Jasper Therapeutics, Inc. Fair Value Disclosure

NOTE 3. FAIR VALUE MEASUREMENTS

 

The Company measures certain financial assets and liabilities at fair value on a recurring basis. Fair value is an exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As such, fair value is a market-based measurement that should be determined based on assumptions that market participants would use in pricing an asset or a liability. A three-tier fair value hierarchy is established as a basis for considering such assumptions and for inputs used in the valuation methodologies in measuring fair value: 

 

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Level 1 – Inputs are unadjusted, quoted prices in active markets for identical assets or liabilities at the measurement date;

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Level 2 – Inputs are observable, unadjusted quoted prices in active markets for similar assets or liabilities, unadjusted quoted prices for identical or similar assets or liabilities in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the related assets or liabilities; and

 

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Level 3 – Unobservable inputs that are significant to the measurement of the fair value of the assets or liabilities that are supported by little or no market data.

 

In determining fair value, the Company utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs to the extent possible as well as considers counterparty credit risk in its assessment of fair value.

 

Assets and liabilities measured at fair value are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement in its entirety requires management to make judgments and consider factors specific to the asset or liability. 

 

The fair value of Level 1 securities is determined using quoted prices in active markets for identical assets. Level 1 securities consist of highly liquid money market funds. In addition, restricted cash collateralized by money market funds is a financial asset measured at fair value and is a Level 1 financial instrument under the fair value hierarchy.

 

Financial assets and liabilities are considered Level 2 when their fair values are determined using inputs that are observable in the market or can be derived principally from or corroborated by observable market data, such as pricing for similar securities, recently executed transactions, cash flow models with yield curves, and benchmark securities. In addition, Level 2 financial instruments are valued using comparisons to like-kind financial instruments and models that use readily observable market data as their basis. The Company had no financial instruments classified at Level 2 as of December 31, 2025 and 2024.

 

Financial assets and liabilities are considered Level 3 when their fair values are determined using pricing models, discounted cash flow methodologies, or similar techniques and at least one significant model assumption or input is unobservable. As of December 31, 2025, the Company’s Level 3 liabilities consisted of the warrant liability. The Company had no financial instruments classified at Level 3 as of December 31, 2024.

 

There were no transfers within the hierarchy during the years ended December 31, 2025 and 2024.

 

The following tables set forth the fair value of the Company’s financial assets and liabilities measured on a recurring basis by level within the fair value hierarchy (in thousands): 

 

		December 31, 2025
		Level 1				Level 2				Level 3				Total
Financial assets
Money market funds		$	27,692			$	—			$	—			$	27,692
Total fair value of assets		$	27,692			$	—			$	—			$	27,692
Financial liabilities
Warrant liability		$	—			$	—			$	16,164			$	16,164
Total fair value of financial liabilities		$	—			$	—			$	16,164			$	16,164

 

		December 31, 2024
		Level 1				Level 2				Level 3				Total
Financial assets
Money market funds		$	70,637			$	—			$	—			$	70,637
Total fair value of assets		$	70,637			$	—			$	—			$	70,637

During the year ended December 31, 2025, the changes in the Company’s warrant liability were as follows (in thousands):

 

		Warrant Liability
Fair Value as of December 31, 2024		$	—
Issuance of warrants			24,692
Change in the fair value			(8,528	)
Fair Value as of December 31, 2025		$	16,164

 

The Company uses the Black-Scholes pricing model to determine the fair value of its warrant liability using Level 3 inputs. Inputs used to determine estimated fair value of the warrant liability 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 liability is the estimated term of the warrants. The estimates of fair value are uncertain and changes in any of the estimated inputs used as of the date of this report could have resulted in significant adjustments to the fair value.

 

The key inputs into valuation models used to estimate the fair value of the warrant liability as of September 22, 2025, the issuance date, and as of December 31, 2025 were as follows:

 

		December 31,				September 22,
		2025				2025
Common stock price		$	1.83			$	2.59
Expected term (in years)			4.22				4.5
Expected volatility			113.30	%			113.00	%
Risk-free interest rate			3.66	%			3.58	%