Fair Value Measurements

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 7 - Fair Value Measurements

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022, by level within the fair value hierarchy:

	Fair Value Measurements Using
At June 30, 2023	(Level 1)		(Level 2)		(Level 3)		Total
Description
Assets
Marketable securities held in Trust Account	$	13,125,461	$	-	$	-	$	13,125,461
Liabilities:
Warrant liabilities - public warrants	$	575,000	$	-	$	-	$	575,000
Warrant liabilities - private warrants	$	-	$	-	$	739	$	739

	Fair Value Measurements Using
At December 31, 2022	(Level 1)		(Level 2)		(Level 3)		Total
Description
Assets
Marketable securities held in trust account	$	12,834,629	$	-	$	-	$	12,834,629
Liabilities:
Warrant liabilities - public warrants	$	368,000	$	-	$	-	$	368,000
Warrant liabilities - private warrants	$	-	$	-	$	1,902	$	1,902

The Public Warrants issued in connection with the Public Offering and the Private Placement Warrants were initially and subsequently measured at fair value using a Black-Scholes option pricing model. The subsequent measurement of the Public Warrants as of June 30, 2023 and December 31, 2022, are classified as Level 1 due to the use of an observable market quote in an active market.

OXBRIDGE ACQUISITION CORP.

NOTES TO CONDENSED FINANCIAL STATEMENTS

MARCH 31, 2023

(Unaudited)

Note 7 - Fair Value Measurements (continued)

The Company utilizes a Black-Scholes model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statements of operations. The estimated fair value of the Private Placement Warrant liability is determined using Level 3 inputs. Inherent in the Black-Scholes option pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on historical volatility of its stock price. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The Company used the modified extension date deadline of August 16, 2023, to determine the estimated life of the warrants. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

There were no transfers between Levels 1, 2 or 3 during the three-month or six-month periods ended June 30, 2023 and 2022.

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

	At June 30, 2023			At December 31, 2022
Share price	$	10.87		$	10.45
Exercise price	$	11.5		$	11.5
Expected dividend yield		0	%		0	%
Expected volatility		4.96	%		2.97	%
Risk-free interest rate		5.31	%		4.85	%
Expected life (in years)		0.13			0.67

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for the liabilities classified as Level 3:

	Private Placement Warrants			Public Warrants		Warrant Liabilities
Fair value of Level 3 warrants at January 1, 2023	$	1,902		$	-	$	1,902
Change in valuation inputs or other assumptions		(1,163	)		-		(1,163	)
Fair value of Level 3 warrants at June 30, 2023	$	739		$	-	$	739

The following table presents the changes in the fair value of derivative warrant liabilities:

	Private Placement Warrants			Public Warrants		Total Warrant Liabilities
Fair value as of January 1, 2023	$	1,902		$	368,000	$	369,902
Change in valuation inputs or other assumptions		(1,163	)		207,000		205,837
Fair value as of June 30, 2023	$	739		$	575,000	$	575,739

OXBRIDGE ACQUISITION CORP.

NOTES TO CONDENSED FINANCIAL STATEMENTS

JUNE 30, 2023

(Unaudited)