Recurring Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

Recurring Fair Value Measurements [Abstract]

Schedule of fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques

June 30, 2022	Level 1		Level 2		Level 3
Assets
Investments held in Trust Account	$	279,177,550	$	-	$	-
Liabilities
Promissory Note	$	-	$	-	$	2,468,000
Public Warrants	$	14,766,000	$	-	$	-
Private Warrants	$	-	$	-	$	413,639

December 31, 2021	Level 1		Level 2		Level 3
Assets
Investments held in Trust Account	$	276,050,495	$	-	$	-
Liabilities
Public Warrants	$	37,122,000	$	-	$	-
Private Warrants	$	-	$	-	$	1,213,318

Schedule of inputs into the valuation models used to value the private warrants

Input	June 30, 2022			December 31, 2021
Common stock price	$	9.96		$	10.40
Expected term (years)		5.42			4.94
Risk-free rate of interest		2.99	%		1.26	%
Expected volatility		11.53	%		37.51	%
Exercise price	$	11.50		$	11.50
Warrant price	$	1.10		$	3.22

Schedule of inputs into the valuation models used to value the company’s promissory note

Input	June 30, 2022			June 7, 2022 (initial measurement)
Amount due at maturity	$	2,760,000		$	2,760,000
Expected term (years)		0.417			0.481
Discount rate		15.1	%		12.9	%

Schedule of changes in fair value

Fair value at December 31, 2020 – public and private warrants	$	11,912,642
Public Warrants reclassified to level 1⁽¹⁾		(12,420,000	)
Change in fair value		853,358
Fair Value at March 31, 2021 – private warrants		346,000
Change in fair value		37,144
Fair Value at June 30, 2021 – private warrants	$	383,144

Fair value at December 31, 2021 – private warrants	$	1,213,317
Change in fair value		(746,586	)
Fair Value at March 31, 2022 – private warrants		466,731
Change in fair value		(53,092	)
Fair Value at June 30, 2022 – private warrants	$	413,639

Initial Principal Balance of Promissory Note		2,760,000
Change in fair value		(292,000	)
Fair Value at June 30, 2022 – Promissory Note	$	2,468,000

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

+ References + Details

Concord Acquisition Corp 10-Q