Triterras, Inc. Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

Warrant Liabilities (Tables)

Warrant Liabilities (Tables)

12 Months Ended

Feb. 28, 2022

Summary of Fair Value of Warrant Liabilities Measured Using Black-Scholes Model

The fair value of warrant liabilities was measured using Black-Scholes model. Significant inputs into the model at the inception and reporting period measurement dates are as follows (exercise and stock price in US$):

	As of February 28, 2022			As of February 28, 2021
Exercise price ⁽¹⁾		11.50			11.50
Stock price ⁽²⁾		1.64			7.13
Expected life (years)		3.69			4.70
Volatility ⁽³⁾		38.11	%		42.03	%
Risk-free interest rate ⁽⁴⁾		1.64	%		0.68	%
Dividend yield		0.0	%		0.0	%

⁽¹⁾

Based on the terms provided in the warrant agreement dated July 30, 2019.

⁽²⁾

Based on the trading value of common stock of Triterras, Inc. as of each presented period ending date.

⁽³⁾

Based on Peer Volatility Analysis over each respective remaining contractual term.

⁽⁴⁾

Based on published US Treasury spot rates as of each presented period ending date and correspond with the remaining contractual term.

Summary of Changes in Fair Value of Warrant Liabilities

The following table presents the changes in fair value of warrant liabilities:

	Public			Private placement			Warrant liabilities
	US$			US$			US$
Initial measurements as of November 10, 2021		66,792,000			3,131,483			69,923,483
Change in valuation inputs		(24,035,000	)		(2,076,685	)		(26,111,685	)
Fair value as of February 28, 2021		42,757,000			1,054,798			43,811,798
Change in valuation inputs		(39,721,000	)		(1,051,657	)		(40,772,657	)
Fair value as of February 28, 2022		3,036,000			3,141			3,039,141