Seres Therapeutics, Inc. Fair Value Disclosure
4. Fair Value Measurements
The following tables present the Company’s fair value hierarchy for its assets and liabilities that are measured at fair value on a recurring basis (in thousands):
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Fair Value Measurements as of December 31, 2023 Using: |
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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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Cash equivalents: |
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Money market funds |
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$ |
81 |
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$ |
— |
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$ |
— |
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$ |
81 |
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Total assets |
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$ |
81 |
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$ |
— |
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$ |
— |
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$ |
81 |
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Warrant liabilities |
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$ |
— |
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$ |
— |
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$ |
546 |
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$ |
546 |
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Total liabilities |
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$ |
— |
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$ |
— |
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$ |
546 |
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$ |
546 |
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As of December 31, 2024, there were no assets or liabilities that are measured at fair value on a recurring basis.
Money market funds are valued by the Company based on quoted market prices, which represent a Level 1 measurement within the fair value hierarchy.
As of December 31, 2024 and 2023, the Company held a restricted investment of $0 and $1,401, respectively, which represents a certificate of deposit that is classified as Level 2 in the fair value hierarchy.
Level 3 financial liabilities as of December 31, 2023 consisted of the warrant liabilities for which there is no current market such that the determination of fair value requires significant judgment or estimation. Changes in fair value measurements categorized within Level 3 of the fair value hierarchy were analyzed each period based on changes in estimates or assumptions and recorded through other income (expense). The Company used a Monte-Carlo simulation model which includes the Black-Scholes option pricing model to value the Level 3 warrant liabilities at inception and on each subsequent reporting date. This model incorporates transaction details such as the Company’s stock price, contractual terms of the underlying warrants, maturity, risk free rates, volatility, as well as the term to achievement of estimated sales targets. The unobservable inputs for all of the Level 3 warrant liabilities are volatility and the term to achievement of estimated sales targets. The Company utilized its historical and implied volatility, using its closing common stock prices and market data, to reflect future volatility over the expected term of the warrants. The Company estimated the time to achievement of sales targets of VOWST using information and forecasts generated by the Company in consideration of the terms of the 2021 License Agreement. As of December 31, 2024, given the repayment of the Oaktree Term Loan, the fair value of the warrant liabilities was deemed to be $0.
As of December 31, 2023, the Level 3 inputs to the warrant liabilities are as follows:
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December 31, 2023 |
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Volatility |
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101.0 |
% |
Term (in years) |
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1.3 |
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A reconciliation of the beginning and ending balances for the year ended December 31, 2024 for liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) is as follows (in thousands):
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Warrant Liabilities |
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Balance as of December 31, 2023 |
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$ |
546 |
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Issuance of warrants |
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— |
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(546 |
) |
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Balance as of December 31, 2024 |
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— |
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There were no assets or liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2024. There were no transfers between Level 1, Level 2, or Level 3 during the years ended December 31, 2024 and 2023.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2024 | Mar 13, 2025 | Showing above |
| 2023 | Mar 5, 2024 | |
| 2022 | Mar 7, 2023 | |
| 2021 | Mar 1, 2022 | |
| 2020 | Mar 2, 2021 | |
| 2019 | Mar 2, 2020 | |
| 2018 | Mar 6, 2019 | |
| 2017 | Mar 8, 2018 | |
| 2016 | Mar 16, 2017 | |
| 2015 | Mar 14, 2016 | |
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.