Fair Value Measurements and Hierarchy

9 Months Ended

Sep. 30, 2025

Note 5: Fair Value Measurements and Hierarchy

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 September 30, 2025	$	99	$	—	$	7,429	$	7,528
Warrant liability as of December 31, 2024	$	127	$	—	$	10,185	$	10,312

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:


	September 30, 2025			December 31, 2024
Volatility	95.3		%	91.7		%
Risk-free interest rate	3.8		%	4.4		%
Exercise price	$	25.29		$	25.00
Expected term	5.5 years			6.2 years

The exercise price for December 31, 2024 presented in the table above has been retroactively adjusted to reflect the 1-for-50 reverse stock split effected on April 11, 2025. See Note 3 “Significant Accounting Policies” for further information.

Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the warrants would each result in a directionally similar change in the estimated fair value of the Company’s warrant liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not declared, and does not plan to declare, dividends on its common stock and, as such, there is no change in the estimated fair value of the warrant liabilities due to the dividend assumption.

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:


	Nine Months Ended September 30,
	2025		2024
	(in thousands)
Beginning balance	$	10,185	$	29
Issuance of common warrants	—		33,260
Mark-to-market adjustment of stock warrants	(2,756)		(13,993)
Ending balance	$	7,429	$	19,296

The Company recorded a loss of $2.5 million and a gain of $5.7 million from changes in the fair value of stock warrants for the three months ended September 30, 2025 and 2024, respectively, and gains of $2.8 million and $14.6 million from changes in the fair value of stock warrants for the nine months ended September 30, 2025 and 2024, respectively.

The book value of cash; clinic fees, insurance receivables, and other receivables; accounts payable; and accrued expenses and other current liabilities approximate fair value because of the short maturity and high liquidity of these instruments.

- 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

P3 Health Partners Inc. 10-Q