Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2026

Schedule of Financial Assets and Liabilities Carried at Fair Value

The following table sets forth by level, within the fair value hierarchy, the financial assets and liabilities carried at fair value on a recurring basis:


	March 31, 2026
	Total		Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Financial Assets:
Cash equivalents:
Money market funds	$	28,428	$	28,428	$	—	$	—
Marketable securities:
U.S. Treasury bills and U.S. Treasury notes		140,030		—		140,030		—
Total financial assets	$	168,458	$	28,428	$	140,030	$	—
Financial Liabilities:
Contingent consideration	$	6,241	$	—	$	—	$	6,241
Warrant liability		1		—		—		1
	$	6,242	$	—	$	—	$	6,242


	December 31, 2025
	Total		Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Financial Assets:
Cash equivalents:
Money market funds	$	30,032	$	30,032	$	—	$	—
Marketable securities:
U.S. Treasury bills and U.S. Treasury notes		174,869		—		174,869		—
Total financial assets	$	204,901	$	30,032	$	174,869	$	—
Financial Liabilities:
Contingent consideration	$	6,132	$	—	$	—	$	6,132
Warrant liability		1		—		—		1
	$	6,133	$	—	$	—	$	6,133

Schedule of Significant Inputs for Valuation Techniques to Estimate Fair Value

The following table sets forth the significant inputs to the discounted cash flow technique used to value contingent consideration for IFM as of March 31, 2026 and December 31, 2025:


Significant Unobservable Inputs	March 31, 2026			December 31, 2025
Discount rate		16.4	%		15.6	%
Projected milestone timing	2.50 to 11.51 Years			2.25 to 11.75 Years
Probability of milestone achievement - NLRP1 program	5.0% - 35.0%			5.0% - 35.0%
Probability of milestone achievement - MDA5 program	5.0% - 35.0%			5.0% - 35.0%

The following table sets forth the probability of completing an IPO (measured as a standalone metric separate from the other necessary triggers for the contingent consideration related to the Rahko acquisition), which was a significant input to the Monte-Carlo simulation used to value such contingent consideration:


As of March 31, 2026
Expected IPO Date	Probability of IPO Event	Discount Rates	Risk Free Rate Applied to Equity Value	Equity Volatility
May 31, 2026	15%	15.7% - 17.1%	4.4%	97.8%
December 30, 2026	14%	15.7% - 17.1%	4.4%	97.2%
February 28, 2027	14%	15.7% - 17.1%	4.4%	96.6%
April 30, 2027	14%	15.7% - 17.1%	4.4%	96.0%
*	43%	Varies	4%	Varies

*Reflects the probability weighted expected term of 1.58 years for the remaining scenarios between August 2027 and December 2027 with each scenario weighted 14.2% overall for an aggregate probability weight of 42.6%.


As of December 31, 2025
Expected IPO Date	Probability of IPO Event	Discount Rates	Risk Free Rate Applied to Equity Value	Equity Volatility
May 31, 2026	15%	15.3% - 16.1%	4.2%	96.2%
December 30, 2026	14%	15.3% - 16.0%	4.2%	96.4%
February 28, 2027	14%	15.3% - 16.0%	4.3%	96.5%
April 30, 2027	14%	15.3% - 16.0%	4.3%	96.5%
*	43%	Varies	4.3%	Varies

*Reflects the probability weighted expected term of 1.83 years for the remaining scenarios between August 2027 and December 2027 with each scenario weighted 14.2% overall for an aggregate probability weight of 42.6%.

The estimated fair value of the LSA Warrant liability was determined using an option pricing model with the following assumptions:


Significant Unobservable Inputs	March 31, 2026			December 31, 2025
Expected term until a liquidity event (in years)		2			2
Volatility		80	%		80	%
Risk-free interest rate		3.8	%		3.5	%
Annual dividend rate		0	%		0	%

Schedule of Roll-forward of the Aggregate Fair Values of the Company`s Liabilities

The following table presents a roll-forward of the aggregate fair values of the Company’s liabilities for which fair value is determined by Level 3 inputs:


	Warrant Liability		Contingent Consideration
Balance as of January 1, 2026	$	1	$	6,132
Change in fair value		-		109
Balance as of March 31, 2026	$	1	$	6,241


	Warrant Liability		Contingent Consideration
Balance as of January 1, 2025	$	45	$	10,179
Change in fair value		-		(5,648	)
Balance as of March 31, 2025	$	45	$	4,531

Odyssey Therapeutics, Inc. 10-Q