FibroBiologics, Inc. Fair Value Disclosure
5. Fair Value of Financial Instruments
The following tables summarize the Company’s financial assets and liabilities measured at fair value on a recurring basis based on the three-tier fair value hierarchy:
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Fair Value Measurement as of December 31, 2025 |
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(in thousands) |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets: |
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Cash equivalents |
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$ |
2,860 |
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$ |
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$ |
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$ |
2,860 |
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Total assets fair value |
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$ |
2,860 |
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$ |
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$ |
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$ |
2,860 |
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Liabilities: |
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SEPA put option liability |
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$ |
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$ |
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$ |
108 |
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$ |
108 |
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Total liabilities fair value |
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$ |
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$ |
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$ |
108 |
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$ |
108 |
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Fair Value Measurement as of December 31, 2024 |
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(in thousands) |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets: |
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Cash equivalents |
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$ |
13,501 |
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$ |
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$ |
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$ |
13,501 |
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Total assets fair value |
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$ |
13,501 |
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$ |
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$ |
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$ |
13,501 |
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Liabilities: |
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SEPA put option liability |
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$ |
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$ |
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$ |
460 |
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$ |
460 |
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Short-term convertible debt |
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— |
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— |
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9,168 |
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9,168 |
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Total liabilities fair value |
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$ |
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$ |
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$ |
9,628 |
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$ |
9,628 |
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The following table summarizes the activity related to Level 3 financial liabilities for the year ended December 31, 2025:
(in thousands) |
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Short-term |
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SEPA Put |
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Fair value at December 31, 2024 |
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$ |
9,168 |
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$ |
460 |
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Addition of short-term convertible debt |
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5,000 |
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Repayment of short-term convertible debt |
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(3,604 |
) |
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Conversions of convertible debt into shares of stock |
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(12,337 |
) |
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Change in fair value of SEPA put option liability |
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(352 |
) |
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Change in fair value of convertible debt |
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1,773 |
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Fair value at December 31, 2025 |
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$ |
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$ |
108 |
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The following table summarizes the activity related to Level 3 financial liabilities for the year ended December 31, 2024:
(in thousands) |
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Liability Instrument |
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Forward Contract Liability |
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Warrant Liability |
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Short-term |
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SEPA Put |
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Fair value at December 31, 2023 |
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$ |
7,236 |
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$ |
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$ |
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$ |
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$ |
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Bifurcation of the liability instrument upon Direct Listing |
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(7,236 |
) |
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7,236 |
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Increase in Warrant liability at issuance January 31, 2024 |
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23,578 |
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Change in fair value of Warrant liability |
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(28,963 |
) |
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Termination of Warrant liability on December 19, 2024 |
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(1,851 |
) |
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Fair value of SEPA put option liability at issuance on December 20, 2024 |
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460 |
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Fair value of convertible debt at issuance in December 2024 |
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9,288 |
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Change in fair value of convertible debt |
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(120 |
) |
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Fair value at December 31, 2024 |
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$ |
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$ |
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$ |
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$ |
9,168 |
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$ |
460 |
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As further described in Note 8, the Company issued short-term convertible debt on December 20, 2024 and December 30, 2024 with a total principal balance of $10.0 million and recorded those notes at their initial fair values totaling $9.3 million. On June 16, 2025, the Company issued short-term convertible debt with a principal balance of $5.0 million and recorded those notes at their initial fair value of $4.5 million. In November 2025, the Company repaid the outstanding balance of the convertible notes which was $3.4 million. In connection with this payoff, the Company also paid a premium of $0.2 million which is recorded in interest expense and a $0.7 million loss on the fair value valuation. The total of the fair values of these notes at December 31, 2025 and 2024 was $0 and $9.2 million, respectively. The fair values of these notes were determined using a Monte Carlo simulation valuation model. Assumptions used in the valuation models at issuance on December 20, 2024 and December 30, 2024 included the closing bid price of $2.25 and $2.24, respectively, a term of one year, an annual risk-free rate of 4.2% and 4.1%, respectively, and a volatility of 60%. Assumptions used in the valuation models at issuance on June 16, 2025 included the closing bid price of $0.80, a term of one year, an annual risk-free rate of 4.3%, and a volatility of 60%.
As further described in Note 8, the Company entered into the SEPA on December 20, 2024 and recorded a put option liability for the Company’s right, subject to the satisfaction of the conditions to the investor's purchase obligations set forth therein, to require the investor to purchase up to an additional $10.0 million of shares of Common Stock by delivering written notice to the investor. As of December 20, 2024 and December 31, 2024, the fair value of the SEPA put option liability was $0.5 million and $0.5 million, respectively. The fair value of this SEPA put option liability was determined using a Monte Carlo simulation valuation model. For the valuations on December 20, 2024 and December 31, 2024, inputs used in the model included a stock price of $2.25 per share, a 96% purchase price, Company advance notice date of January 1, 2026, expected settlement date of January 4, 2026, expected advance amount of $5,000 thousand, a simulation term of 1.04 years, volatility of 120%, and a 4.23% risk-free rate. As of June 16, 2025, the fair value of the SEPA put option liability was $0.5 million. The fair value of this SEPA put option liability was determined using a Monte Carlo simulation valuation model. For the valuation on December 31, 2025, inputs used in the model included a stock price of $0.22 per share, a 96% purchase price, Company advance notice date of February 14, 2026, expected settlement date of February 17, 2026, expected advance amount of $1.2 million, a simulation term of 0.13 years, volatility of 107%, and a 3.69% risk-free rate.
The carrying amounts of cash, prepaid expenses, other current assets, accounts payable and accrued expenses approximate their fair values due to their short-term maturities.
There were no transfers in or out of Level 1, Level 2 or Level 3 assets and liabilities for the years ended December 31, 2025 and 2024.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Feb 24, 2026 | Showing above |
| 2024 | Mar 31, 2025 | |
| 2023 | Feb 29, 2024 | |
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.