Lucid Diagnostics Inc. Fair Value Disclosure
Note 12 — Financial Instruments Fair Value Measurements
Recurring Fair Value Measurements
The fair value hierarchy table for the reporting date noted is as follows:
| | Fair Value Measurement on a Recurring Basis at Reporting Date Using 1 | | |||||||||||||
| | Level-1 Inputs | | | Level-2 Inputs | | | Level-3 Inputs | | | Total | | ||||
December 31, 2025 | | | | | | | | | | | | | | | | |
2024 Convertible Notes | | $ | — | | | $ | — | | | $ | 24,000 | | | $ | 24,000 | |
Totals | | $ | — | | | $ | — | | | $ | 24,000 | | | $ | 24,000 | |
| | Level-1 Inputs | | | Level-2 Inputs | | | Level-3 Inputs | | | Total | | ||||
December 31, 2024 | | | | | | | | | | | | | | | | |
2024 Convertible Notes | | $ | — | | | $ | — | | | $ | 18,600 | | | $ | 18,600 | |
Totals | | $ | — | | | $ | — | | | $ | 18,600 | | | $ | 18,600 | |
1 | There were no transfers between the respective Levels during the year ended December 31, 2025. |
As discussed in Note 13, Debt, the Company issued Senior Secured Convertible Notes dated November 22, 2024 with a $21.975 million face value principal (“2024 Convertible Notes”). The convertible notes are accounted for under the fair value option (“FVO”) election, wherein, the financial instruments are initially measured at their 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.
The estimated fair value of the 2024 Convertible Notes as of each December 31, 2025 and December 31, 2024 was 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:
| | 2024 | | | 2024 | | ||
| | Convertible Notes: | | | Convertible Notes: | | ||
| | December 31, 2025 | | | December 31, 2024 | | ||
Fair Value | | $ | 24,000 | | | $ | 18,600 | |
Face value principal payable | | $ | 21,975 | | | $ | 21,975 | |
Required rate of return | | | 29.50 | % | | | 29.00 | % |
Conversion Price | | $ | 1.00 | | | $ | 1.00 | |
Value of common stock | | $ | 1.09 | | | $ | 0.819 | |
Expected term (years) | | | 3.90 | | | | 4.90 | |
Volatility | | | 40.00 | % | | | 40.00 | % |
Risk free rate | | | 3.57 | % | | | 4.28 | % |
Dividend yield | | | — | % | | | — | % |
The estimated fair values reported utilized the Company’s common stock price along with certain Level 3 inputs (as discussed in the table 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 Company’s common stock price, the Company’s dividend yield, 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 Company’s common stock price and the volatility of similar entities within the medical device industry. Changes in these assumptions can materially affect the estimated fair values.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 25, 2026 | Showing above |
| 2024 | Mar 24, 2025 | |
| 2023 | Mar 25, 2024 | |
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.