Cellectar Biosciences, Inc. Fair Value Disclosure
3. FAIR VALUE
In accordance with ASC 820, Fair Value Measurements and Disclosures, the Company groups its financial assets and financial liabilities generally measured at fair value in three levels, based on the markets in which the assets and liabilities are traded, and the reliability of the assumptions used to determine fair value:
| ● | Level 1: Input prices quoted in an active market for identical financial assets or liabilities. |
| ● | Level 2: Inputs other than prices quoted in Level 1, such as prices quoted for similar financial assets and liabilities in active markets, prices for identical assets, and liabilities in markets that are not active or other inputs that are observable or can be corroborated by observable market data. |
| ● | Level 3: Input prices quoted that are significant to the fair value of the financial assets or liabilities which are not observable or supported by an active market. |
To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Company in determining fair value is greatest for instruments categorized in Level 3. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. The carrying value of cash and cash equivalents approximates fair value as maturities are less than three months. The carrying amounts reported for other current financial assets and liabilities approximate fair value because of their short-term nature.
The Company evaluates its financial assets and liabilities subject to fair value measurements on a recurring basis to determine the appropriate level in which to classify them for each reporting period, pursuant to the policy described in Note 2. This determination requires significant judgments be made. The following table summarizes the conclusions reached as of December 31, 2025 and 2024 for financial instruments measured at fair value on a recurring basis.
| Balance | | Level 1 | | Level 2 | | Level 3 | |||||
December 31, 2025 | ||||||||||||
Cash and cash equivalents | $ | 13,196,033 | $ | 13,196,033 | $ | — | $ | — | ||||
Total assets | $ | 13,196,033 | $ | 13,196,033 | $ | — | $ | — | ||||
Warrant liability | $ | 226,000 | $ | — | $ | — | $ | 226,000 | ||||
Total liabilities | $ | 226,000 | $ | — | $ | — | $ | 226,000 | ||||
December 31, 2024 |
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Cash and cash equivalents | $ | 23,288,607 | $ | 23,288,607 | $ | — | $ | — | ||||
Total assets | $ | 23,288,607 | $ | 23,288,607 | $ | — | $ | — | ||||
Warrant liability | $ | 1,718,000 | $ | — | $ | — | $ | 1,718,000 | ||||
Total liabilities | $ | 1,718,000 | $ | — | $ | — | $ | 1,718,000 | ||||
July 2024 Warrants
As part of the July 2024 financing the Company issued Tranche A, B, and C warrants (the 2024 Warrants) to purchase shares of common stock (see Note 2). The fair value of the 2024 warrants was determined using a probability-weighted expected return method (PWERM) with a scenario-based Monte Carlo simulation and Black-Scholes model. The PWERM is a scenario-based methodology that estimates the fair value of the Company’s different classes of equity based upon an analysis of future values for the Company, assuming various outcomes. Under both models, assumptions and estimates are used to value the warrants. The Company assesses these assumptions and estimates on a quarterly basis as additional information that impacts the assumptions is obtained. The quantitative elements associated with the inputs impacting the fair value measurement of the 2024 Warrants include the value per share of the underlying common stock, the timing, form and overall value of the expected exits for the stockholders, the risk-free interest rate, the expected dividend yield and the expected volatility of the Company’s shares. The risk-free interest rate is determined by reference to the U.S. Treasury yield curve for time periods approximately equal to the remaining contractual term of the warrants. The Company estimated a 0% dividend yield based on the expected dividend yield and the fact that the Company has never paid or declared cash dividends. Expected volatility was determined based upon the historical volatility of the Company’s common stock.
The 2024 Warrants are classified within the Level 3 hierarchy because of the nature of these inputs and the valuation technique utilized, and had a fair value of $180,000 and $1,200,000 as of December 31, 2025, and December 31, 2024, respectively, which is included in the warrant liability caption on the accompanying balance sheets.
The following table summarizes the modified option-pricing assumptions used on December 31, 2025 and 2024:
| December 31, | | December 31, |
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2025 | 2024 |
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Volatility |
| 110.00-117.00 | % | 80.60-104.00 | % |
Risk-free interest rate |
| 3.50-3.80 | % | 3.50-4.20 | % |
Expected life (years) |
| 3.30-4.10 |
| 0.50-4.80 | |
Dividend |
| 0 | % | 0 | % |
September 2023 Warrants
The fair value of the 2023 Warrants was determined by utilizing a Black-Scholes option-pricing model. The quantitative elements associated with the inputs impacting the fair value measurement of the 2023 Warrants include the value per share of the underlying common stock, the risk-free interest rate, the expected dividend yield and the expected volatility of the Company’s shares. The risk-free interest rate is determined by reference to the U.S. Treasury yield curve for time periods approximately equal to the remaining contractual term of the warrants. The Company estimated a 0% dividend yield based on the expected dividend yield and the fact that the Company has never paid or declared cash dividends. Expected volatility was determined based upon the historical volatility of the Company’s common stock. These warrants are classified within the Level 3 hierarchy because of the nature of these inputs and the valuation technique utilized.
The 2023 Warrants are classified within the Level 3 hierarchy because of the nature of the valuation technique utilized, and had a fair value of $5,000 and $26,000 as of December 31, 2025 and 2024, respectively, which is included in the warrant liability caption on the accompanying balance sheets.
The following table summarizes the modified option-pricing assumptions used on December 31, 2025 and 2024:
| December 31, | | December 31, |
| |
2025 | 2024 | ||||
Volatility |
| 100.17-125.50 | % | 105 | % |
Risk-free interest rate |
| 3.55-3.89 | % | 4.20-4.30 | % |
Expected life (years) |
| 2.69-3.44 |
| 0.80-4.20 | |
Dividend |
| 0 | % | 0 | % |
October 2022 Warrants
The fair value of the 2022 Common Warrants was determined by utilizing a Black-Scholes option-pricing model. The quantitative elements associated with the inputs impacting the fair value measurement of the 2022 Common Warrants include the value per share
of the underlying common stock, the risk-free interest rate, the expected dividend yield and the expected volatility of the Company’s shares. The risk-free interest rate is determined by reference to the U.S. Treasury yield curve for time periods approximately equal to the remaining contractual term of the warrants. The Company estimated a 0% dividend yield based on the expected dividend yield and the fact that the Company has never paid or declared cash dividends. Expected volatility was determined based upon the historical volatility of the Company’s common stock. These warrants are classified within the Level 3 hierarchy because of the nature of these inputs and the valuation technique utilized.
The 2022 Common Warrants are classified within the Level 3 hierarchy because of the nature of these inputs and the valuation technique utilized, and had a fair value of $41,000 and $462,000 as of December 31, 2025, and December 31, 2024, respectively, which is included in the warrant liability caption on the accompanying balance sheets.
The following table summarizes the assumptions used at each financial reporting date:
| December 31, | | December 31, |
| |
2025 | 2024 | ||||
Volatility |
| 147.20 | % | 117.50 | % |
Risk-free interest rate |
| 3.47 | % | 4.27 | % |
Expected life (years) |
| 1.80 |
| 2.80 | |
Dividend |
| 0 | % | 0 | % |
The following table summarizes the changes in the fair market value of all warrants which are classified within the Level 3 fair value hierarchy for the years ended December 31, 2025 and 2024:
| 2025 | | 2024 | |||
Beginning warrant fair value | $ | 1,718,000 | $ | 13,131,691 | ||
Change in warrant fair value | (317,055) | (14,778,015) | ||||
— | 12,000,000 | |||||
Settlement of warrants to equity | (1,174,945) | (7,410,000) | ||||
Exercise of October 2022 warrants | — | (1,225,676) | ||||
Ending warrant fair value | $ | 226,000 | $ | 1,718,000 | ||
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 4, 2026 | Showing above |
| 2024 | Mar 13, 2025 | |
| 2023 | Mar 27, 2024 | |
| 2022 | Mar 9, 2023 | |
| 2021 | Mar 21, 2022 | |
| 2020 | Mar 2, 2021 | |
| 2019 | Mar 9, 2020 | |
| 2018 | Feb 26, 2019 | |
| 2017 | Mar 21, 2018 | |
| 2016 | Mar 15, 2017 | |
| 2015 | Mar 11, 2016 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.