Ulthera Inc. is a medical technology company that provides ultrasound-based aesthetic medical procedures. The company’s technology provides non-invasive treatment options for dermatologists, plastic surgeons and facial plastic surgeons.
Caliber was engaged by Ulthera to provide fair value analysis of certain debt and derivative instruments for financial reporting purposes. The valuations of the instruments were dependent and contingent on expectations of future financing and the pricing of preferred stock issuance. We used Monte Carlo simulation techniques to generate expected enterprise values for Ulthera. Next, we adopted option methodologies to price the future preferred stock issuance using the simulated enterprise values. The values of the debt and derivative instruments were then calculated for each price path generated by the simulation. The fair values were derived from the average values, which were based off of a large number of iterations, ran assuming different scenarios.