22nd Century Group, Inc. Fair Value Disclosure
NOTE 8. – FAIR VALUE MEASUREMENTS
Assets and Liabilities Measured at Fair Value on a Recurring Basis
Fair value measurement standards apply to certain financial assets and liabilities that are measured at fair value on a recurring basis (each reporting period). The Company does not have any nonfinancial assets or liabilities that are measured at fair value on a recurring basis.
The following table presents information about our liabilities measured at fair value at December 31, 2024, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:
Fair Value | ||||||||||||
December 31, 2024 | ||||||||||||
| Level 1 | | Level 2 | | Level 3 | | Total | |||||
Liabilities |
| |
| |
| |
| | ||||
Omnia 2024 Warrants | $ | — | $ | — | $ | 1,023 | $ | 1,023 | ||||
Total liabilities | $ | — | $ | — | $ | 1,023 | $ | 1,023 | ||||
Warrants
The following table sets forth a summary of the changes in fair value of the Company’s common stock warrants accounted for as liabilities (Level 3):
Fair value measurement at January 1, 2024 | $ | 1,350 | |
Settlement and General Release | (1,350) | ||
Initial measurement (Omnia 2024 warrants) | 1,515 | ||
Fair value measurement adjustment | (492) | ||
Fair value measurement at December 31, 2024 | $ | 1,023 | |
Fair value measurement adjustment | 208 | ||
Omnia 2024 warrants put option exercise | (1,231) | ||
Fair value measurement at December 31, 2025 | $ | — |
The Omnia warrants were measured at December 31, 2024 using a Monte Carlo valuation model with the following assumptions:
December 31, | |||
2024 | |||
Risk-free interest rate per year |
| 4.3 | % |
Expected volatility per year |
| 119.0 | % |
Expected dividend yield |
| — | % |
Contractual expiration |
| 4.3 | years |
Exercise price | $ | 124,588.13 | |
Stock price | $ | 1,831.95 | |
The warrants are measured at fair value using certain estimated factors which are classified within Level 3 of the valuation hierarchy. Significant unobservable inputs that are used in the fair value measurement of the Company’s warrants include the volatility factor, anti-dilution provisions, and contingent put option. Significant increases or decreases in the volatility factor would have resulted in a significantly higher or lower fair value measurement. Additionally, a change in probability regarding the anti-dilution provision or put option would have resulted in a significantly higher or lower fair value measurement. The Omnia 2023 warrants were extinguished and the Omnia 2024 warrants were issued in April 2024. The put option of the 2024 Omnia Warrants was fully exercised on September 29, 2025, in the amount of $1,231 and paid on October 2, 2025. See Note 12 “Debt” and Note 9 “Capital Raises and Warrants for Common Stock” for further details.
Derivative Liability
The following table sets forth a summary of the changes in fair value of the Company’s derivative related to the bifurcated conversion option on the Senior Secured Credit Facility debentures accounted for as liabilities (Level 3):
Fair value measurement at January 1, 2024 | $ | 557 | |
Fair value measurement adjustment | (557) | ||
Fair value measurement at December 31, 2024 | $ | - |
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
Fair value standards also apply to certain assets and liabilities that are measured at fair value on a nonrecurring basis. During the years ended December 31, 2025 and 2024, the Company did not have any financial assets or liabilities measured at fair value on a nonrecurring basis.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 26, 2026 | Showing above |
| 2024 | Mar 20, 2025 | |
| 2023 | Mar 28, 2024 | |
| 2022 | Mar 9, 2023 | |
| 2021 | Mar 1, 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.