The Company's assets and liabilities which are measured at fair value include short-term investments and warrants for common stock and, prior to the Merger, included warrants for preferred stock (“Preferred Warrants”) and warrants for common stock related to the convertible promissory notes (“Convertible Promissory Note Warrants”). 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 were 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 was, in turn, allocated to Private CalciMedica’s various equity classes.

The Convertible Promissory Note Warrants were 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 was used with the remaining contractual term of the warrants after the respective event date. As of March 31, 2023, the Convertible Promissory Note Warrants were valued using the common stock price on the day of conversion. See further discussion in Note 5 - Convertible Promissory Notes and Convertible Promissory Note Warrants.

The Common Warrants (as defined in Note 7 below) were valued using Black-Scholes utilizing the following inputs; (i) a risk-free interest rate; (ii) volatility based on the expected term of the Common Warrant; (iii) and an exercise price and stock price on the date of the transaction. Several different scenarios were considered, and probability weighted to arrive at the final valuation. Increases or decreases in the fair value of the Common Warrants can result from updates to assumptions such as the expected timing or probability of the different settlement scenarios. 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 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 indicates the level of the fair value hierarchy utilized to determine such fair values (in thousands):


	June 30, 2024
	Level 1		Level 2		Level 3		Total
Current assets:
Cash equivalents:
Money market funds	$	4,872	$	—	$	—	$	4,872
Total cash equivalents		4,872		—		—		4,872
Short-term investments:
Corporate debt securities		—		1,225		—		1,225
Commercial paper		—		12,856		—		12,856
Total short-term investments		—		14,081		—		14,081
Total assets measured at fair value	$	4,872	$	14,081	$	—	$	18,953

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.

During the six months ended June 30, 2024, there were no transfers between Level 1, Level 2 and Level 3.

The following table presents information about the Company’s financial liabilities measured at fair value on a recurring basis and indicates the level of the fair value hierarchy utilized to determine such fair values (in thousands).


	June 30, 2024
	Level 1		Level 2		Level 3		Total
Liabilities:
Warrant Liability	$	—	$	—	$	3,300	$	3,300
Total liabilities measured at fair value	$	—	$	—	$	3,300	$	3,300

The following provides a reconciliation for all liabilities measured at fair value using Level 3 inputs for the six months ended June 30, 2024 (in thousands):


Warrant liability
Balance at December 31, 2023	$	—
Initial Fair Value of Warrants		11,190
Change in Fair Value of Preferred Warrants		(5,590	)
Balance at March 31, 2024		5,600
Change in Fair Value of Preferred Warrants		(2,300	)
Balance at June 30, 2024	$	3,300

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):


	June 30, 2024
	Amortized Cost		Unrealized Gains		Unrealized Losses			Aggregate Fair Value
Current assets:
Cash equivalents:
Money market funds	$	4,872	$	—	$	—		$	4,872
Total cash equivalents		4,872		—		—			4,872
Short-term investments:
Corporate debt securities		1,225		—		—			1,225
Commercial paper		12,866		—		(10	)		12,856
Total short-term investments		14,091		—		(10	)		14,081
Total assets measured at fair value	$	18,963	$	—	$	(10	)	$	18,953

As of June 30, 2024, 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. All of the Company’s short-term investments were in unrealized loss positions as of June 30, 2024. The Company’s unrealized losses from short-term investments as of June 30, 2024, were caused by interest rate increases and not by an unfavorable change in the credit quality associated with these securities. The Company does not intend to sell the investments before recovery of their amortized cost basis, which may be maturity. Therefore, the Company believes these losses to be temporary and as a result, did not recognize any other-than-temporary losses as of June 30, 2024.