Fair Value Measurements and Hierarchy (Tables)

6 Months Ended

Jun. 30, 2025

Schedule of Fair Value Hierarchy for Financial Liabilities

Information about the Company’s financial liabilities measured at fair value on a recurring basis is presented below:


	Level 1		Level 2		Level 3		Total
	(in thousands)
Warrant liability as of June 30, 2025	$	118	$	—	$	4,870	$	4,988
Warrant liability as of December 31, 2024	$	127	$	—	$	10,185	$	10,312

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The key Level 3 weighted average inputs into the option pricing model related to the private placement warrants to purchase Class A common stock were as follows:


	June 30, 2025			December 31, 2024
Volatility	94.9		%	91.7		%
Risk-free interest rate	3.8		%	4.4		%
Exercise price	$	25.45		$	25.00
Expected term	5.8 Years			6.2 years

Schedule of Changes in the Fair Value

The following table sets forth a summary of changes in the fair value of the Company’s private placement warrants to purchase Class A common stock, which are considered to be Level 3 fair value measurements:


	Six Months Ended June 30,
	2025		2024
	(in thousands)
Beginning balance	$	10,185	$	29
Issuance of common warrants	—		33,259
Mark-to-market adjustment of stock warrants	(5,315)		(8,783)
Ending balance	$	4,870	$	24,505

P3 Health Partners Inc. 10-Q