Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Summary of Assets That are Measured at Fair Value on a Recurring Basis

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2022, including the fair value hierarchy of the valuation inputs that the Company utilized to determine such fair value.


	Level 1		Level 2		Level 3		Total
Assets:
Marketable securities held in Trust Account	$	563,376,097	$	—	$	—	$	563,376,097
Liabilities:
Class K Founder Shares derivative liabilities		—		—		40,000		40,000

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2021 including the fair value hierarchy of the valuation inputs that the Company utilized to determine such fair value.


	Level 1		Level 2		Level 3		Total
Assets:
Marketable securities held in Trust Account	$	563,330,122	$	—	$	—	$	563,330,122
Liabilities:
Class K Founder Shares derivative liabilities		—		—		6,250,000		6,250,000

Summary of Fair Value Measurement Inputs and Valuation Techniques

The key inputs into the Monte-Carlo simulation model for the Class K founder shares derivative liabilities were as follows on the date of issuance and as of March 31, 2022 and December 31, 2021:


Input	March 31, 2022			December 31, 2021
Risk-free interest rate		2.34	%		1.54	%
Term to business combination		0.7 years			0.5 years
Expected volatility		4.5	%		11.00	%
Stock price	$	9.77		$	9.76
Dividend yield		0.00	%		0.00	%

Summary of Changes in the Fair Value Of the Class K Founder Shares Liability

The following table presents a summary of the changes in the fair value of the Class K founder shares derivative liabilities, a Level 3 liability, measured on a recurring basis, as of March 31, 2022 and March 31, 2021:


	Class K Founder Shares Derivative Liabilities

Fair value at January 1, 2022	$	6,250,000
Change in fair value		(6,210,000	)

Fair value as of March 31, 2022	$	40,000

	Class K Founder Shares Derivative Liabilities
Fair value at January 29, 2021 (inception)	$	47,900,000
Change in fair value		(30,750,000	)
Fair value as of March 31, 2021	$	17,150,000

Khosla Ventures Acquisition Co. III 10-Q