrant liabilities and Forward Purchase Units for the period from February 25, 2021 (inception) through June 30, 2021:


	Public		Private		Forward Purchase
	Warrants		Warrants		Units
Fair value as of February 25, 2021	$	—	$	—	$	—
Initial measurement on June 18, 2021 (IPO)		14,261,682		13,379,377		366,779
Change in valuation inputs or other assumptions		693,261		623,733		2,951,562
Fair value as of June 30, 2021	$	14,954,943	$	14,003,110	$	3,318,341

Zimmer Energy Transition Acquisition Corp. 10-Q