FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2025

2. FAIR VALUE MEASUREMENTS

Fair Value of Financial Instruments

Cash and cash equivalents, accounts receivable, and accounts payable are considered Level 1 due to their short-term nature and their market interest rates.

The Company recorded warrants in connection with a public offering in 2022 (the “2022 Warrants”) in warrant liabilities. As discussed in Note 6 to the unaudited condensed consolidated financial statements, in connection with a registered direct offering in 2024, the Company amended certain of the 2022 Warrants to purchase up to an aggregate of 366,664 shares of common stock (the “2022 Modified Warrants”). The terms of the remaining 433,321 of the 2022 Warrants were unchanged (the “2022 Unmodified Warrants”). In August 2024, 311,111 of the 2022 Modified Warrants were further modified as part of a warrant inducement agreement. These warrants were exercised at a reduced price of $1.25.

The fair value of the 2022 Warrants as of September 30, 2025 and December 31, 2024 was approximately $66,000 and $60,000, respectively. The fair value of the 2022 Warrants was estimated using Black-Scholes pricing model based on the following assumptions:


	September 30, 2025						December 31, 2024
	Unmodified			Modified			Unmodified			Modified
	Warrants			Warrants			Warrants			Warrants
Dividend yield		-	%		-	%		-	%		-	%
Volatility		162.3	%		145.1	%		111.3	%		103.6	%
Risk-free interest rate		3.61	%		3.65	%		4.22	%		4.28	%
Expected lives (years)		1.89			3.33			2.64			4.07
Weighted average fair value	$	0.117		$	0.281		$	0.101		$	0.162

The 2022 Warrants were deemed to be derivative instruments due to certain contingent put features. The fair value of the 2022 Warrants was determined using the Black-Scholes option pricing model, deemed to be an appropriate model due to the terms of the 2022 Warrants issued, including a fixed term and exercise price.

The fair value of the 2022 Warrants was affected by changes in inputs to the Black-Scholes option pricing model including the Company’s stock price, expected stock price volatility, the contractual term, and the risk-free interest rate. This model uses Level 2 inputs, including stock price volatility, in the fair value hierarchy established by ASC 820, Fair Value Measurement. The 2022 Warrants are classified in warrant liabilities on the Company’s unaudited condensed consolidated balance sheets.

The Company recorded warrants in connection with the March conversion of Senior Secured Convertible Promissory Notes (the “Convertible Notes”) in 2025 (the “March 2025 Warrants”) in warrant liabilities. The March 2025 Warrants were deemed to be derivative instruments due to certain contingent put features. As discussed in Note 5 to the unaudited condensed consolidated financial statements, in connection with the conversion of convertible notes in March 2025, the Company issued warrants to purchase up to an aggregate of 12,298,177 shares of common stock. The March 2025 Warrants had an exercise price of $0.25 per share for the first 24 months after issuance, and $0.50 per share thereafter, but were modified in September 2025 to an exercise price of $0.35 per share (the “Amended March 2025 Warrants”), utilizing a fixed expiration date.

The fair value of the March 2025 Warrants as of September 30, 2025 and March 12, 2025 was approximately $5,213,000 and $1,477,000, respectively. The fair value of the March 2025 Warrants was estimated using a Monte Carlo simulation pricing model for its March 12, 2025 fair value assessment, which uses Level 3 inputs due to its incorporation

of significant inputs that are not observable in the market. The mean present value across multiple simulation iterations was used to estimate the fair value of the March 2025 Warrants.

Following the modification, the fair value of the Amended March 2025 Warrants was determined using the Black-Scholes option pricing model, deemed to be an appropriate model due to the terms of the Amended March 2025 Warrants issued, including a fixed term and exercise price.

The following table presents the Company’s transfers from Level 3 to Level 2 during the nine months ended September 30, 2025.


(Amounts in Thousands)		Balance as of January 1, 2025		Change in warrant value due to modification		Transfers out of Level 3		Balance as of September 30, 2025
Level 3 Warrant Liabilities	$	1,230	$	3,732	$	(4,962)	$	-

These transfers were primarily due to the change from the Monte Carlo simulation pricing model to the Black-Scholes option pricing model, deemed to be an appropriate model due to the terms of the Amended March 2025 Warrants issued, including a fixed term and exercise price. The fair value of the Amended March 2025 Warrants was affected by changes in inputs to the Black-Scholes option pricing model including the Company’s stock price, expected stock price volatility, the contractual term, and the risk-free interest rate. This model uses Level 2 inputs, including stock price volatility, in the fair value hierarchy established by ASC 820, Fair Value Measurement. The Amended March 2025 Warrants are classified in warrant liabilities on the Company’s unaudited condensed consolidated balance sheets.

The Company used the following key inputs to determine the fair value of the March 2025 Warrants. For September 30, 2025, the Company used the Black-Scholes option pricing model. For March 12, 2025, the Company used the Monte Carlo simulation pricing model.


	September 30, 2025			March 12, 2025
Exercise price (first 24 months)	$	0.35		$	0.25
Exercise price	$	0.35		$	0.50
Volatility		128.6	%		105.7	%
Risk-free interest rate		3.71	%		4.03	%
Remaining term (years)		5.4			5.0
Weighted average fair value	$	0.44		$	0.12

The Company recorded the Convertible Notes on its books at fair value. The fair value of the Convertible Notes was calculated by backing out the fair value of the March 2025 Warrants, which was estimated using a Monte Carlo simulation pricing model. The Monte Carlo simulation pricing model uses Level 3 inputs due to its incorporation of significant inputs that are not observable in the market. The fair value of the convertible notes at issuance was approximately $2,563,000. Accordingly, on the date of issuance, the Company recorded a loss of $1,198,000, which is the difference between the fair value and the proceeds received. The Convertible Notes were marked to market through the date of conversion, March 12, 2025. The change in fair value from the date of issuance through the date of conversion was a gain of $170,000 which was recognized in Change in fair value of Convertible Notes in the accompanying condensed consolidated financial statements.

The following is a reconciliation of the fair values from December 31, 2024 to September 30, 2025.


	Fair Value of		Fair Value of		Total Fair Value
	August 2022		March 2025		of Warrant
(in thousands)	Warrants		Warrants		Liability
August 2022 Warrant liability – December 31, 2024	$	60	$	-	$	60
Warrant liability – March 12, 2025		-		1,477		1,477
Change in fair value (loss) reported in statement of operations		6		4,006		4,012
Warrants exercised		-		(44)		(44)
Warrant liability – September 30, 2025	$	66	$	5,439	$	5,505

The carrying value of the Company’s insurance promissory note approximates fair value as of September 30, 2025 and December 31, 2024, due to the short-term nature of the insurance note and is classified as Level 2 within the fair value hierarchy.

The DECD loan is classified within Level 3 of the fair value hierarchy. The following table presents the carrying value and fair value of the DECD loan. The fair value of the DECD loan is estimated based on discounted cash flows using the prevailing market interest rates.


		September 30,				December 31,
		2025				2024
(in thousands)	Fair Value Hierarchy	Carrying Value		Fair Value		Carrying Value		Fair Value
DECD loan	Level 3	$	1,334	$	1,072	$	1,511	$	1,169

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)(1)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 2: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 107
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-107

Reference 3: http://www.xbrl.org/2003/role/exampleRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 55
-Paragraph 100
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482078/820-10-55-100

Reference 4: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)(3)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 5: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 6A
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A

Reference 6: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2E
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E

Reference 7: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 6A
-Subparagraph (h)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A

Reference 8: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 6A
-Subparagraph (f)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A

Reference 9: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 6A
-Subparagraph (e)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A

Reference 10: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 6A
-Subparagraph (d)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A

Reference 11: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (h)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 12: http://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (g)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

Reference 13: http://www.xbrl.org/2003/role/disclosureRef
-Topic 940
-SubTopic 820
-Name Accounting Standards Codification
-Section 50
-Paragraph 1
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org/1943274/2147478119/940-820-50-1

+ Details

Aspira Women's Health Inc. 10-Q