v3.25.4
Fair Value Measurements
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 3. Fair Value Measurements

 

Convertible Notes

 

During the nine months ended September 30, 2023, the Company issued the 2023 Note with a principal balance of $3.7 million. The fair value of the 2023 Note on September 30, 2023 was estimated using a Monte Carlo simulation to capture the path dependencies intrinsic to their terms. The significant unobservable inputs used in the fair value measurement of the Company’s convertible notes would be the common stock price, volatility, and risk-free interest rates. Significant changes in these inputs may result in significantly lower or higher fair value measurement. The Company elected the fair value option when recording the 2023 Note. The 2023 Notes was classified as a liability and measured at fair value on the issuance date, with any changes in fair value to be recognized as other income (expense) on the statements of operations and disclosed in the condensed financial statements. During the nine months ended September 30, 2023, the Company paid down the remaining balance of the 2023 Note and there are no other notes outstanding as of September 30, 2024.

 

As of September 30, 2024 and December 31, 2023, the Company did not have any outstanding liabilities measured at fair value on a recurring basis.

 

A summary of significant unobservable inputs (Level 3 inputs) used in measuring the 2023 Note upon its issuance date is as follows:

 

   February 6, 2023   September 30,
2023		 
Dividend yield   —%   —%
Expected price volatility   30.0 - 53.7%    30.0%
Risk free interest rate   4.65 - 4.89%   5.35%
Expected term (in years)   0.5 - 1.4    0.1 - 1.0 

 

The following table presents changes in Level 3 liabilities measured at fair value for the nine months ended September 30, 2023. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to unobservable (e.g., changes in unobservable long-dated volatilities) inputs.

 

There were no liabilities measured at fair value on a recurring basis into the fair value hierarchy as of September 30, 2024.

 

   Convertible Notes 
Balance at December 31, 2022  $173,543 
Issuance of convertible notes   1,903,531 
Issuance of common stock in connections with conversion of notes payables   (445,167)
Repayment of convertible notes   (559,600)
Loss on extinguishment of debt   394,257 
Change in fair value   114,704 
Balance at September 30, 2023  $1,581,268 

 

 

KUVATRIS THERAPEUTICS, INC.

NOTES TO CONDENSED FINANCIAL STATEMENTS