FAIR VALUE MEASUREMENTS (Tables)
|
6 Months Ended |
12 Months Ended |
Jun. 30, 2023 |
Dec. 31, 2022 |
| Fair value, assets and liabilities measured on recurring basis |
|
|
| Schedule of changes in the fair value of derivative warrant liabilities |
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|
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Private |
|
|
|
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Public |
|
Placement |
|
Warrant |
|
|
Warrants |
|
Warrants |
|
Liability |
Derivative warrant liabilities as of December 31, 2022 |
|
$ |
301,875 |
|
$ |
298,000 |
|
$ |
599,875 |
Change in fair value |
|
|
212,520 |
|
|
240,000 |
|
|
452,520 |
Derivative warrant liabilities as of March 31, 2023 |
|
|
514,395 |
|
|
538,000 |
|
|
1,052,395 |
Change in fair value |
|
|
2,142,105 |
|
|
2,082,000 |
|
|
4,224,105 |
Derivative warrant liabilities as of June 30, 2023 |
|
$ |
2,656,500 |
|
$ |
2,620,000 |
|
$ |
5,276,500 |
|
|
|
|
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Private |
|
|
|
|
Public |
|
Placement |
|
Warrant |
|
|
Warrants |
|
Warrants |
|
Liability |
Derivative warrant liabilities as of January 1, 2022 |
|
$ |
— |
|
$ |
— |
|
$ |
— |
Initial fair value of warrant liabilities at January 24, 2022 |
|
|
7,498,575 |
|
|
7,405,638 |
|
|
14,904,213 |
Change in fair value |
|
|
(7,196,700) |
|
|
(7,107,638) |
|
|
(14,304,338) |
Derivative warrant liabilities as of December 31, 2022 |
|
$ |
301,875 |
|
$ |
298,000 |
|
$ |
599,875 |
|
| Schedule of company's assets and liabilities that were accounted for at fair value on a recurring basis |
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|
(Level 1) |
|
(Level 2) |
|
(Level 3) |
Assets |
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|
|
|
|
|
|
|
|
Treasury securities held in trust account |
|
$ |
42,190,562 |
|
$ |
— |
|
$ |
— |
Liabilities |
|
|
|
|
|
|
|
|
|
Public Warrants |
|
$ |
2,656,500 |
|
$ |
— |
|
$ |
— |
Private Placement Warrants |
|
$ |
— |
|
$ |
— |
|
$ |
2,620,000 |
|
The following table sets forth by level within the fair value hierarchy the Company’s assets and liabilities that were accounted for at fair value on a recurring basis at December 31, 2022:
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|
|
|
|
|
|
|
(Level 1) |
|
(Level 2) |
|
(Level 3) |
Assets |
|
|
|
|
|
|
|
|
|
Cash and marketable securities held in trust account |
|
$ |
250,326,857 |
|
$ |
— |
|
$ |
— |
Liabilities |
|
|
|
|
|
|
|
|
|
Public Warrants |
|
$ |
301,875 |
|
$ |
— |
|
$ |
— |
Private Placement Warrants |
|
$ |
— |
|
$ |
— |
|
$ |
298,000 |
|
| Schedule of key inputs into the calculation at the measurement on recurring and non-recurring |
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|
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Class B |
|
Input |
|
Common Stock |
|
Common stock price |
|
$ |
10.41 |
|
Exercise price |
|
$ |
11.50 |
|
Risk-free rate of interest |
|
|
4.060 |
% |
Volatility |
|
|
0.001 |
% |
Term |
|
|
5.34 |
|
Value of one warrant |
|
$ |
0.220 |
|
Dividend yield |
|
|
0.000 |
% |
|
|
|
|
|
|
|
|
|
|
January 24, 2022 |
|
|
|
Public |
|
Private |
|
Input |
|
Warrants |
|
Warrants |
|
Common stock price |
|
$ |
9.69 |
|
$ |
9.69 |
|
Exercise price |
|
$ |
11.50 |
|
$ |
11.50 |
|
Risk-free rate of interest |
|
|
1.61 |
% |
|
1.61 |
% |
Volatility |
|
|
10.85 |
% |
|
10.86 |
% |
Term |
|
|
6.00 |
|
|
6.00 |
|
Value of one warrant |
|
$ |
0.62 |
|
$ |
0.62 |
|
Dividend yield |
|
|
0.00 |
% |
|
0.00 |
% |
|
|
|
|
|
|
|
Private |
|
Input |
|
Warrants |
|
Common stock price |
|
$ |
10.41 |
|
Estimated probability of the Initial Business Combination |
|
|
10.00 |
% |
Volatility |
|
|
40.00 |
% |
Risk-free rate |
|
|
4.25 |
% |
Time to expiration |
|
|
1.50 |
|
|
|
|
|
|
|
|
|
|
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|
December 31, 2022 |
|
|
|
Public |
|
Private |
|
Input |
|
Warrants |
|
Warrants |
|
Common stock price |
|
$ |
— |
|
$ |
10.21 |
|
Exercise price |
|
$ |
— |
|
$ |
11.50 |
|
Risk-free rate of interest |
|
|
— |
% |
|
3.95 |
% |
Volatility |
|
|
— |
% |
|
0.00 |
% |
Term |
|
|
— |
|
|
5.25 |
|
Value of one warrant |
|
$ |
0.03 |
|
$ |
0.03 |
|
Dividend yield |
|
|
— |
% |
|
0.00 |
% |
|
|
|
|
|
|
|
|
|
|
January 24, 2022 |
|
|
|
Public |
|
Private |
|
Input |
|
Warrants |
|
Warrants |
|
Common stock price |
|
$ |
9.69 |
|
$ |
9.69 |
|
Exercise price |
|
$ |
11.50 |
|
$ |
11.50 |
|
Risk-free rate of interest |
|
|
1.61 |
% |
|
1.61 |
% |
Volatility |
|
|
10.85 |
% |
|
10.86 |
% |
Term |
|
|
6.00 |
|
|
6.00 |
|
Value of one warrant |
|
$ |
0.62 |
|
$ |
0.62 |
|
Dividend yield |
|
|
0.00 |
% |
|
0.00 |
% |
|
| Level 3 |
|
|
| Fair value, assets and liabilities measured on recurring basis |
|
|
| Schedule of changes in the fair value of derivative warrant liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Public |
|
Private Placement |
|
Total Level 3 |
|
|
Warrants |
|
Warrants |
|
Financial Instruments |
Derivative warrant liabilities at December 31, 2022 |
|
$ |
— |
|
$ |
298,000 |
|
$ |
298,000 |
Change in fair value |
|
|
— |
|
|
240,000 |
|
|
240,000 |
Level 3 derivative warrant liabilities at March 31, 2023 |
|
|
— |
|
|
538,000 |
|
|
538,000 |
Change in fair value |
|
|
— |
|
|
2,082,000 |
|
|
2,082,000 |
Level 3 derivative warrant liabilities at June 30, 2023 |
|
$ |
— |
|
$ |
2,620,000 |
|
$ |
2,620,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Public |
|
Private Placement |
|
Total Level 3 |
|
|
Warrants |
|
Warrants |
|
Financial Instruments |
Derivative warrant liabilities at March 10, 2021 (inception) |
|
$ |
— |
|
$ |
— |
|
$ |
— |
Initial fair value at issuance |
|
|
7,498,575 |
|
|
7,405,638 |
|
|
14,904,213 |
Transfer public warrant liability to Level 1 measurement |
|
|
(7,498,575) |
|
|
— |
|
|
(7,498,575) |
Change in fair value |
|
|
— |
|
|
(7,107,638) |
|
|
(7,107,638) |
Level 3 derivative warrant liabilities at December 31, 2022 |
|
$ |
— |
|
$ |
298,000 |
|
$ |
298,000 |
|