Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Schedule of Assets and Liabilities that are Measured at Fair Value on A Recurring Basis

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2023 and December 31, 2022 indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level	September 30, 2023		December 31, 2022
Assets:
Investments held in Trust Account	1	$	23,750,947	$	329,783,734
Liabilities:
Warrant Liabilities – Public Warrants	2	$	541,667	$	—
Warrant Liabilities – Private Warrants	2	$	258,333	$	—
Bifurcated Derivative	3	$	—		n/a

Schedule of Classified Within Level 3 of the fair Value Hierarchy

The key inputs into the Monte Carlo simulation model for the Convertible Note Bifurcated Derivative were as follows at September 30, 2023 and January 26, 2023:

	January 26, 2023			September 30, 2023
Volatility		6.70	%		3.70	%
Risk Free Rate		4.77	%		5.55	%
Probability of completing a business combination by July 31, 2023		30	%		—	%
Probability of completing a business combination by August 31, 2023		40	%		—	%
Probability of completing a business combination by September 31, 2023		30	%		—	%
Probability of completing a business combination by October 31, 2023		—	%		10	%
Probability of completing a business combination by November 30, 2023		—	%		60	%
Probability of completing a business combination by December 31, 2023		—	%		30	%

Schedule of Fair Value of Warrant Liabilities and the Bifurcated

The following table presents the changes in the fair value of warrant liabilities and the bifurcated derivative for the period ended September 30, 2023:

	Private			Public			Bifurcated
	Warrants			Warrants			Derivative
Initial value as of January 24, 2023 for warrants and January 26, 2023 for Bifurcated Derivative	$	361,667		$	758,333		$	—
Change in valuation inputs or other assumptions		103,333			216,667			—
Fair value as of March 31, 2023	$	465,000		$	975,000		$	—
Change in valuation inputs or other assumptions		155,000			325,000			—
Fair value as of June 30, 2023	$	620,000		$	1,300,000		$	—
Change in valuation inputs or other assumptions		(361,667	)		(758,333	)		—
Fair value as of September 30, 2023	$	258,333		$	541,667		$	—

Prospector Capital Corp. 10-Q