PERPETUA RESOURCES CORP. Fair Value Disclosure
9.Financial Instruments and Fair Value Measurements
The Company’s financial instruments include the warrant derivative at December 31, 2022 and 2021. The derivative was valued at fair value at the end of each reporting period. At December 31, 2022 and 2021, the levels in the fair value hierarchy into which the Company’s financial assets and liabilities are measured and recognized on the Consolidated Balance Sheets at fair value are categorized as follows:
| Level 1 |
| Level 2 |
| Level 3 | ||||
| December 31, 2022 | ||||||||
Warrant Derivative (Note 6) | $ | — | $ | — | $ | 1,732 | |||
Total | $ | — | $ | — | $ | 1,732 | |||
December 31, 2021 | |||||||||
Warrant Derivative (Note 6) | — | — | $ | 100,770 | |||||
Total | $ | — | $ | — | $ | 100,770 | |||
The Company uses the Black-Scholes Option Pricing Model or other valuation models for valuation of its Convertible Note Derivatives and warrant derivative. Valuation models require the input of subjective assumptions including expected share price volatility, interest rate and forfeiture rate. Changes in the input assumptions can materially affect the fair value estimate and the Company’s net loss.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2022 | Mar 16, 2023 | Showing above |
| 2021 | Mar 18, 2022 | |
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.