NRX Pharmaceuticals, Inc. Fair Value Disclosure
Note 13. Fair Value Measurements
Fair value measurements discussed herein are based upon certain market assumptions and pertinent information available to management as of and during the years ended December 31, 2025 and 2024. The carrying amount of accounts payable approximated fair value as they are short term in nature. The fair value of stock options and warrants issued for services, and warrants issued with the Convertible Notes are estimated based on the Black-Scholes model. The fair value of the convertible notes payable was estimated utilizing a Monte Carlo simulation.
Fair Value on a Recurring Basis
The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually. The estimated fair value of the money market account represents a Level 1 measurement. The estimated fair value of the warrant liabilities and convertible note payable represent Level 3 measurements. The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2025 and 2024, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value (in thousands):
| Description | Level | December 31, 2025 | December 31, 2024 | |||||||||
| Assets: | ||||||||||||
| Money Market Account | 1 | $ | 403 | $ | 487 | |||||||
| Liabilities: | ||||||||||||
| Warrant liabilities (Note 11) | 3 | $ | 12,304 | $ | 5,639 | |||||||
| Convertible note payable and accrued interest, current (Note 9) | 3 | $ | — | $ | 1,246 | |||||||
| Convertible note payable and accrued interest, non-current (Note 9) | 3 | $ | — | $ | 5,011 | |||||||
Convertible Note Payable - Streeterville
The following table sets forth a summary of the changes in the fair value of the Convertible Note categorized within Level 3 of the fair value hierarchy (in thousands):
| Fair value of the Note as of December 31, 2023 | $ | 9,161 | ||
| Conversions and repayments of principal and interest (cash) | (7,850 | ) | ||
| Conversions and repayments of principal and interest (shares) | (400 | ) | ||
| Default penalty | 850 | |||
| Fair value adjustment through earnings | 1,761 | |||
| Fair value of the Note as of December 31, 2024 | $ | — | ||
| Convertible note payable - current portion | $ | — | ||
| Convertible note payable, net of current portion | $ | — |
During the year ended December 31, 2024, the Streeterville Note was repaid in full and the outstanding balance was $0 as of December 31, 2024.
Convertible Note Payable - Anson
The significant inputs used in the Monte Carlo simulation to measure the Anson Convertible Notes that are categorized within Level 3 of the fair value hierarchy are as follows:
| December 31, | ||||||
| 2024 | ||||||
| Stock price on valuation date | $ | 2.20 | ||||
| Time to expiration | 0.87 | – | 1.03 | |||
| Notes market interest rate | 11.80 | % | ||||
| Equity volatility | – | |||||
| Risk-free rate | 4.20 | % | ||||
| Probability of default | 0 | % | ||||
The following table sets forth a summary of the changes in the fair value of the Anson Note categorized within Level 3 of the fair value hierarchy (in thousands):
| Fair value of Anson Notes as of December 31, 2024 | $ | 6,257 | ||
| Fair value of Anson III Note at issuance | 2,522 | |||
| Conversion and repayments of principal and interest (shares) | (12,718 | ) | ||
| Fair value adjustment through earnings | 3,939 | |||
| Fair value of Anson Notes as of December 31, 2025 | $ | — |
| Convertible note payable as of December 31, 2025 - current portion | $ | — | ||
| Convertible note payable as of December 31, 2025, net of current portion | $ | — |
| Fair value of the Anson I and II Notes at issuance (during 2024) | $ | 6,034 | ||
| Conversions and repayments of principal and interest (shares) | (4,190 | ) | ||
| Fair value adjustment through earnings | 4,413 | |||
| Fair value of Anson Notes as of December 31, 2024 | $ | 6,257 | ||
| Convertible note payable as of December 31, 2024 - current portion | $ | 1,246 | ||
| Convertible note payable as of December 31, 2024, net of current portion | $ | 5,011 |
Warrant Liabilities
The Company utilizes a Black-Scholes model approach to value its liability-classified warrants at each reporting period, with changes in fair value recognized in the consolidated statements of operations. The estimated fair value of the warrant liabilities is determined using Level 3 inputs. There were no transfers between levels within the fair value hierarchy during the periods presented. Inherent in a Black Scholes options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its Common Stock based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.
The weighted-average significant inputs used in the Black-Scholes model to measure the warrant liabilities that are categorized within Level 3 of the fair value hierarchy are as follows:
| December 31, 2025 | December 31, 2024 | |||||||||
| Stock price on valuation date | $ | 2.71 | $ | 2.20 | ||||||
| Exercise price per share | $1.65 | – | 11.50 | $ | 2.08 | |||||
| Expected life | 0.39 | – | 3.62 | 4.69 | ||||||
| Volatility | 80.52 | – | % | |||||||
| Risk-free rate | 3.61 | – | % | |||||||
| Dividend yield | 0.0 | % | 0.0 | % | ||||||
| Fair value of warrants | $0.01 | – | $ | 1.76 | ||||||
A reconciliation of warrant liabilities is included below (in thousands):
| Balance as of December 31, 2023 | $ | 17 | ||
| Initial recognition of issuance of warrants | 3,965 | |||
| Change in fair value of warrant liabilities |
| |||
| Balance as of December 31, 2024 | $ | 5,639 | ||
| Initial recognition of issuance of warrants | 7,108 | |||
| Change in fair value of warrant liabilities | 4,926 | |||
| Fair Value of Anson warrants exercised | (5,369 | ) | ||
| Balance as of December 31, 2025 | $ | 12,304 | ||
Assets that are measured at fair value and classified as level 3 on a non-recurring basis are as follows (in thousands):
| Description | September 8, 2025 | |||
| Trade name | $ | 311 | ||
| Customer relationships | $ | 673 | ||
| Goodwill | $ | 1,793 | ||
All these assets were measured at the acquisition dates in conjunction with the Dura acquisition.
The significant unobservable inputs used in our level 3 fair value measurements during the year ended December 31, 2025 are as follows:
| Areas | Valuation Techniques | Unobservable Inputs | Range | ||||||
| Trade name | Relief-from-Royalty Method | Royality Rate | 5 | % | |||||
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| Discount rate | 25 | % | |||||||
| Income tax rate | 26.5 | % | |||||||
| Economic useful life (yrs) | |||||||||
| Customer relationship | Multi-Period Excess Earnings Method (MPEEM) | Royalty rate | 5 | % | |||||
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| Expense Growth Rates | 3 | % | |||||||
| Contributory Assets’ Charges as % from revenue | 0.2 | – | 0.7 | % | |||||
| Business development expense for new customers | % | ||||||||
| Distributor EBITA margin for customer relationships | 4 | % | |||||||
| Discount rate | 27 | % | |||||||
| Income tax rate | 26.5 | % | |||||||
| Economic useful life (yrs) | |||||||||
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 23, 2026 | Showing above |
| 2024 | Mar 14, 2025 | |
| 2023 | Mar 29, 2024 | |
| 2022 | Mar 31, 2023 | |
| 2021 | Mar 31, 2022 | |
| 2020 | Apr 1, 2021 | |
| 2019 | Mar 30, 2020 | |
| 2018 | Mar 15, 2019 | |
| 2017 | Mar 23, 2018 | |
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.