Crown Electrokinetics Corp. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Schedule of Fair Value on a Recurring Basis into the Fair Value Hierarchy

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of September 30, 2023 and December 31, 2022:

	Fair value measured at September 30, 2023
	Total carrying value		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Liabilities:
Warrant liability	$	34	$	-	$	-	$	34

	Fair value measured at December 31, 2022
	Total carrying value		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Liabilities:
Convertible notes	$	1,654	$	-	$	-	$	1,654
Warrant liability	$	972	$	-	$	-	$	972

Schedule of Convertible Notes and Warrant Liability

The following table provides the changes in fair value of the 2022 Notes and warrant liability (in thousands):

	Convertible Notes			Warrant Liability
Balance at December 31, 2022	$	1,654		$	972
Conversion of 2022 Notes		(516	)
Issuance of 2023 Notes in connection with line of credit		2,000
Change in fair value of 2022 Notes in connection with March waiver agreement		368
Senior Secured Notes - reclass to fair value option		1,133
Conversion of 2022 Notes into Series F in connection with exchange agreements		(243	)
Conversion of 2022 Notes		(950	)
Settlement in connection with line of credit		(1,747	)
Issuance of 2^nd 2023 Notes and 3^rd 2023 Notes		350
Repayment of line of credit, 2^nd 2023 Notes and 3^rd 2023 Notes		(600	)
Settlement in connection with Senior Secured Notes		(1,107	)
Warrants issued in connection with Senior Secured Notes					157
Warrants issued in connection with line of credit					5,593
Warrants issued in connection with inducement agreement					760
Warrants issued in connection with February waiver agreement					711
Fair value of warrants exercised					(759	)
Loss on extinguishment of warrant liability					504
Warrants Issued in connection with Demand Notes to Series F exchange					140
Warrants Issued in connection with Senior Secured Notes to Series F exchange					50
Warrants Issued in connection with 2022 Notes to Series F exchange					639
Warrants Issued in connection with Series D to Series F exchange					450
Warrants Issued in connection with Series F-1					956
Warrants Issued in connection with Series F-2					285
Change in fair value		(342	)		(10,424	)
Balance at September 30, 2023	$	-		$	34

Schedule of Significant Unobservable Inputs (Level 3 Inputs)

A summary of significant unobservable inputs (Level 3 inputs) used in measuring warrants on the issuance dates and as of September 30, 2023 and December 31, 2022 is as follows:

	Series F / F-1 / F-2	2022 Notes	Warrants - Senior Secured Note	Warrants - Series E - Line of Credit	December 31, 2022
Date	9/30/2023	9/30/2023	9/30/2023	9/30/2023	12/31/2022
Dividend yield	0.0%	0.0%	0.0%	0.0%	0.0%
Expected price volatility	70.0%	65.0%	65.0%	65.0%	48.7%
Risk free interest rate	4.63%	4.69%	4.22%	4.67%	4.74%
Expected term (in years)	4.7	4.1	4.3	4.3	0.8

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

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