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Fair Value Measurements

9 Months Ended

Dec. 31, 2021

Note 7 - Fair Value Measurements

The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of the initial issuance date, December 31, 2021, by level within the fair value hierarchy:

Fair Value Measurements Using

(Level 1) (Level 2) (Level 3) Total

Description

Liabilities:

Warrant liabilities - public warrants $ 4,655,200 $ - $ - 4,655,200

Warrant liabilities – private placement warrants $ - $ - $ 2,414,101 2,414,101

Total $ 4,655,200 $ - $ 2,414,101 $ 7,069,301

The Public Warrants issued in connection with the Public Offering and the Private Placement Warrants were initially measured at fair value using a Black-Scholes option pricing model. The subsequent measurement of the Public Warrants as of December 31, 2021, is classified as Level 1 due to the use of an observable market quote in an active market.

The Company utilizes a Modified Black-Scholes model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the Private Placement Warrant liability is determined using Level 3 inputs. Inherent in a Black-Scholes option pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. At December 31, 2021, the Company estimates the volatility of its warrants based in part on historical volatility of select peer company’s ordinary shares that matches the target industries. 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 expected life of the warrants is assumed to be equivalent to the remaining term until initial business combination. 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 period from April 12, 2021 (inception) through December 31, 2021, other than the transfer of public warrants liabilities from Level 3 to Level 1.

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

Schedule of Fair Value Measurements

	At August 16, 2021 (Initial Measurement)			At December 31, 2021

Share price	$	10.00		$	9.90
Exercise price	$	11.50		$	11.50
Expected dividend yield		0	%		0	%
Expected volatility		9.02	%		24.0	%
Risk-free interest rate		0.42	%		0.54	%
Expected life (in years)		3.17			0.98

OXBRIDGE ACQUISITION CORP.

NOTES TO FINANCIAL STATEMENTS

DECEMBER 31, 2021

Note 7 - Fair Value Measurements (continued)

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		Public			Warrant
	Warrants		Warrants			Liabilities

Fair value of Level 3 warrants at April 12, 2021 (inception)	$	-	$	-		$	-
Initial fair value as of August 16, 2021		1,205,295		2,407,205			3,612,500
Change in valuation inputs or other assumptions		1,208,806		2,247,995			3,456,801
Transfer to Level 1		—		(4,655,200	)		(4,655,200	)
Fair value of Level 3 warrants at December 31, 2021	$	2,414,101	$	-		$	2,414,101

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

	Private				Total
	Placement		Public		Warrant
	Warrants		Warrants		Liabilities

Fair value as of April 12, 2021 (inception)	$	-	$	-	$	-
Initial measurement on August 16, 2021		1,205,295		2,407,205		3,612,500
Change in valuation inputs or other assumptions		1,208,801		2,247,995		3,456,801
Fair value as of December 31, 2021	$	2,414,101	$	4,655,200	$	7,069,301