v3.26.1
Note 8 - Financial Instruments Fair Value Measurements
 6 Months Ended
Jun. 30, 2026
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

Note 8 — Financial Instruments Fair Value Measurements

 

Recurring Fair Value Measurements

 

The fair value hierarchy table for the periods indicated is as follows:

 

 

 

Fair Value Measurement on a Recurring Basis at Reporting Date Using1

 

 

 

Level-1 Inputs

 

 

Level-2 Inputs

 

 

Level-3 Inputs

 

 

Total

 

June 30, 2026

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment in Lucid Diagnostics common stock

 

$

33,494

 

 

$

—

 

 

$

—

 

 

$

33,494

 

Total assets at fair value

 

$

33,494

 

 

$

—

 

 

$

—

 

 

$

33,494

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

2026 Note

 

 

—

 

 

 

—

 

 

 

15,100

 

 

 

15,100

 

Rights liability - Lucid Diagnostics common stock

 

 

321

 

 

 

—

 

 

 

—

 

 

 

321

 

Total liabilities at fair value

 

$

321

 

 

$

—

 

 

$

15,100

 

 

$

15,421

 

 

 

 

Level-1 Inputs

 

 

Level-2 Inputs

 

 

Level-3 Inputs

 

 

Total

 

December 31, 2025

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment in Lucid Diagnostics common stock

 

$

34,120

 

 

$

—

 

 

$

—

 

 

$

34,120

 

Total assets at fair value

 

$

34,120

 

 

$

—

 

 

$

—

 

 

$

34,120

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Senior Secured Convertible Note - September 2022

 

 

—

 

 

 

—

 

 

 

11,100

 

 

 

11,100

 

Total liabilities at fair value

 

$

—

 

 

$

—

 

 

$

11,100

 

 

$

11,100

 

 

1

There were no transfers between the respective Levels during the period ended  June 30, 2026.

 

As discussed in Note 9, Debt, the Company issued Senior Secured Convertible Notes September 8, 2022 and February 3, 2026, with an initial $11.25 million face value principal (as amended from time to time, “September 2022 Senior Convertible Note”), and an initial $15.0 million face value principal ("2026 Note"), respectively. Both convertible notes are accounted for under the ASC 825-10-15-4 fair value option (“FVO”) election, wherein, the financial instrument is initially measured at its 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 2026 Note as of  June 30, 2026 and the estimated fair value of the September 2022 Senior Convertible Note as of  December 31, 2025, were 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:

 

 

 

 

 

 

 

 

2026 Note:

 

 

 

June 30, 2026

 

Fair Value

 

$

15,100

 

Face value principal payable

 

$

15,000

 

Required rate of return

 

 

16.300

%

Conversion Price

 

$

450.00

 

Value of common stock

 

$

5.94

 

Expected term (years)

 

 

2.60

 

Volatility

 

 

40.00

%

Risk free rate

 

 

4.06

%

Dividend yield

 

 

—

%

 

 

​

​

September 2022 Senior

​

​

​

Convertible Note:

​

​

​

December 31, 2025

​

Fair Value

​

$

11,100

​

Face value principal payable

​

$

7,839

​

Required rate of return

​

​

8.20% - 8.50

%

Conversion Price

​

$

32.04

​

Value of common stock

​

$

6.63

​

Expected term (years)

​

​

0.09 - 1.00

​

Volatility

​

​

85% - 95

%

Risk free rate

​

​

3.42% - 3.67

%

Dividend yield

​

​

—

%

 

The estimated fair values recognized utilized PAVmed’s common stock prices, along with certain Level 3 inputs (as presented in the respective tables 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 respective common stock prices, as compared to the floor price on conversions, the dividend yields, the risk-free rates based on U.S. Treasury security yields, and certain other Level-3 inputs including, probability weighting on the likelihood as of December 31, 2025 of the Company exercising a 132.5% redemption on the September 2022 Senior Convertible Note (which was redeemed in February 2026), assumptions regarding the estimated volatility in the value of the respective common stock prices. Changes in these assumptions can materially affect the recognized estimated fair values.