Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Summary of fair values of assets and liabilities

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 and December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair values:


Description	Level		As of March 31, 2022		As of December 31, 2021

Assets:
Marketable securities held in Trust Account – money market mutual funds		1	$	—	$	175,013,336
Liabilities:
Public Warrants		1	$	1,508,500	$	4,725,000
Private Placement Warrants		3	$	877,500	$	2,681,250

Summary Of Quantitative Information Regarding Fair Value Measurements

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their initial and subsequent measurement:


	As of March 31, 2022			As of December 31, 2021
Stock Price	$	9.75		$	9.68
Exercise Price		11.50			11.50
Expected term		5.0			5.0
Risk-free rate		2.42	%		1.26	%
Annual volatility		4.30	%		12	%
Probability of successful acquisition		90	%		90	%
Dividend yield		0	%		0	%

Summary of changes in the fair value of warrant liabilities

The following table presents changes in the fair value of warrant liabilities for the three months ended March 31, 2022:


Description	Public Warrants			Private Placement Warrants			Warrant Liabilities
Balance - beginning of period as of January 1, 2022	$	4,725,000		$	2,681,250		$	7,406,250
Change in valuation inputs or other assumptions		(3,216,500	)		(1,803,750	)		(5,020,250	)

Fair value as of March 31, 2022	$	1,508,500		$	877,500		$	2,386,000

The following table presents changes in the fair value of warrant liabili

ies for the three months ended March 31, 2021:


Description	Public Warrants			Private Placement Warrants			Warrant Liabilities
Balance - beginning of period as of January 1, 2021	$	—		$	—		$	—
Issuance of Public and Private Placement Warrants		4,875,000			8,400,000			13,275,000
Change in valuation inputs or other assumptions		(262,500	)		(48,750	)		(311,250	)

Fair value as of March 31, 2021	$	4,612,500		$	8,351,250		$	12,963,750

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details

Kadem Sustainable Impact Corp 10-Q