Orchestra BioMed Holdings, Inc. Fair Value Disclosure
5. Financial Instruments and Fair Value Measurements
The following tables summarize the Company’s financial assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy:
| December 31, 2025 | |||||||||||
(in thousands) | Level 1 | | Level 2 | | Level 3 | | Total | |||||
Assets |
| |
| |
| |
| | ||||
Money market fund (included in Cash and cash equivalents) | $ | 12,789 | $ | — | $ | — | $ | 12,789 | ||||
Corporate and government debt securities (included in Marketable securities) |
| — |
| 71,822 |
| — |
| 71,822 | ||||
Total assets | $ | 12,789 | $ | 71,822 | $ | — | $ | 84,611 | ||||
Liabilities | ||||||||||||
Derivative liability (Note 9) |
| — |
| — |
| 2,749 |
| 2,749 | ||||
Total liabilities | $ | — | $ | — | $ | 2,749 | $ | 2,749 | ||||
| December 31, 2024 | |||||||||||
(in thousands) | Level 1 | | Level 2 | | Level 3 | | Total | |||||
Assets |
| |
| |
| |
| | ||||
Money market fund (included in Cash and cash equivalents) | $ | 12,248 | $ | — | $ | — | $ | 12,248 | ||||
Corporate and government debt securities (included in Marketable securities) |
| — |
| 44,551 |
| — |
| 44,551 | ||||
Total assets | $ | 12,248 | $ | 44,551 | $ | — | $ | 56,799 | ||||
Liabilities | ||||||||||||
Derivative liability |
| — |
| — |
| — |
| — | ||||
Total liabilities | $ | — | $ | — | $ | — | $ | — | ||||
The Level 2 assets consist of government and corporate debt securities which are valued using market observable inputs, including the current interest rate and other characteristics for similar types of investments, whose fair value may not represent actual transactions of identical securities. There were no transfers between Levels 1, 2 or 3 for the periods presented.
Level 3 liabilities consist of the derivative liability associated with the Series A Preferred Stock, of which the fair values were measured upon issuance of the Series A Preferred Stock and are remeasured to fair value at each reporting period. The valuation methodology and underlying assumptions are discussed further in Note 8 – “Common and Preferred Stock” and Note 9 – “Derivative Liabilities.” Significant change to the inputs used in determining the fair value would result in significant changes to the fair value measurement.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 12, 2026 | Showing above |
| 2024 | Mar 31, 2025 | |
| 2023 | Mar 27, 2024 | |
| 2022 | Jan 25, 2023 | |
| 2021 | Mar 31, 2022 | |
| 2020 | Mar 10, 2021 | |
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.