FAIR VALUE MEASUREMENTS

6 Months Ended

Jun. 30, 2025

NOTE 5. FAIR VALUE MEASUREMENTS

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 June 30, 2025 and December 31, 2024, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:


	Fair Value
	June 30, 2025
	Level 1		Level 2		Level 3		Total
Liabilities
Omnia 2024 warrants	$	—	$	—	$	1,197	$	1,197
Total liabilities	$	—	$	—	$	1,197	$	1,197


	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, 2025	$	1,023
Fair value measurement adjustment		162
Fair value measurement at March 31, 2025	$	1,185
Fair value measurement adjustment		12
Fair value measurement at June 30, 2025	$	1,197

The Omnia warrants were measured at June 30, 2025 and December 31, 2024 using a Monte Carlo valuation model with the following assumptions:


	June 30,			December 31,
	2025			2024
Risk-free interest rate per year		4.1	%		4.3	%
Expected volatility per year		123.6	%		119.0	%
Expected dividend yield		—	%		—	%
Contractual expiration		3.8	years		4.3	years
Exercise price	$	8,305.88		$	8,305.88
Stock price	$	7.53		$	122.13

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. As of June 30, 2025, the Omnia 2024 warrants are classified as Other current liabilities on the Condensed Consolidated Balance Sheets.

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 three and six months ended June 30, 2025 and 2024, the Company did not have any financial assets or liabilities measured at fair value on a nonrecurring basis.

- 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

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+ Details

22nd Century Group, Inc. 10-Q