Financial Instruments Fair Value Measurements

6 Months Ended

Jun. 30, 2024

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 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, 2024
Senior Secured Convertible Note - April 2022	$	—	$	—	$	19,200	$	19,200
Senior Secured Convertible Note - September 2022		—		—		13,600		13,600
Lucid Senior Secured Convertible Note - March 2023		—		—		11,200		11,200
Totals	$	—	$	—	$	44,000	$	44,000

	Level-1 Inputs		Level-2 Inputs		Level-3 Inputs		Total
December 31, 2023
Senior Secured Convertible Note - April 2022	$	—	$	—	$	19,000	$	19,000
Senior Secured Convertible Note - September 2022		—		—		11,250		11,250
Lucid Senior Secured Convertible Note - March 2023		—		—		13,950		13,950
Totals	$	—	$	—	$	44,200	$	44,200

¹ There were no transfers between the respective Levels during the six months ended June 30, 2024.

As discussed in Note 10, Debt, the Company issued Senior Secured Convertible Notes dated April 4, 2022 and September 8, 2022, with an initial $27.5 million face value principal (“April 2022 Senior Convertible Note”) and an initial $11.25 million face value principal (“September 2022 Senior Convertible 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.

As discussed in Note 10, Debt, Lucid Diagnostics issued a Senior Secured Convertible Note dated March 21, 2023, with an initial $11.1 million face value principal (“Lucid March 2023 Senior Convertible Note”). This convertible note is also 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.

Note 9 — Financial Instruments Fair Value Measurements - continued

The estimated fair value of the April 2022 Senior Convertible Note, the September 2022 Senior Convertible Note and the Lucid March 2023 Senior Convertible Note as of each of June 30, 2024 and December 31, 2023, 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:

	April 2022 Senior Convertible Note: June 30, 2024			September 2022 Senior Convertible Note: June 30, 2024			Lucid March 2023 Senior Convertible Note: June 30, 2024
Fair Value	$	19,200		$	13,600		$	11,200
Face value principal payable	$	17,602		$	8,082		$	9,811
Required rate of return		10.000	%		9.700	%		10.00	%
Conversion Price	$	75.00		$	75.00		$	5.00
Value of common stock	$	0.82		$	0.82		$	0.82
Expected term (years)		0.76			1.19			0.72
Volatility		160.00	%		160.00	%		60.00	%
Risk free rate		5.07	%		4.90	%		5.09	%
Dividend yield		—	%		—	%		—	%

	April 2022 Senior Convertible Note: December 31, 2023			September 2022 Senior Convertible Note: December 31, 2023			Lucid March 2023 Senior Convertible Note: December 31, 2023
Fair Value	$	19,000		$	11,250		$	13,950
Face value principal payable	$	17,602		$	9,062		$	11,019
Required rate of return		10.00% - 10.50	%		10.00% - 10.20	%		10.00	%
Conversion Price	$	75.00		$	75.00		$	5.00
Value of common stock	$	4.12		$	4.12		$	1.41
Expected term (years)		0.26 - 1.26			0.69 - 1.69			1.22
Volatility		85.00	%		85.00	%		60.00	%
Risk free rate		4.54% - 5.25	%		4.31% - 4.96	%		4.56	%
Dividend yield		—	%		—	%		—	%

The estimated fair values recognized utilized PAVmed’s and Lucid’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, 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.