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Fair Value Measurement (Tables)

6 Months Ended

12 Months Ended

Jun. 30, 2023

Dec. 31, 2022

Fair Value Measurement

Schedule of assets measured on fair value on a recurring basis

​

​	​	​	​	​	​	​	​	​
Assets:		Level		​	June 30, 2023		December 31, 2022
Marketable securities and cash held in Trust Account		1	​	$	42,626,002	​	$	356,190,233

​

​	​	​	​	​	​	​	​	​
​	​	​	​	December 31,
Assets:		Level		2022		​	2021
Marketable securities and cash held in Trust Account		1	​	$	356,190,233	​	$	—

Schedule of liabilities measured on fair value on a recurring basis

​

​	​	​	​	​	​	​	​	​
Liabilities:		Level		​	June 30, 2023		December 31, 2022
Warrant Liability – Public Warrants		(a)	​	$	345,000	​	$	1,173,000
Warrant Liability – Private Placement Warrants		3	​	$	188,000	​	$	639,200
Sponsor Loans		3	​	$	1,673,000	​	$	1,000,000

​

​	​	​	​	​	​	​	​	​
​	​	​	​	December 31,
Liabilities:		Level		2022			2021
Warrant Liability – Public Warrants (a)		(a)	​	$	1,173,000	​	$	12,075,000
Warrant Liability – Private Placement Warrants		3	​	$	639,200	​	$	6,580,000
Sponsor Loans		3	​	$	1,000,000	​	$	5,490,000

(a)Level 3 at December 31, 2021 and Level 2 at December 31, 2022

Schedule of fair value option

​

​	​	​	​	​	​	​
Liabilities:		Fair Value			Unpaid Principal Balance
June 30, 2023	​	$	1,673,000	​	$	6,900,000
December 31,2022	​	$	1,000,000	​	$	6,900,000

​

​	​	​	​	​	​	​
Liabilities:		Fair Value			Unpaid Principal Balance
December 31, 2022	​	$	1,000,000	​	$	6,900,000
December 31, 2021	​	$	5,490,000	​	$	6,900,000

​

Schedule of quantitative information regarding Level 3 fair value measurements inputs

The key inputs into the valuation model for the Sponsor Loans were as follows:

​

​	​	​	​	​	​	​	​
Input		June 30, 2023			December 31, 2022		​
Common stock price	​	$	10.40	​	$	10.19	​
Risk-free interest rate (Bond)	​		5.37	%		4.51	%
Risk-free forward interest rate (Conversion Option)	​		3.97	%		3.91	%
Expected term in years	​		0.36	years		0.36	years
Expected volatility	​		0.00	%		0.00	%
Credit spread	​		3.35	%		5.33	%

The key inputs into the model for the Private Placement Warrants were as follows:

​

​	​	​	​	​	​	​	​
Input		June 30, 2023			December 31, 2022		​
Common stock price	​	$	10.40	​	$	10.19	​
Risk-free interest rate	​		4.06	%		3.95	%
Expected term in years	​		5.36	years		5.36	years
Expected volatility	​		0.00	%		0.00	%
Exercise price	​	$	11.50	​	$	11.50	​
Warrant fair value	​	$	0.02	​	$	0.07	​

​

​	​	​	​	​	​	​	​
​	​	December 31,					​
Input	​	2022			2021		​
Common stock price	​	$	10.19	​	$	9.90	​
Risk-free interest rate (Bond)	​	​	4.51	%	​	0.33	%
Risk-free forward interest rate (Conversion Option)	​		3.91	%	​	1.50	%
Expected term in years	​		0.36 years	​	​	0.85 years	​
Expected volatility	​		0.00	%	​	10.40	%
Credit spread	​		5.33	%	​	3.19	%

​

​	​	​	​	​	​	​	​
​	​	December 31,
Input		2022			2021
Common stock price	​	$	10.19	​	$	9.90	​
Risk-free interest rate	​		3.95	%		1.34	%
Expected term in years	​		5.36 years	​		5.85 years	​
Expected volatility	​		0.00	%		10.40	%
Exercise price	​	$	11.50	​	$	11.50	​
Warrant fair value	​	$	0.07	​	$	0.69	​

​

​	​	​	​	​
​	​	December 31, 2021		​
Input		Public Warrants
Common stock price	​	$	9.90	​
Risk-free interest rate	​		1.34	%
Expected term in years	​		5.85 years	​
Expected volatility	​		10.40	%
Exercise price	​	$	11.50	​
Warrant fair value	​	$	0.69	​

Schedule of change in the fair value of the warrant liabilities

​

​	​	​	​	​	​	​
​	​	Private Placement		​	​	​
​		Warrants			Sponsor Loans
Fair value as of January 1, 2023	​	$	639,200	​	$	1,000,000
Change in valuation inputs or other assumptions	​		394,800	​		(347,000)
Fair value as of March 31, 2023	​	​	1,034,000	​	​	653,000
Change in valuation inputs or other assumptions	​	​	(846,000)	​	​	1,020,000
Fair value as of June 30, 2023	​	$	188,000	​	$	1,673,000

​

​

​	​	​	​
Initial measurement of fair value of Warrant liabilities measured with level 3 inputs at November 8, 2021:		$	28,676,645
Change in fair value	​		(10,021,645)
Fair Value at December 31, 2021 – Warrant liabilities	​	$	18,655,000

​

​	​	​
Warrant liabilities measured with level 3 inputs at January 1, 2022:	$	18,655,000
Public Warrants reclassified to level 1(1)		(6,727,500)
Change in fair value		(11,288,300)
Fair Value at December 31, 2022 – private placement warrants	$	639,200

(1) Assumes the Public Warrants were reclassified on March 31, 2022

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Public

​

Private Placement

​

Warrant

​

Sponsor

​

Warrants

Warrants

Liability

Loans

Initial measurement of fair value on November 8, 2021

​

$

18,390,225

​

$

10,286,420

​

$

28,676,645

​

$

6,900,000

Change in valuation inputs or other assumptions

​

6,315,225

​

3,706,420

​

10,021,645

​

1,410,000

Fair value as of December 31, 2021

​

$

12,075,000

​

$

6,580,000

​

$

18,655,000

​

$

5,490,000

Change in valuation inputs or other assumptions

​

(10,902,000)

​

(5,940,800)

​

(16,842,800)

​

(4,490,000)

Fair value as of December 31, 2022

​

$

1,173,000

​

$

639,200

​

$

1,812,200

​

$

1,000,000

​

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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Tabular disclosure of information about asset and liability measured at fair value under fair value option.

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