Note 12 - Fair Value |
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Fair Value Disclosures [Text Block] |
Note 12. Fair Value
Cash and cash equivalents are carried at fair value. Financial instruments, including accounts receivable, accounts payable, and accrued expenses are carried at cost, which approximates fair value given their short-term nature. Our remaining fair value measures are discussed below.
Financial Instruments with Fair Value Measurements on a Recurring Basis
The fair value hierarchy for financial instruments measured at fair value on a recurring basis as of June 30, 2025 was as follows:
The fair value hierarchy for financial instruments measured at fair value on a recurring basis as of December 31, 2024 was as follows:
There were no transfers between Level 1, Level 2, or Level 3 during any of the periods above.
Changes in the fair value of our Level 3 financial instruments during the six months ended June 30, 2025 were as follows:
Changes in the fair value of our Level 3 financial instruments during the six months ended June 30, 2024 were as follows:
Valuation of Notes Payable and Convertible Notes Payable
Our notes payable and convertible notes payable are categorized within Level 3 of the fair value hierarchy. The 2019 MD Loan and 2019 Cecil Loan are carried at the greater of principal plus accrued interest or the value of the Phantom Shares (see Note 8), which approximates fair value. The 2022 MD Loan and 2022 DHCD Loan are carried at amortized cost, which approximates fair value due to our credit risk and market interest rates.
The 2024 SSCP Notes are carried at their amortized cost of $9.0 million and $8.6 million as of June 30, 2025 and December 31, 2024, respectively. As of December 31, 2024, amortized cost approximated fair value but as of June 30, 2025, amortized cost did not approximate fair value. The fair value, excluding the SSCPN Derivative Liabilities, was approximately $7.6 million as of June 30, 2025. The SSCPN Derivative Liabilities met the requirements to be separated from the 2024 SSCP Notes as derivative instruments measured at fair value. We estimate the fair value of the 2024 SSCP Notes with and without the SSCPN Derivative Liabilities and calculate the difference as the implied fair value of the SSCPN Derivative Liabilities. The valuation model consists of a discounted cash flow model and a Black-Scholes option-pricing model with probability weights for the occurrence of the following events: (i) a change of control transaction, (ii) dissolution of the Company, or (iii) another outcome outside of (i)-(ii). These estimates require significant judgment. The carrying amount may fluctuate significantly and the actual settlement amount may be materially different from the estimated fair value. The unobservable valuation inputs were as follows:
Valuation of the Common Stock Warrant Liabilities
The 2023 Avenue Warrant, as amended, is classified as a liability and carried at fair value. We estimate the fair value using a Black-Scholes option-pricing model with probability weights for the occurrence of the following events: (i) settlement of the instrument upon a change of control transaction, (ii) dissolution of the Company, or (iii) another outcome outside of (i)-(ii). These estimates require significant judgment. The carrying amount may fluctuate significantly and the actual settlement amount may be materially different from the estimated fair value. The unobservable valuation inputs were as follows:
The Tranche A Warrants are classified as a liability and carried at fair value. We estimate the fair value using a Black-Scholes option-pricing model with probability weights for the occurrence of the following events: (i) acceptance of a new drug application (“NDA”) by the U.S. Food and Drug Administration (“FDA”) for CNM-Au8, (ii) settlement upon a fundamental transaction, (iii) dissolution of the Company, and (iv) another outcome outside of (i)-(iii). These estimates require significant judgment. The carrying amount may fluctuate significantly and the actual settlement amount may be materially different from the estimated fair value. The unobservable valuation inputs were as follows:
The 2024 Common Warrants are classified as a liability and carried at fair value. We estimate the fair value using a Black-Scholes option-pricing model with probability weights for the occurrence of the following events: (i) dissolution of the Company and (ii) another outcome outside of dissolution. These estimates require significant judgment. The carrying amount may fluctuate significantly and the actual settlement amount may be materially different from the estimated fair value. The unobservable valuation inputs were as follows:
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