Nuwellis, Inc. Fair Value Disclosure
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Level 1 - Financial instruments with unadjusted quoted prices listed on active market exchanges.
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| ● |
Level 2 - Financial instruments lacking unadjusted, quoted prices from active market exchanges, including over-the-counter traded financial instruments. The prices for the financial
instruments are determined using prices for recently traded financial instruments with similar underlying terms as well as directly or indirectly observable inputs, such as interest rates and yield curves that are observable at commonly
quoted intervals.
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| ● |
Level 3 - Financial instruments that are not actively traded on a market exchange. This category includes situations where there is little, if any, market activity for the financial
instrument. The prices are determined using significant unobservable inputs or valuation techniques.
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|
(in thousands)
|
2024 | |||
| Balance
at December 31, 2022 |
$ | 6,868 | ||
| Issuance of Common Stock
for exercise of Series I warrants |
(7,623 | ) | ||
| Change
in fair value |
755 | |||
| October 17, 2023, issuance
of Series J warrants |
4,965 | |||
| Exercise
of Series J warrants |
(536 | ) | ||
| Change in fair value | (1,586 | ) | ||
|
Balance at December 31, 2023
|
2,843
|
|||
|
Exercise of Series J warrants
|
(1,357 | ) | ||
|
April 30, 2024, issuance of common warrants
|
7,813 | |||
|
Exercise of April 2024 warrants
|
(1,373 | ) | ||
|
Reclassification of April 2024 warrants to equity
|
(2,844 | ) | ||
|
Change in fair value
|
(4,614 | ) | ||
|
Balance at December 31, 2024
|
$ | 468 | ||
| 2024 | 2023 | |||||||
|
Common Stock
Price
|
$ |
1.11-$21.35 | $ |
20.30-$39.90 | ||||
|
Risk-free interest rates, adjusted for continuous compounding
|
3.58%-5.05
|
% |
3.84%-4.92
|
% |
||||
|
Term (years)
|
1.78-5.00
|
2.78-3.0
|
||||||
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Expected volatility
|
151.90%-116.80
|
% |
141.1%-146.4
|
% |
||||
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Dates and probability of future equity raises
|
various
|
various
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Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2024 | Mar 11, 2025 | Showing above |
| 2018 | Feb 21, 2019 | |
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.