DarioHealth Corp. Fair Value Disclosure
NOTE 8:- FAIR VALUE MEASUREMENTS
Under U.S. GAAP, fair value is defined as the amount that would be received for selling an asset or paid to transfer a liability in an orderly transaction between market participants and requires that assets and liabilities carried at fair value are classified and disclosed in the following three categories:
Level 1 - | Valuations based on quoted prices in active markets for identical assets that the Company has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these products does not entail a significant degree of judgment. |
Level 2 - | Valuations based on one or more quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly. |
Level 3 - | Valuations based on inputs that are unobservable and significant to the overall fair value measurement. |
The availability of observable inputs can vary from instrument to instrument and is affected by a wide variety of factors, including, for example, the type of investment, the liquidity of markets and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment, and the investments are categorized as Level 3.
The carrying amounts of cash and cash equivalents, short-term restricted bank deposits, trade receivables, other accounts receivable and prepaid expenses, trade payables and other accounts payable and accrued expenses approximate their fair value due to the short-term maturity of such instruments. In addition, the Callodine Loan Facility approximates its fair value. The Orbimed Warrant liability was measured at fair value using Level 3 unobservable inputs. On May 1, 2023, the Company refinanced its former $25,000 credit facility with a new $30,000 credit facility (the “Avenue Loan Facility”) by and between the Company and its subsidiary PsyInnovations Inc., collectively as the borrowers and Avenue Venture Opportunities Fund II, L.P. and Avenue Venture Opportunities Fund, L.P., collectively as the lenders (the “Avenue Lenders”). The Avenue Loan Facility was also measured at fair value using level 3 inputs unobservable inputs until the payoff date of April 30, 2025.
NOTE 8:- FAIR VALUE MEASUREMENTS (Cont.)
The following tables present information about the Company’s financial liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy used to determine such fair values:
| December 31, 2025 | ||||||||||||
| Fair Value | | Level 1 | Level 2 | Level 3 | ||||||||
Financial assets: | | | |||||||||||
Cash and cash equivalents: | | ||||||||||||
U.S. treasury notes | $ | 12,761 | | $ | — | $ | 12,761 | $ | — | ||||
Total financial assets | $ | 12,761 | $ | — | $ | 12,761 | $ | — | |||||
| | ||||||||||||
Financial liabilities: | | | |||||||||||
Orbimed Warrant liability | 43 | | — | — | 43 | ||||||||
Pre-Funded Warrant liability | 1,423 | — | 1,423 | — | |||||||||
Total financial liabilities | $ | 1,466 | $ | — | $ | 1,423 | $ | 43 | |||||
| December 31, 2024 | ||||||||||||
| Fair Value | | Level 1 | Level 2 | Level 3 | ||||||||
Financial assets: | | | |||||||||||
Cash and cash equivalents: | | ||||||||||||
U.S. treasury notes | $ | 7,305 | | $ | — | $ | 7,305 | $ | — | ||||
Total financial assets | $ | 7,305 | $ | — | $ | 7,305 | $ | — | |||||
| | ||||||||||||
Financial liabilities: | | | |||||||||||
Long-term loan | | $ | 28,923 | | $ | — | $ | — | $ | 28,923 | |||
Orbimed Warrant liability | 72 | | — | — | 72 | ||||||||
Pre-Funded Warrant liability | 5,896 | | — | 5,896 | — | ||||||||
Total financial liabilities | $ | 34,891 | $ | — | $ | 5,896 | $ | 28,995 | |||||
Orbimed Warrant Liability
The fair value of the Orbimed Warrant liability was determined based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. The fair value of the Orbimed Warrant liability is estimated by the Company based on the Monte-Carlo simulation valuation technique, in order to predict the probability of different outcomes that rely on repeated random variables.
NOTE 8:- FAIR VALUE MEASUREMENTS (Cont.)
The following inputs were used to estimate the fair value of the Orbimed Warrant liability:
December 31, | December 31, | |||||||
2025 | 2024 | |||||||
Stock price | $ | 11.38 | | $ | 15.80 | |||
Exercise price | 80.00 | 80.00 | ||||||
Expected term (in years) | 3.44 | 4.44 | ||||||
Volatility | 103.7% | 91.2% | ||||||
Dividend rate | — | — | ||||||
Risk-free interest rate | 3.56% | 4.53% | ||||||
Loan Facilities - Avenue Loan Facility
The fair value of the Avenue Loan Facility was determined based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. The Avenue Loan Facility fair value estimate incorporates comparisons to instruments with similar covenants, collateral, and risk profiles and was obtained using a discounted cash flow technique. The fair value of the Avenue Loan Facility, as of April 30, 2025, was estimated using a discount rate of 19% which reflects the internal rate of return of the Avenue Loan Facility at closing, as of May 1, 2023. For the years ended December 31, 2025 and, 2024, the change in the fair value of the loan was recorded in earnings since the Company concluded that the change in fair value was not related to instrument-specific credit risk. On April 30, 2025, the Company refinanced the Avenue Loan Facility with a new credit agreement, and the Avenue Loan Facility was repaid in full (see Note 7).
The following tables present the summary of the changes in the fair value of our financial instruments:
Avenue Loan Facility | Orbimed Warrant Liability | Pre-funded Warrant Liability | |||||||
Balance as of January 1, 2025 | $ | 28,923 | $ | 72 | $ | 5,896 | |||
Exercise | — | — |
| (2,821) | |||||
Principal repayments on long-term loan | (31,515) | — | — | ||||||
Change in fair value | 2,592 | (29) | (1,652) | ||||||
Balance as of December 31, 2025 | $ | — | $ | 43 | $ | 1,423 |
Avenue Loan Facility | Orbimed Warrant Liability | Pre-funded Warrant Liability | |||||||
Balance as of January 1, 2024 | $ | 28,545 | $ | 240 | $ | — | |||
Exercise | — | — |
| 24,457 | |||||
Issuance | — | — | (2,225) | ||||||
Change in fair value | 378 | (168) | (16,336) | ||||||
Balance as of December 31, 2024 | $ | 28,923 | $ | 72 | $ | 5,896 |
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 19, 2026 | Showing above |
| 2024 | Mar 10, 2025 | |
| 2023 | Mar 28, 2024 | |
| 2022 | Mar 9, 2023 | |
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.