TScan Therapeutics, Inc. Fair Value Disclosure
4. Fair Value Measurements
The following tables set forth by level, within the fair value hierarchy, the assets carried at fair value (in thousands):
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Fair value measurements at December 31, 2024 using: |
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Active |
|
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Observable |
|
|
Unobservable |
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Total |
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||||
Assets |
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|
|
|
|
|
|
|
|
|
|
|
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Cash equivalents – money market funds |
|
$ |
169,744 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
169,744 |
|
Marketable securities – government securities |
|
|
111,421 |
|
|
|
- |
|
|
|
- |
|
|
|
111,421 |
|
Total financial assets |
|
$ |
281,165 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
281,165 |
|
|
|
Fair value measurements at December 31, 2023 using: |
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|||||||||||||
|
|
Active |
|
|
Observable |
|
|
Unobservable |
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|
Total |
|
||||
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
||||
Cash equivalents – money market funds |
|
$ |
52,299 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
52,299 |
|
Cash equivalents – government securities |
|
|
76,483 |
|
|
|
- |
|
|
|
- |
|
|
|
76,483 |
|
Marketable securities – government securities |
|
|
58,685 |
|
|
|
- |
|
|
|
- |
|
|
|
58,685 |
|
Total financial assets |
|
$ |
187,467 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
187,467 |
|
Money market funds and government securities are valued by the Company based on quoted market prices, which represent a Level 1 measurement within the fair value hierarchy. There were no transfers among Level 1, Level 2, or Level 3 categories in the periods presented.
Assets and Liabilities Not Carried at Fair Value
The Company's convertible long-term debt was carried at amortized cost. The fair value of the convertible long-term debt was estimated to be $38.4 million at December 31, 2023. Fair value was determined using a convertible bond model using a binomial lattice approach. We classified the fair value disclosures for the long-term debt within level 3 of the fair value hierarchy because the fair value is derived using significant unobservable inputs, which include discount rates and volatility. The Company's convertible long-term debt was extinguished on December 20, 2024.
The carrying value of accounts payable and accrued expenses that are reported on the consolidated balance sheets approximate fair value due to the short-term nature of these liabilities. Based on the borrowing rates currently available to the Company for bank loans with similar maturities, the fair value of long-term debt is approximately equal to its carrying amount as of December 31, 2024.
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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.