FAIR VALUE MEASUREMENTS (Tables)

12 Months Ended

Dec. 31, 2022

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2022 and 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

December 31, 2022

Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account	$	237,964,294	$	-	$	-

Liabilities:
Derivative liabilities - Public Warrants	$	596,275	$	-	$	-
Derivative liabilities - Private Placement Warrants	$	-	$	-	$	581,280
Working capital loan - related party	$	-	$	-	$	79,260

December 31, 2021

Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account	$	234,600,723	$	-	$	-

Liabilities:
Derivative liabilities - Public Warrants	$	-	$	-	$	7,636,000
Derivative liabilities - Private Placement Warrants	$	-	$	-	$	7,504,000

Level 3 Fair Value Measurement Inputs

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

	December 31, 2022			December 31, 2021
Exercise price	$	11.50		$	11.50
Stock price	$	10.26		$	9.67
Volatility		6.85	%		13.0	%
Risk-free rate		4.57% - 4.62	%		1.53	%
Dividend yield		0.0	%		0.0	%
Years to expected initial Business Combination date		0.44			0.94
Years to expiration		5			5
Probability of a business combination		10	%		90	%

Change in Fair Value of the Derivative Warrant Liabilities Measured using Level 3 Inputs

The change in the fair value of the Company’s Level 3 financial instruments for the year ended December 31, 2022 is summarized as follows:

Level 3 Rollforward:
	Warrants			Working capital loan - related party
Level 3 - Warrant Liabilities at December 31, 2021	$	15,140,000			-
Transfer of Public Warrants to Level 1		(7,636,000	)		-
Change in fair value of private placement warrants		(6,922,720	)		-
Borrowing under working capital loan – related party		-			808,637
Change in fair value of working capital loan - related party		-			(729,377	)
Level 3 - Warrant Liabilities & working capital loan at December 31, 2022	$	581,280		$	79,260

The change in the fair value of the Company’s Level 3 financial instruments for the period from March 8, 2021 (inception) through December 31, 2021 is summarized as follows:

	Warrants
Derivative warrant liabilities as of March 8, 2021 (inception)	$	-
Issuance of Public Warrants and Private Placement Warrants		30,518,000
Change in fair value of derivative warrant liabilities		(15,378,000	)
Balance as of December 31, 2021	$	15,140,000

Sculptor Acquisition Corp I 10-K