Corvus Pharmaceuticals, Inc. Fair Value Disclosure
5. Fair Value Measurements
Financial assets and liabilities are measured and recorded at fair value. The Company is required to disclose information on all assets and liabilities reported at fair value that enables an assessment of the inputs used in determining the reported fair values. The fair value hierarchy prioritizes valuation inputs based on the observable nature of those inputs. The fair value hierarchy applies only to the valuation inputs used in determining the reported fair value of the investments and is not a measure of the investment credit quality. The hierarchy defines three levels of valuation inputs:
| ● | Level 1—Quoted prices in active markets for identical assets or liabilities |
| ● | Level 2—Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly |
| ● | Level 3—Unobservable inputs that reflect the Company’s own assumptions about the assumptions market participants would use in pricing the asset or liability |
There have been no transfers of assets and liabilities between levels of hierarchy.
The Company’s Level 2 investments are valued using third-party pricing sources. The pricing services utilize industry standard valuation models, including both income and market-based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar investments, issuer credit spreads, benchmark investments, prepayment/default projections based on historical data and other observable inputs.
Financial Assets
The following tables present information as of December 31, 2025 and 2024 about the Company’s assets that are measured at fair value on a recurring basis and indicate the level of the fair value hierarchy the Company utilized to determine such fair values (in thousands):
December 31, 2025 | ||||||||||||
Fair Value Measured Using | Total | |||||||||||
| (Level 1) | | (Level 2) | | (Level 3) | | Balance | |||||
Assets |
| |
| |
| |
| | ||||
Cash equivalents | $ | 4,163 | $ | — | $ | — | $ | 4,163 | ||||
Marketable securities |
| — |
| 52,174 |
| — |
| 52,174 | ||||
$ | 4,163 | $ | 52,174 | $ | — | $ | 56,337 | |||||
December 31, 2024 | ||||||||||||
Fair Value Measured Using | Total | |||||||||||
| (Level 1) | | (Level 2) | | (Level 3) | | Balance | |||||
Assets |
| |
| |
| |
| | ||||
Cash equivalents | $ | 8,333 | $ | — | $ | — | $ | 8,333 | ||||
Marketable securities | — |
| 43,224 |
| — |
| 43,224 | |||||
$ | 8,333 | $ | 43,224 | $ | — | $ | 51,557 | |||||
As of December 31, 2025, all marketable securities had a maximum remaining maturity of less than ten months and are considered available for current operations.
As of December 31, 2025 and 2024, the fair value of available for sale marketable securities by type of security were as follows (in thousands):
December 31, 2025 | ||||||||||||
| | Gross | | Gross | | |||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||
Cost | Gains | Losses | Value | |||||||||
U.S. Treasury securities | $ | 38,622 | $ | 53 | $ | — | $ | 38,675 | ||||
U.S. Government agency securities | 13,489 | 10 | — | 13,499 | ||||||||
$ | 52,111 | $ | 63 | $ | — | $ | 52,174 | |||||
December 31, 2024 | ||||||||||||
| | Gross | | Gross | | |||||||
Amortized | Unrealized | Unrealized | Fair | |||||||||
Cost | Gains | Losses | Value | |||||||||
U.S. Treasury securities | $ | 37,688 | $ | 76 | $ | — | $ | 37,764 | ||||
U.S. Government agency securities | 5,456 | 4 | — | 5,460 | ||||||||
$ | 43,144 | $ | 80 | $ | — | $ | 43,224 | |||||
Financial Liabilities
The following tables present information as of December 31, 2024 about the Company’s liabilities that are measured at fair value on a recurring basis and indicate the level of the fair value hierarchy the Company utilized to determine such fair values (in thousands):
December 31, 2024 | ||||||||||||
Fair Value Measured Using | Total | |||||||||||
| (Level 1) | | (Level 2) | | (Level 3) | | Balance | |||||
Warrant liability | $ | — | $ | — | $ | 28,910 | $ | 28,910 | ||||
The Company had no liabilities measured at fair value on a recurring basis as of December 31, 2025.
During the year ended December 31, 2025, the changes in the Company’s warrant liability were as follows (in thousands):
Warrants | |||
Warrant liability balance as of December 31, 2024 | $ | 28,910 | |
Issuance of warrants | — | ||
Change in fair value | (27,141) | ||
Exercise of warrants | (1,769) | ||
Warrant liability balance as of December 31, 2025 | $ | — | |
The Company used the Black-Scholes pricing model to determine the fair value of its warrant liabilities using Level 3 inputs. Inputs used to determine estimated fair value of the warrant liabilities include the fair value of the underlying stock at the valuation date, the term of the warrants, and the expected volatility of the underlying stock. The significant unobservable input used in the fair value measurement of the warrant liabilities is the estimated term of the warrants.
The key inputs into valuation models used to estimate the fair value of the warrant liabilities as of December 31, 2024 were as follows:
December 31, | |||
2024 | |||
Risk-free interest rate | 4.2 | % | |
Expected volatility | 106.6 | % | |
Expected term (in years) | 0.50 | ||
Share price | $ | 5.35 | |
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 12, 2026 | Showing above |
| 2024 | Mar 25, 2025 | |
| 2023 | Mar 19, 2024 | |
| 2022 | Mar 28, 2023 | |
| 2021 | Mar 10, 2022 | |
| 2020 | Mar 25, 2021 | |
| 2019 | Mar 9, 2020 | |
| 2018 | Mar 7, 2019 | |
| 2017 | Mar 1, 2018 | |
| 2016 | Mar 10, 2017 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.