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Fair Value Measurements | 3 Months Ended
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Mar. 31, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | 4. Fair Value Measurements The Company's assets and liabilities which are measured at fair value include warrants for preferred stock (“Preferred Warrants”), warrants for common stock related to the convertible promissory notes (“Convertible Promissory Note Warrants”), presented together on the balance sheets as “Warrant Liability” and convertible promissory notes. All assets and liabilities recorded at fair value are revalued at each measurement period. Private CalciMedica elected the fair value option for the convertible promissory notes and estimated the fair value based on a discounted cash flow analysis, a form of the Income Approach. Several different settlement scenarios were considered, and probability weighted to arrive at the final valuation. Increases or decreases in the fair value of the convertible promissory notes can result from updates to assumptions such as the expected timing or probability of the different settlement scenarios, or changes in discount rates. Judgment is used in determining these assumptions as of the initial valuation date and at each subsequent reporting period. Updates to assumptions could have a significant impact on our results of operations in any given period. The Preferred Warrants are valued using the Hybrid Method (“Hybrid Method”). This method incorporates Private CalciMedica’s near-term liquidity event prospects utilized in conjunction with the Option Pricing Method (“OPM”) framework, representing an alternative exit, to calculate an implied overall value of Private CalciMedica. This value is, in turn, allocated to Private CalciMedica’s various equity classes. The Convertible Promissory Note Warrants are valued using a series of Monte Carlo simulations and Black-Scholes to determine the fair value, probability weighted for difference scenarios. The Monte Carlo simulations determined the liquidity event price. Black-Scholes is used with the remaining contractual term of the warrants after the respective event date. The warrant value is discounted from the respective event date using the risk-free rate for the period ending December 31, 2022. As of March 31, 2023, the Convertible Promissory Note Warrants were valued using the common stock price on day of conversion. See further discussion in Note 5 - Convertible Promissory Notes and Convertible Promissory Note Warrants. The Company utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs to the extent possible. The Company determines fair value based on assumptions that market participants would use in pricing an asset or liability in the principal or most advantageous market. When considering market participant assumptions in fair value measurements, the following fair value hierarchy distinguishes between observable and unobservable inputs, which are categorized in one of the following three levels: • Level 1: Observable inputs such as unadjusted quoted prices in active markets for identical assets or liabilities at the measurement date. • Level 2: Inputs (other than quoted prices included in Level 1) that are either directly or indirectly observable for the asset or liability. These include quoted prices for similar assets or liabilities in active markets and quoted prices for identical or similar assets or liabilities in markets that are not active. • Level 3: Unobservable inputs that are supported by little or no market activity and that are significant to the fair value of the assets or liabilities. The following tables present information about the Company’s financial assets measured at fair value on a recurring basis and indicate the level of the fair value hierarchy utilized to determine such fair values (in thousands):
|  | March 31, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Current assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |  |  |  |  |  |
Money market funds |  | $ | 23,204 |  |  | $ | — |  |  | $ | — |  |  | $ | 23,204 |
Total cash equivalents |  |  | 23,204 |  |  |  | — |  |  |  | — |  |  |  | 23,204 |
Short-term investments: |  |  |  |  |  |  |  |  |  |  |  |
Commercial paper |  |  | — |  |  |  | 7,799 |  |  |  | — |  |  |  | 7,799 |
U.S. Government sponsored entities - mortgage-backed securities |  |  | — |  |  |  | 1,977 |  |  |  | — |  |  |  | 1,977 |
Total short-term investments |  |  | — |  |  |  | 9,776 |  |  |  | — |  |  |  | 9,776 |
Total assets measured at fair value |  | $ | 23,204 |  |  | $ | 9,776 |  |  | $ | — |  |  | $ | 32,980 |
No fair value liabilities exist as of March 31, 2023.
|  | December 31, 2022 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Convertible promissory notes |  | $ | — |  |  | $ | — |  |  | $ | 5,157 |  |  | $ | 5,157 |
Preferred Warrants liability |  |  | — |  |  |  | — |  |  |  | 1,453 |  |  |  | 1,453 |
Convertible Promissory Note Warrants liability |  |  | — |  |  |  | — |  |  |  | 1,192 |  |  |  | 1,192 |
Total liabilities measured at fair value |  | $ | — |  |  | $ | — |  |  | $ | 7,802 |  |  | $ | 7,802 |
The following provides a reconciliation for all liabilities measured at fair value using Level 3 inputs for the three months ended March 31, 2023 (in thousands):
Convertible Promissory Note liability |  |  |
Balance at December 31, 2022 |  | $ | 5,157 |
Change in Fair Value of Convertible Promissory Notes |  |  | (2,022 | )
Accrued Interest |  |  | 110 |
Conversion of Convertible Promissory Notes to equity |  |  | (3,245 | )
Balance at March 31, 2023 |  | $ | — |
Preferred Warrant liability |  |  |
Balance at December 31, 2022 |  | $ | 1,453 |
Change in Fair Value of Preferred Warrants |  |  | (795 | )
Conversion of warrant liability to equity |  |  | (658 | )
Balance at March 31, 2023 |  | $ | — |
Convertible Promissory Note Warrants liability |  |  |
Balance at December 31, 2022 |  | $ | 1,192 |
Change in Fair Value of Convertible Promissory Note Warrants |  |  | (351 | )
Conversion of Convertible Promissory Note Warrants liability to equity |  |  | (841 | )
Balance at March 31, 2023 |  | $ | — |
Money market funds are highly liquid investments which are actively traded. The pricing information on the Company’s money market funds are based on quoted prices in active markets for identical securities. This approach results in the classification of these securities as Level 1 of the fair value hierarchy. The fair value of investments is determined from market pricing and other observable market inputs for similar securities obtained from various third-party data providers. The pricing services utilize industry-standard valuation models, including both income and market-based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar securities; issuer credit spreads; benchmark securities; prepayment/default projections based on historical data; and other observable inputs. This approach results in the classification of these securities as Level 2 of the fair value hierarchy. As of March 31, 2023, the contractual maturities of all available-for-sale investments were less than 12 months. The Company periodically reviews the available-for-sale investments for other-than-temporary impairment loss. As of March 31, 2023, the Company had $9.8 million short term investments with no unrealized losses or gains. The Company acquired these investments as part of the Merger and recorded them at fair value as of March 20, 2023. There were no further unrealized losses or gains recognized as of March 31, 2023. As of December 31, 2022, there were no cash equivalents or short-term investments.

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