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

Warrant Liabilities (Tables)

v3.22.0.1
Warrant Liabilities (Tables)
12 Months Ended
Feb. 28, 2021
Warrant Liabilities [Abstract]  
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

November 10,

2020

 

 

As of

February 28,

2021

 

Exercise price (1)

 

 

15.00

 

 

 

15.00

 

Stock price (2)

 

 

12.15

 

 

 

7.13

 

Expected life (years)

 

 

5.00

 

 

 

4.70

 

Volatility (3)

 

 

40.97

%

 

 

42.03

%

Risk-free interest rate (4)

 

 

0.46

%

 

 

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 measurement 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