Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements and Hierarchy

v3.24.3
Fair Value Measurements and Hierarchy
 9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements and Hierarchy
Note 5: Fair Value Measurements and Hierarchy
Information about the Company’s financial liabilities measured at fair value on a recurring basis is presented below:
Level 1 Level 2 Level 3 Total
(in thousands)
Warrant liability as of September 30, 2024 $ 422  $ —  $ 19,296  $ 19,718 
Warrant liability as of December 31, 2023 $ 1,056  $ —  $ 29  $ 1,085 
The key Level 3 weighted average inputs into the option pricing model related to the private placement warrants to purchase Class A common stock were as follows:
September 30, 2024 December 31, 2023
Volatility 90  % 75  %
Risk-free interest rate 3.61  % 4.01  %
Exercise price $ 0.51  $ 11.50 
Expected term 6.4 Years 2.9 Years
Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the warrants would each result in a directionally similar change in the estimated fair value of the Company’s warrant liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not, and does not plan to, declare dividends on its common stock and, as such, there is no change in the estimated fair value of the warrant liabilities due to the dividend assumption.
The following table sets forth a summary of changes in the fair value of the Company’s private placement warrants to purchase Class A common stock, which are considered to be Level 3 fair value measurements:
Nine Months Ended September 30,
2024 2023
(in thousands)
Beginning balance $ 29  $ 40 
Issuance of Common Warrants (see Note 12)
 33,260  — 
Mark-to-market adjustment of stock warrants (13,993) 11 
Ending balance $ 19,296  $ 51 
The Company recorded gains of $5.7 million and $0.8 million from changes in the fair value of stock warrants for the three months ended September 30, 2024 and 2023, respectively, and a gain of $14.6 million and loss of $0.3 million from changes in the fair value of stock warrants for the nine months ended September 30, 2024 and 2023, respectively.
The book value of cash; clinic fees, insurance receivables, and other receivables; accounts payable; and accrued expenses and other current liabilities approximate fair value because of the short maturity and high liquidity of these instruments.
During the three and nine months ended September 30, 2024, the Company recorded a gain of $6.2 million reflecting the write-off and settlement of contingent consideration related to the Company’s 2021 acquisition of Medcore HP, a Level 3 fair value measurement, upon resolution with the sellers of the assumed claims payable and risk adjustment factor.