Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

March 31, 2023

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	$	240,641,073	$	-	$	-
Liabilities:
Derivative warrant liabilities - Public Warrants	$	1,082,150	$	-	$	-
Derivative warrant liabilities - Private Placement Warrants	$	-	$	-	$	1,120,000
Working capital loan - related party	$	-	$	-	$	51,264

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

Level 3 Fair Value Measurement Inputs

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

	March 31, 2023			December 31, 2022
Exercise price	$	11.50		$	11.50
Stock price	$	10.44		$	10.26
Volatility		13.07	%		6.85	%
Risk-free rate		4.70% - 4.80	%		4.57% - 4.62	%
Dividend yield		0.0	%		0.0	%
Years to expected initial Business Combination date		0.19			0.44
Years to expiration		5			5
Probability of a business combination		5	%		10	%

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 three months ended March 31, 2023 is summarized as follows:

Level 3 Rollforward:			Working capital loan -
	Warrants		related party
Level 3 - Warrant Liabilities & working capital loan at December 31, 2022	$	581,280	$	79,260
Borrowing under working capital loan - related party		-		225,926
Change in fair value of warrant liabilities		538,720		-
Change in fair value of working capital loan - related party		-		(253,922	)
Level 3 - Warrant Liabilities & working capital loan at March 31, 2023	$	1,120,000	$	51,264

Sculptor Acquisition Corp I 10-Q