SANUWAVE Health, Inc.SNWV
SANUWAVE Health, Inc. Fair Value Disclosure
Fair Value Measurements
The Company uses various inputs to measure the outstanding warrants and certain embedded conversion features associated with convertible debt on a recurring basis to determine the fair value of the liabilities. As of December 31, 2025, the fair value of the warrant liability was not significant. The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy:
| Fair value measurement at December 31, 2024 | |||||||||||||||||||||||
| (in thousands) | Fair value | Quoted prices in active markets (Level 1) | Significant other observable inputs (Level 2) | Significant unobservable inputs (Level 3) | |||||||||||||||||||
| Warrant liability | $ | 8,107 | - | - | $ | 8,107 | |||||||||||||||||
| Total Fair Value | $ | 8,107 | $ | - | $ | - | $ | 8,107 | |||||||||||||||
There were no transfers between Level 1, 2, or 3, during the years ended December 31, 2025, and 2024. Both observable and unobservable inputs were used to determine fair value of the positions that the Company classified within the Level 3 category. Unrealized gains and losses associated with the liabilities within the Level 3 category include changes in fair value that were attributable to both observable and unobservable inputs.
Warrant Liability
The Company's liability classified warrants as of December 31, 2025, and 2024, were valued using the Black-Scholes valuation model.
The Company’s initial valuation of warrant liability from the June 2024 financing was valued using a probability weighted expected value considering the proposed reverse stock split of the Company's common stock (the "Reverse Stock Split") that would effectuate the exchange of Notes and Common Stock Purchase Warrants for shares of the Company's common stock (the "Note and Warrant Exchange"), and the previous Black-Scholes valuation model, with significant value stemming from the Note and Warrant Exchange. Significant inputs under the Note and Warrant Exchange included the
expected exchange ratio of 0.90 for $15.00 warrants and 0.85 for $25.13 warrants, the value of the Company’s common stock, the expected timing of the Reverse Stock Split effectuating, and the probability of the Note and Warrant Exchange occurring (90% probability).
Significant Black-Scholes valuation model inputs related to the Company’s warrants are listed below:
| December 31, 2025 | December 31, 2024 | ||||||||||
| Weighted average expected life in years | 0.68 | 0.85 | |||||||||
| Weighted average volatility | 58% | 91% | |||||||||
| Value of underlying shares | $29.84 | $22.76 | |||||||||
| Weighted average risk free interest rate | 3.49% | 4.10% | |||||||||
| Expected dividend yield | 0% | 0% | |||||||||
A summary of the Level 3 warrant activity is as follows:
| (in thousands, except per share data) | Warrants Outstanding | Fair Value per Share | Warrant Liability Fair Value | ||||||||||||||
| Balance December 31, 2023 | 3,594 | $ | 4.02 | $ | 14,447 | ||||||||||||
| Issuance of warrants classified as liabilities | 781 | 4.55 | 3,557 | ||||||||||||||
| Exercised | (107) | 5.73 | (613) | ||||||||||||||
| Converted to equity | (3,883) | 10.50 | (40,772) | ||||||||||||||
| Forfeited or expired | 5 | - | - | ||||||||||||||
| Change in fair value | - | - | 31,488 | ||||||||||||||
| Balance December 31, 2024 | 390 | $ | 20.79 | $ | 8,107 | ||||||||||||
| Expired | (388) | ||||||||||||||||
| Change in fair value | - | (8,107) | |||||||||||||||
| Balance December 31, 2025 | 2 | $ | 0.26 | $ | - | ||||||||||||
A summary of the warrant activity is as follows:
| (in thousands, except per share data) | Warrants Outstanding | Weighted Average Exercise Price | Weighted Average Remaining Life (years) | ||||||||||||||
| Warrants Outstanding at December 31, 2023 | 3,594 | $ | 22.50 | 4.01 | |||||||||||||
| Issuance of warrants classified as liabilities | 781 | 20.06 | |||||||||||||||
| Exercised | (107) | 29.45 | |||||||||||||||
| Converted to equity | (3,883) | 20.06 | |||||||||||||||
| Forfeited or expired | 5 | - | |||||||||||||||
| Change in fair value | - | ||||||||||||||||
| Warrants Outstanding at December 31, 2024 | 390 | 4.05 | 0.86 | ||||||||||||||
| Expired | (388) | ||||||||||||||||
| Change in fair value | - | ||||||||||||||||
| Warrants Outstanding at December 31, 2025 | 2 | 74.25 | 0.68 | ||||||||||||||
Embedded Conversion Option
Certain convertible notes include a conversion option that meets the definition of a derivative liability and, accordingly, is required to be bifurcated. The fair value for the conversion option liability of the June 2024 transaction was valued using a
probability weighted expected value considering the proposed Reverse Stock Split of the Company's common stock that would effectuate the Note and Warrant Exchange, and the previous Black-Scholes valuation model, with significant value stemming from the Note and Warrant Exchange. Significant inputs under the Note and Warrant Exchange included the value of the Company’s common stock, the expected timing of the Reverse Stock Split effectuating, and the probability of the Note and Warrant Exchange occurring (90% probability).
In October 2024, the Company exchanged all outstanding convertible notes for Common Stock as part of the Note and Warrant Exchange, see Note 13.
A summary of the conversion option liability activity is as follows:
| (in thousands) | Conversion Liability | ||||
| Balance December 31, 2023 | $ | 93 | |||
| Issuance of Convertible Notes | 8 | ||||
| Settlement of convertible notes | (26) | ||||
| Change in fair value | (75) | ||||
| Balance December 31, 2024 | $ | - | |||
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 26, 2026 | Showing above |
| 2024 | Mar 20, 2025 | |
| 2023 | Mar 21, 2024 | |
| 2022 | Mar 31, 2023 | |
| 2021 | May 13, 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.