Celularity Inc Fair Value Disclosure

4. Fair Value of Financial Assets and Liabilities

 

The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis and indicate the level of the fair value hierarchy used to determine such fair values:

 Schedule of Financial Assets and Liabilities Measures at Fair Value

		Level 1				Level 2				Level 3				Total
		Fair Value Measurements as of December 31, 2025
		Level 1				Level 2				Level 3				Total
Liabilities:
Acquisition-related contingent consideration obligations		$	—			$	—			$	1,413			$	1,413
Contingent stock consideration
Short-term debt - Yorkville
Short-term debt - unsecured senior convertible notes
December 2025 Convertible Note			—				—				2,687				2,687
December 2025 Promissory Note			—				—				6,876				6,876
Warrant liability - July 2023 Registered Direct Warrants			—				—				534				534
Warrant liability - April 2023 Registered Direct Warrants			—				—				483				483
Warrant liability - May 2022 PIPE Warrants			—				—				240				240
Warrant liability - November 2024 Purchaser Warrants
Warrant liability - November 2024 Placement Agent Warrants
Warrant liability - Sponsor Warrants
Warrant liability - Public Warrants			288				—				—				288
Bifurcated embedded derivative – Series A Preferred Stock			—				—				92				92
Total fair value liabilities		$	288			$	—			$	12,325			$	12,613

 

		Level 1				Level 2				Level 3				Total
		Fair Value Measurements as of December 31, 2024
		Level 1				Level 2				Level 3				Total
Liabilities:
Acquisition-related contingent consideration obligations		$	—			$	—			$	1,413			$	1,413
Contingent stock consideration			—				—				27				27
Short-term debt - Yorkville			—				—				1,865				1,865
Short-term debt - unsecured senior convertible notes			—				—				620				620
Warrant liability - July 2023 Registered Direct Warrants			—				—				1,115				1,115
Warrant liability - April 2023 Registered Direct Warrants			—				—				1,022				1,022
Warrant liability - May 2022 PIPE Warrants			—				—				505				505
Warrant liability - November 2024 Purchaser Warrants			—				—				278				278
Warrant liability - November 2024 Placement Agent Warrants			—				—				48				48
Warrant liability - Sponsor Warrants			—				—				9				9
Warrant liability - Public Warrants			287				—				—				287
Total fair value liabilities		$	287			$	—			$	6,902			$	7,189

 

 

During the years ended December 31, 2025 and 2024, there were no transfers between Level 1, Level 2 and Level 3.

 

The carrying values of the Company’s remaining current liabilities approximate fair value in the accompanying consolidated financial statements due to the short-term nature of those instruments.

 

Valuation of Acquisition-Related Contingent Consideration

 

The fair value measurement of the contingent consideration obligations is determined using Level 3 inputs and is based on a probability-weighted income approach. The measurement is based upon unobservable inputs supported by little or no market activity based on the Company’s own assumptions.

 

The following table presents a reconciliation of contingent consideration obligations measured on a recurring basis using Level 3 inputs for the years ended December 31, 2025 and 2024:

 Schedule of Reconciliation of Convertible Note Receivable Measured on Recurring Basis

		Balance as of January 1, 2025				Net transfers in to (out of) Level 3				Purchases, settlements and other net				Fair value adjustments				Balance as of December 31, 2025
Liabilities:
Acquisition-related contingent consideration obligations		$	1,413			$	—			$	—			$	—			$	1,413

 

		Balance as of January 1, 2024				Net transfers in to (out of) Level 3				Purchases, settlements and other net				Fair value adjustments				Balance as of December 31, 2024
Liabilities:
Acquisition-related contingent consideration obligations		$	1,606			$	—			$	—			$	(193	)		$	1,413

 

The fair value of the liability to make potential future milestone and earn-out payments was estimated by the Company at each reporting date based, in part, on the results of a third-party valuation using a discounted cash flow analysis based on various assumptions, including the probability of achieving specified events, discount rates, and the period of time until earn-out payments are payable and the conditions triggering the milestone payments are met. The actual settlement of contingent consideration could differ from current estimates based on the actual occurrence of these specified events.

 

At each reporting date, the Company revalues the contingent consideration obligation to estimated fair value and records changes in fair value as income or expense in the Company’s consolidated statement of operations and comprehensive loss. Changes in the fair value of the contingent consideration obligations may result from changes in discount periods and rates, changes in the timing and amount of revenue estimates and changes in probability assumptions with respect to the likelihood of achieving the various contingent consideration obligations. The Company has classified the contingent consideration as a long-term liability in the consolidated balance sheets as of December 31, 2025 and 2024. See Note 14 for more information on contingent consideration.

 

Valuation of Contingent Stock Consideration

 

The contingent stock consideration liability at December 31, 2025 and 2024 is comprised of the fair value of potential future issuance of Class A common stock to CariCord participating shareholders pursuant to a settlement agreement signed during the year ended December 31, 2021. The contingent stock consideration liability was settled during the year ended December 31, 2025 with the issuance of 12,395 shares of common stock. As a result, the contingent stock consideration liability balance was reduced to $0. The fair value measurement of the contingent stock consideration obligation was determined using Level 3 inputs and is based on a probability-weighted expected return methodology (“PWERM”). The measurement is largely based upon unobservable inputs supported by little or no market activity based on the Company’s own assumptions.

 

 

The following table presents a reconciliation of the contingent stock consideration obligation measured on a recurring basis using Level 3 inputs for the years ended December 31, 2025 and 2024:

 Schedule of Reconciliation of Contingent Consideration Obligations Measured on a Recurring Basis

		Balance as of January 1, 2025				Net transfers in to (out of) Level 3				Purchases, settlements and other net				Fair value adjustments				Balance as of December 31, 2025
Liabilities:
Contingent stock consideration		$	27			$	—			$	(27	)		$	—			$	—

 

		Balance as of January 1, 2024				Net transfers in to (out of) Level 3				Purchases, settlements and other net				Fair value adjustments				Balance as of December 31, 2024
Liabilities:
Contingent stock consideration		$	27			$	—			$	—			$	—			$	27

 

The fair value of the liability to issue future shares of Class A common stock was estimated by the Company at each reporting date, and at the settlement date, using a PWERM based on various inputs and assumptions, including the Company’s common share price, discount rates, and the probability of achieving specified future operational targets.

 

At each reporting date, the Company revalues the contingent stock consideration obligation to estimated fair value and records changes in fair value as income or expense in the Company’s consolidated statement of operations and comprehensive loss. Changes in the fair value of the contingent stock consideration obligation may result from changes in discount rates, changes in the Company’s common share price, and changes in probability assumptions with respect to the likelihood of achieving specified operational targets. The change in the fair value of the contingent stock consideration obligation during the year ended December 31, 2025 was $27. The Company has classified the contingent stock consideration within accrued expenses and other current liabilities in the consolidated balance sheets as of December 31, 2025 and 2024.

 

Valuation of Short-Term Debt - Unaffiliated

 

The Company elected the fair value option to account for the Yorkville PPA signed on September 15, 2022 (see Note 10). As of December 31, 2023, due to the short-term nature of the debt, the fair value of the Yorkville PPA approximated the settlement amount, which was fully paid on January 17, 2024.

 

The following table presents a reconciliation of short-term debt obligations measured on a recurring basis using Level 3 inputs for the years ended December 31, 2025 and 2024:

 Schedule of Reconciliation of Short-term Debt Obligation Measured on Recurring Basis 

Short-term debt – unaffiliated liabilities:
Balance as of January 1, 2025		$	2,485
Principal repayments			(17,374
Issuance of December 2025 Convertible Note			2,804
Issuance of December 2025 Promissory Note			6,861
Issuance of unsecured senior convertible notes, net of fair value adjustments			689
Conversion of unsecured senior convertible note into common shares			(922	)
Settlement of Yorkville Convertible Promissory Note in connection with issuance of common stock			(3,469	)
Fair value adjustment through earnings			1,809
Fair value adjustment through accumulated other comprehensive income			(5	)
Balance as of December 31, 2025		$	9,563

 

Short-term debt – unaffiliated liabilities:
Balance as of January 1, 2024		$	17,223
Repayment of Yorkville PPA principal			(17,374	)
Issuance of convertible promissory note			3,150
Issuance of unsecured senior convertible notes, net of fair value adjustments			689
Conversion of debt into common shares			(1,700	)
Fair value adjustment through earnings			492
Fair value adjustment through accumulated other comprehensive income			5
Balance as of December 31, 2024		$	2,485

 

 

Yorkville Convertible Promissory Note

 

The Company elected the fair value option to account for the Yorkville convertible promissory note signed on March 13, 2024.

 

The fair values of the Yorkville convertible promissory note is based on valuations which employ a Monte Carlo model and a credit default model. The Company utilized Level 3 inputs in a probability weighted model based on outcomes of a default, repayment and conversion of the notes. The measurements are based upon unobservable inputs supported by little or no market activity based on the Company’s own assumptions. The fair value of the Yorkville convertible promissory note on March 13, 2024, the date of issuance, was $2,993. The Yorkville convertible promissory note was fully converted into common shares during 2025. At the time of conversion, the fair value of the Yorkville convertible promissory note approximated the fair value of the conversion amount and therefore its fair value was determined based on the value of the common stock it converted into. At the time of conversion, the fair value of the Yorkville promissory note was $3,469.

 

Significant inputs for the Yorkville convertible promissory note valuation model were as follows:

 Schedule of Yorkville Convertible Promissory Note Valuation Model

		September 4, 2025 – September 25, 2025				December 31, 2024
		(conversion)
Common share price		$	2.04 – 2.36			$	2.08
Credit spread			N/A				7.50	%
Dividend yield			N/A				0	%
Term (years)			N/A				0.20
Risk-free interest rate			N/A				4.30	%
Volatility			N/A				50.0	%

 

Unsecured Senior Convertible Notes

 

The Company elected the fair value option to account for the unsecured senior convertible notes issued pursuant to the securities purchase agreement signed on November 25, 2024 (see Note 10). The fair values of the unsecured senior convertible notes are based on valuations which employ a Monte Carlo model and a credit default model. The Company utilized Level 3 inputs in a probability weighted model based on outcomes of a default, repayment and conversion of the notes. The measurements are based upon unobservable inputs supported by little or no market activity based on the Company’s own assumptions. The fair value of the unsecured senior convertible notes at the dates of issuance was $689. The unsecured senior convertible notes were fully converted into common shares during 2025. At the time of conversion, the fair value of the unsecured convertible notes approximated the fair value of the conversion amount and therefore their fair value was determined based on the value of the common stock they converted into. At the time of conversion, the fair value of the unsecured convertible notes was $922.

 

Significant inputs for the unsecured senior convertible notes valuation model were as follows:

 Schedule of Convertible Notes Valuation Model 

		June 25, 2025				December 31, 2024
		(conversion)
Common share price		$	1.88				2.08
Credit spread			N/A				7.60	%
Dividend yield			N/A				0	%
Term (years)			N/A				0.90
Risk-free interest rate			N/A				4.20	%
Volatility			N/A				50.0	%

 

December 2025 Convertible Note and December 2025 Promissory Note

 

On December 19, 2025, the Company entered into a series of definitive agreements with an investor whereby the company issued the investor warrants, a senior secured non-convertible promissory note (the “December 2025 Promissory Note”) and a secured convertible note financing (the “December 2025 Convertible Note”).

 

Due to certain embedded features within the December 2025 Promissory Note and December 2025 Convertible Note, the Company elected to account for both notes and all the embedded features at fair value at inception. Subsequent changes in fair value are recorded as a component of non-operating loss in the consolidated statement of operations and comprehensive loss. See Note 10 for more information.

 

 

The fair values of the December 2025 Promissory Note and December 2025 Convertible Note are based on a PWERM based on various inputs and assumptions, including the likelihood of various possible scenarios, and a yield rate. The fair value of the December 2025 Convertible Note was $2,687 as of December 31, 2025. The fair value of the December 2025 Promissory Note was $6,876 as of December 31, 2025.

 

Significant inputs for the December 2025 Promissory Note valuation model were as follows:

 Schedule of Promissory Note Valuation Model

		December 31, 2025				December 19, 2025
						(issuance)
Likelihood of optional redemption		$	70.00	%			70.00	%
Likelihood of optional redemption upon default			5.00	%			5.00	%
Likelihood of default			5.00	%			5.00	%
Yield			15.09	%			13.96	%

 

Significant inputs for the December 2025 Convertible Note valuation model were as follows:

Schedule of Convertible Note Valuation Model 

 

		December 31, 2025				December 19, 2025
						(issuance)
Likelihood of optional conversion		$	20.00	%			20.00	%
Likelihood of dissolution			15.00	%			15.00	%
Yield			14.98	%			13.91	%

 

Valuation of Warrant Liability

 

The warrant liability at December 31, 2025 is comprised of the fair value of warrants to purchase shares of Class A common stock. The Public Warrants are recorded at fair value based on the period-end publicly stated close price, which is a Level 1 input. The January 2024 Bridge Loan - Tranche #2 Warrants (prior to reclassification to equity classified) and November 2024 Purchaser Warrants and Placement Agent Warrants were recorded at fair value based on a Monte Carlo simulation model and the Registered Direct, PIPE and Sponsor Warrants are recorded at their respective closing date fair values based on a Black-Scholes option pricing model that utilizes inputs for: (i) the value of the underlying asset, (ii) the exercise price, (iii) the risk-free rate, (iv) the volatility of the underlying asset, (v) the dividend yield of the underlying asset and (vi) maturity, which are Level 3 inputs. The Black-Scholes option pricing model’s primary unobservable input utilized in determining the fair values of the warrant liabilities is the expected volatility of the Class A common stock. Prior to the merger, Legacy Celularity was a private company and lacked company-specific historical and implied volatility information for its stock. Therefore, the Company estimates its expected stock price volatility using its volatility since the merger and the historical volatility of publicly traded peer companies. Beginning with the current period, the Company estimates expected volatility based solely on the historical volatility of its common stock. The risk-free interest rate is determined by reference to the U.S. Treasury yield curve for time periods approximately equal to the estimated remaining term of the warrants. Inputs to the Monte Carlo and Black-Scholes option pricing models for the warrants are updated each reporting period to reflect fair value.

 

As described in Note 10 – Debt, on July 21, 2025 the Company issued a former Director of the Company the KTL Note in exchange for $6,812 (Note 10). The KTL Note was issued with a warrant (the “KTL Warrant”) to purchase up to 3,700,000 shares of the Company’s class A common stock. The KTL Warrant was initially exercisable at the closing price at the date when the warrants of RWI were repriced as contemplated by the term sheet dated as of February 12, 2025 between RWI and the Company, with a discount of 20%. As this amount was not known on issuance, the KTL Warrants were required to be liability classified and subsequently remeasure to fair value as they did not meet the “fixed-for-fixed” criteria under ASC 815-40-15-7C. On July 24, 2025, the KTL Warrants became exercisable at $2.528 per share for five (5) years from the date of issuance. As such, the Company recorded the KTL Warrant as a liability at fair value with subsequent changes in fair value recognized in earnings. The Company utilized the Black Scholes Model to calculate the value of the KTL Warrants issued during the year ended December 31, 2025.

 

The following table presents a reconciliation of the warrant liabilities measured on a recurring basis using Level 3 inputs for the years ended December 31, 2025 and 2024:

 Schedule of Reconciliation of Warrant Liabilities Measured on Recurring Basis

Warrant liabilities:
Balance as of January 1, 2025		$	2,977
Issuance of RWI Warrant in connection with RWI binding term sheet			5,031
Issuance of KTL Warrants in connection with the KTL Note			9,150
Reclassification of November 2024 Purchaser and Placement Agent warrants to equity			(501	)
Reclassification of RWI Bridge warrants to equity			(8,902	)
Reclassification of the KTL Warrants to equity			(9,186	)
Gain recognized in earnings from change in fair value			2,688
Balance as of December 31, 2025		$	1,257

 

Warrant liabilities:
Balance as of January 1, 2024		$	3,784
January 2024 Bridge Loan – Tranche #2 warrant issuance			1,858
November 2024 Purchaser warrant issuance			354
November 2024 Placement Agent warrant issuance			61
Gain recognized in earnings from change in fair value			(110	)
Reclassification of warrants from liability classified to equity classified			(2,970	)
Balance as of December 31, 2024		$	2,977

 

 

Significant inputs for the May 2022 PIPE Warrants and the 2023 Registered Direct Warrants were as follows:

 Schedule of May 2022 PIPE Warrants and 2023 Registered Direct Warrants

		December 31,
		2025				2024
Common share price		$	1.11			$	2.08
Exercise price		$	3.50			$	3.50 – 7.50
Dividend yield			0	%			0	%
Term (years)			2.8				3.78 – 4.09
Risk-free interest rate			3.55	%			4.3	%
Volatility			123.5% – 125.7	%			98.5% – 98.8	%

 

On July 24, 2025 the RWI Bridge Warrants were reclassified from liability to equity classification. The Company also issued an additional tranche of 500,000 equity-classified warrants to RWI. The additional tranche of warrants was issued at a fair value of $1,340 and the issuance resulted in the extinguishment of a promise to issue warrants liability which had previously been included within accrued expenses and other current liabilities. The promise to issue warrants liability was initially recorded on February 12, 2025 at a fair value of $710. The change in fair value of the promise to issue warrants liability during the year ended December 31, 2025 was $630 and is recorded within change in fair value of warrant liabilities on the consolidated statement of operations (Note 15). Significant inputs for the RWI Bridge Warrants were as follows:

 Schedule of Bridge Warrants

		July 24, 2025				February 12, 2025
		(reclassification and issuance)				(issuance)
Common share price		$	3.16			$	1.88
Exercise price (1)		$	2.84			$	2.49 – 8.10
Equity volatility			N/A				120.0	%
Term (years)			2.9 – 5.0				3.4 – 4.4
Risk-free interest rate			3.87 – 3.98				4.00	%
Volatility			120.48% – 125.27	%			112.5	%

 

(1)

The exercise price of the RWI Bridge Warrants is the product of (i) 90% and (ii) the official closing price of the Company’s Class A Common Stock on July 24, 2025, as quoted on the principal Trading Market of the Class A Common Stock (or, if such date is not a Trading Day, then on the immediately following Trading Day), provided that, if the product of (i) and (ii) is less than $1.50, then the New Exercise Price shall be the product of (y) 180% and (z) the official closing price of the Company’s Class A Common Stock on July 24, 2025, and, if necessary, each Trading Day thereafter, each as quoted on the principal Trading Market of the Class A Common Stock, until the product of (y) and (z) is equal to or above $1.50, provided further that, the exercise price of any new RWI warrant shall not be higher than the exercise price of the existing RWI warrant that the new RWI warrant is replacing.

 

On July 24, 2025 the KTL Warrants were reclassified from liability to equity classification. Significant inputs for the KTL Warrants were as follows:

 Schedule of Bridge Warrants

		July 24, 2025				July 21, 2025
		(reclassification)				(issuance)
Common share price		$	3.16			$	3.15
Exercise price		$	2.52			$	2.52
Dividend yield			0	%			0	%
Term (years)			4.99				5.0
Risk-free interest rate			3.98	%			3.91	%
Volatility			99.19	%			99.05	%

 

Significant inputs for the Sponsor Warrants were as follows:

 Schedule of Significant Inputs for Sponsor Warrants

		December 31,
		2025				2024
Common share price		$	1.11			$	2.08
Exercise price		$	115.00			$	115.00
Dividend yield			0	%			0	%
Term (years)			0.5				1.5
Risk-free interest rate			3.59	%			4.21	%
Volatility			118.6	%			111.4	%

 

Valuation of Derivative Liability

 

The Company’s Series A Preferred Stock was determined to be more akin to an equity-like host than a debt-like host. The Company identified certain embedded features that required bifurcation from the equity host instrument. These features were bundled together, assigned probabilities of being affected and measured at fair value. Subsequent changes in fair value of these features are recognized in the Consolidated Statement of Operations and Comprehensive Loss. The Company estimates the fair value of the bifurcated embedded derivative using a Monte Carlo simulation model and utilizing the with and without method, whereby the probability weighted difference between the scenarios with the derivative and the plain vanilla maturity scenario without a derivative is measured. See Note 15 for more information relating to the Series A Preferred Stock.

 

 

The following table presents a reconciliation of the derivative liabilities measured on a recurring basis using Level 3 inputs for the years ended December 31, 2025:

 Schedule of Derivative Liabilities Measured on a Recurring Basis

Liabilities:
Balance as of January 1, 2025		$	—
Fair value of derivative liability associated with Series A Preferred Stock at issuance			157
Change in fair value of bifurcated embedded derivative			(65	)
Balance as of December 31, 2025		$	92

 

Significant inputs for the bifurcated derivative Monte Carlo valuation model are as follows:

 Schedule of Bifurcated Derivative Monte Carlo Valuation Model

		December 31,				October 24,
		2025				2025
						(issuance)
Series A Preferred Stock Valuation		$	1.11			$	2.07
Equity volatility			94.7	%			100.9	%
Time to maturity (years)			2.0				2.2
Risk-free interest rate			3.47	%			3.49	%
Dividend rate			5.0	%			5.0	%
Penalty dividend rate			18.0	%			18.0	%
Probability of dissolution			15.0	%			15.0	%

 

Valuation of Standby Equity Purchase Agreement

 

On March 13, 2024, the Company and Yorkville entered into a SEPA. Under the SEPA, the Company has the right to sell to Yorkville up to $10,000 of its Class A common stock, par value $0.0001 per share subject to certain limitations and conditions set forth in the SEPA, from time to time, over a 36-month period. Sales of the common stock to Yorkville under the SEPA, and the timing of any such sales, are at the Company’s option, and the Company is under no obligation to sell any shares of common stock to Yorkville under the SEPA except in connection with notices that may be submitted by Yorkville, in certain circumstances as described below.

 

In connection with the entry into the SEPA, on March 13, 2024, the Company entered into a registration rights agreement with Yorkville, pursuant to which the Company agreed to file with the SEC no later than May 3, 2024, a registration statement for the resale by Yorkville of the shares of common stock issued under the SEPA (including the commitment fee shares). The Company agreed to use commercially reasonable efforts to have such registration statement declared effective within 45 days of such filing and to maintain the effectiveness of such registration statement during the 36-month commitment period. The Company will not have the ability to request any Advances under the SEPA (nor may Yorkville convert the Initial Advance into common stock) until such resale registration statement is declared effective by the SEC. The Company has not yet filed a registration statement with the SEC for the resale by Yorkville.

 

The Company determined that the SEPA should be accounted for as a derivative measured at fair value, with changes in the fair value recognized in earnings. Because the Company has not yet filed a registration statement and no shares can currently be issued under the SEPA, the SEPA is deemed to have no value as of the issuance date and as of December 31, 2025 and 2024.