MultiSensor AI Holdings, Inc. Fair Value Disclosure
Note 17 — Fair Value Measurements
The Company’s financial instruments consist of cash and cash equivalents, accounts receivables and accounts payables, where the carrying amount approximates fair value due to the short-term nature of each instrument.
The fair value of the Company’s outstanding warrants as of December 31, 2024, and 2023 was $10 and $49, respectively, and was classified as Level 3 within the fair value hierarchy.
Fair Value Assumption – Warrants |
| December 31, 2024 |
| |
Exercise Price | $ | 11.50 | ||
Warrant term | 3.97 years | |||
Maturity date |
| 12/19/2028 | ||
Stock Price | $ | 1.84 | ||
Risk rate |
| 4.27 | % | |
Volatility | 42.26 | % | ||
Fair Value Assumption – Warrants |
| December 31, 2023 | |
Exercise Price | $ | 11.50 | |
Warrant term | 4.97 years | ||
Maturity date |
| 12/19/2028 | |
Stock Price | $ | 3.35 | |
Risk rate |
| 3.75 | |
Volatility |
| 33.29 | |
The Financing Notes (see Note 9) which were converted to equity during the twelve months ending December 31, 2024, were valued as of December 31, 2023 using a probability-weighted expected return method (“PWERM”) based on the probabilities of different potential outcomes for the note. The fair value of the convertible note was determined using the following significant unobservable inputs.
The fair value of the Financing Notes as of December 31, 2023 is $5,695 and is classified as Level 3 within the fair value hierarchy.
Fair Value Assumption – Financing Note |
| December 31, 2023 |
| |
Principal | $ | 6,805 | ||
Discount rate |
| 20.00 | % | |
Note term |
| 2.97 years | ||
Stock Price | $ | 3.35 | ||
Maturity date |
| 12/19/2026 | ||
Risk rate |
| 3.92 | % | |
Volatility |
| 32.49 | % | |
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2024 | Mar 28, 2025 | Showing above |
| 2023 | Mar 29, 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.