v3.25.2
Financial Instruments Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Financial Instruments Fair Value Measurements

Note 9 — Financial Instruments Fair Value Measurements

 

Recurring Fair Value Measurements

 

The fair value hierarchy table for the reporting date noted is as follows:

 

  

Level-1

Inputs

  

Level-2

Inputs

   Level-3 Inputs   Total 
  

Fair Value Measurement on a Recurring Basis at Reporting

Date Using1

 
  

Level-1

Inputs

  

Level-2

Inputs

   Level-3 Inputs   Total 
June 30, 2025               
2024 Convertible Notes $—   $—   $25,300   $25,300 
Totals $—   $—   $25,300   $25,300 

 

  

Level-1

Inputs

  

Level-2

Inputs

   Level-3 Inputs   Total 
   Level-1 Inputs   Level-2 Inputs   Level-3 Inputs   Total 
December 31, 2024                    
2024 Convertible Notes $—   $—   $18,600   $18,600 
Totals $—   $—   $18,600   $18,600 

 

1There were no transfers between the respective Levels during the six months ended June 30, 2025.

 

 

Note 9 — Financial Instruments Fair Value Measurements - continued

 

As discussed in Note 10, Debt, the Company issued Senior Secured Convertible Notes dated November 22, 2024 with a $21.975 million face value principal (“2024 Convertible Notes”). The convertible notes are accounted for under the fair value option (“FVO”) election, wherein, the financial instruments are initially measured at their issue date estimated fair value and subsequently remeasured at estimated fair value on a recurring basis at each reporting period date.

 

The estimated fair value of the financial instruments classified within the Level 3 category was determined using both observable inputs and unobservable inputs. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs.

 

The estimated fair value of the 2024 Convertible Notes as of each June 30, 2025 and December 31, 2024 was computed using a Monte Carlo simulation of the present value of its cash flows using a synthetic credit rating analysis and a required rate-of-return, using the following assumptions:

 

   2024 Convertible Notes:
June 30, 2025		   2024 Convertible Notes:
December 31, 2024		 
Fair Value  $25,300   $18,600 
Face value principal payable  $21,975   $21,975 
Required rate of return   29.50%   29.00%
Conversion Price  $1.00   $1.00 
Value of common stock  $1.15   $0.819 
Expected term (years)   4.40    4.90 
Volatility   40.00%   40.00%
Risk free rate   3.69%   4.28%
Dividend yield   —%   —%

 

The estimated fair values reported utilized the Company’s common stock price along with certain Level 3 inputs (as discussed in the table above), in the development of Monte Carlo simulation models, discounted cash flow analyses, and /or Black-Scholes valuation models. The estimated fair values are subjective and are affected by changes in inputs to the valuation models and analyses, including the Company’s common stock price, the Company’s dividend yield, the risk-free rates based on U.S. Treasury security yields, and certain other Level-3 inputs including, assumptions regarding the estimated volatility in the value of the Company’s common stock price and the volatility of similar entities within the medical device industry. Changes in these assumptions can materially affect the estimated fair values.