PAVmed Inc. Fair Value Disclosure
Note 12 — Financial Instruments Fair Value Measurements
Recurring Fair Value Measurements
The fair value hierarchy table for the periods indicated is as follows:
| Fair Value Measurement on a Recurring Basis at Reporting Date Using1 | ||||||||||||||||
| Level-1 Inputs | Level-2 Inputs | Level-3 Inputs | Total | |||||||||||||
| December 31, 2024 | ||||||||||||||||
| Assets: | ||||||||||||||||
| Investment in Lucid Diagnostics, Inc common stock | $ | 25,637 | $ | $ | $ | 25,637 | ||||||||||
| Total assets at fair value | $ | 25,637 | $ | $ | $ | 25,637 | ||||||||||
| Liabilities: | ||||||||||||||||
| Senior Secured Convertible Note - April 2022 | 20,300 | 20,300 | ||||||||||||||
| Senior Secured Convertible Note - September 2022 | 8,800 | 8,800 | ||||||||||||||
| Total liabilities at fair value | $ | $ | $ | 29,100 | $ | 29,100 | ||||||||||
| Level-1 Inputs | Level-2 Inputs | Level-3 Inputs | Total | |||||||||||||
| December 31, 2023 | ||||||||||||||||
| Liabilities: | ||||||||||||||||
| Senior Secured Convertible Note - April 2022 | $ | $ | $ | 19,000 | $ | 19,000 | ||||||||||
| Senior Secured Convertible Note - September 2022 | 11,250 | 11,250 | ||||||||||||||
| Lucid Senior Secured Convertible Note - March 2023 | 13,950 | 13,950 | ||||||||||||||
| Total liabilities at fair value | $ | $ | $ | 44,200 | $ | 44,200 | ||||||||||
| 1 | There were no transfers between the respective Levels during the year ended December 31, 2024. |
As discussed in Note 13, Debt, the Company issued Senior Secured Convertible Notes dated April 4, 2022 and September 8, 2022, with an initial $27.5 million face value principal (“April 2022 Senior Convertible Note”) and an initial $11.25 million face value principal (“September 2022 Senior Convertible Note”), respectively. Both convertible notes are accounted for under the ASC 825-10-15-4 fair value option (“FVO”) election, wherein, the financial instrument is initially measured at its issue-date estimated fair value and subsequently remeasured at estimated fair value on a recurring basis at each reporting period date.
As discussed in Note 13, Debt, Lucid Diagnostics issued a Senior Secured Convertible Note dated March 21, 2023, with an initial $11.1 million face value principal (“Lucid March 2023 Senior Convertible Note”). From and after September 10, 2024, the date of Lucid’s deconsolidation from PAVmed’s result of operation, the Company’s investment in Lucid has been accounted for as an equity method investment. For the periods prior to the deconsolidation, Lucid’s convertible note is presented in PAVmed’s balance sheets and is also accounted for under the ASC 825-10-15-4 fair value option (“FVO”) election, wherein, the financial instrument is initially measured at its 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.
Note 12 — Financial Instruments Fair Value Measurements - continued
The estimated fair value of the April 2022 Senior Convertible Note and the September 2022 Senior Convertible Note as of December 31, 2024, the Lucid March 2023 Senior Convertible Note as of September 10, 2024 (the date of deconsolidation), and the estimated fair value of the April 2022 Senior Convertible Note, the September 2022 Senior Convertible Note and the Lucid March 2023 Senior Convertible Note as of December 31, 2023, were 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:
April 2022 Senior Convertible Note: | September 2022 Senior Convertible Note: | Lucid March 2023 Senior Convertible Note: | ||||||||||
| Fair Value | $ | 20,300 | $ | 8,800 | $ | 10,350 | ||||||
| Face value principal payable | $ | 17,602 | $ | 7,627 | $ | 9,014 | ||||||
| Required rate of return | 9.100 | % | 8.900 | % | 9.70 | % | ||||||
| Conversion Price | $ | 75.00 | $ | 75.00 | $ | 5.00 | ||||||
| Value of common stock | $ | $ | $ | |||||||||
| Expected term (years) | 0.04 - 0.26 | 0.69 | 0.53 | |||||||||
| Volatility | 160.00 | % | 160.00 | % | 60.00 | % | ||||||
| Risk free rate | 4.27% - 4.31% | 4.12 | % | 4.51 | % | |||||||
| Dividend yield | % | % | % | |||||||||
April 2022 Senior Convertible Note: | September 2022 Senior Convertible Note: | Lucid March 2023 Senior Convertible Note: | ||||||||||
| Fair Value | $ | 19,000 | $ | 11,250 | $ | 13,950 | ||||||
| Face value principal payable | $ | 17,602 | $ | 9,062 | $ | 11,019 | ||||||
| Required rate of return | 10.00% - 10.50% | 10.00% - 10.20% | 10.00 | % | ||||||||
| Conversion Price | $ | 75.00 | $ | 75.00 | $ | 5.00 | ||||||
| Value of common stock | $ | $ | $ | |||||||||
| Expected term (years) | 0.26 - 1.26 | 0.69 - 1.69 | 1.22 | |||||||||
| Volatility | 85.00 | % | 85.00 | % | 60.00 | % | ||||||
| Risk free rate | 4.54% - 5.25% | 4.31% - 4.96% | 4.56 | % | ||||||||
| Dividend yield | % | % | % | |||||||||
The estimated fair values recognized utilized PAVmed’s and Lucid’s common stock prices, along with certain Level 3 inputs (as presented in the respective tables 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 respective common stock prices, as compared to the floor price on conversions, the dividend yields, the risk-free rates based on U.S. Treasury security yields, and certain other Level-3 inputs including, probability weighting on the likelihood as of December 31, 2024 of shareholder approval of then-pending exchange of the April 2022 Senior Convertible Note and a portion of the September 2022 Senior Convertible Note in exchange for shares of the Company’s Series C Preferred Stock (which exchange was approved and consummated in January 2025), probability weighting on the likelihood as of September 10, 2024 of the Lucid March 2023 Senior Convertible Note of Lucid exercising the Company’s optional redemption clause and a hold to maturity scenario (which Lucid elected to exercise the Company’s redemption option in November 2024), assumptions regarding the estimated volatility in the value of the respective common stock prices. Changes in these assumptions can materially affect the recognized estimated fair values.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2024 | Mar 24, 2025 | Showing above |
| 2023 | Mar 25, 2024 | |
| 2022 | Mar 14, 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.