The Company's assets and liabilities which are measured at fair value including short-term investments, warrants for preferred stock (“Preferred Warrants”), warrants for common stock related to the convertible promissory notes (“Convertible Promissory Note Warrants”), the liabilities are 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 the Company’s 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. 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:

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):


	December 31, 2023
	Level 1		Level 2		Level 3		Total
Current assets:
Cash equivalents:
Money market funds	$	3,634	$	—	$	—	$	3,634
Commercial paper		—		1,738		—		1,738
Total cash equivalents		3,634		1,738		—		5,372
Short-term investments:
Commercial paper		—		5,213		—		5,213
U.S. Government sponsored entities - mortgage-backed securities		—		495		—		495
Total short-term investments		—		5,708		—		5,708
Total assets measured at fair value	$	3,634	$	7,446	$	—	$	11,080

Money market funds are highly liquid investments which are actively traded. The pricing information on the Company’s money market funds is 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.

Commercial paper and U.S. Government sponsored entities - mortgage-backed are classified as Level 2 with in the hierarchy and are carried at fair value with unrealized gains and losses included in other comprehensive income (loss) as a component of stockholders’ equity until realized. The Company estimates the fair values of these securities by taking into consideration valuations obtained from third-party pricing sources.

The following tables present information about the Company’s financial liabilities 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):


	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 year ended December 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 December 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 December 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 December 31, 2023	$	—

The following table presents information as to cost, unrealized gains and losses and fair value determination of the Company’s financial assets measured at fair value on a recurring basis (in thousands):


	December 31, 2023
	Amortized Cost		Unrealized Gains		Unrealized Losses		Aggregate Fair Value
Current assets:
Cash equivalents:
Money market funds	$	3,634	$	—	$	—	$	3,634
Commercial paper		1,738		—		—		1,738
Total cash equivalents		5,372		—		—		5,372
Short-term investments:
Commercial paper		5,211		2		—		5,213
U.S. Government sponsored entities - mortgage-backed securities		495		—		—		495
Total short-term investments		5,706		2		—		5,708
Total assets measured at fair value	$	11,078	$	2	$	—	$	11,080

As of December 31, 2023, the contractual maturities of all available-for-sale investments were less than 12 months. The Company periodically reviews the available-for-sale for other-than-temporary impairment loss. The Company had short-term investments in unrealized gain positions as of December 31, 2023.