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Fair Value Measurements and Financial Instruments
 12 Months Ended
Dec. 31, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements and Financial Instruments

3.

Fair Value Measurements and Financial Instruments

 

For a description of the fair value hierarchy and fair value methodology, see Note 2 — Summary of Significant Accounting Policies. As of December 31, 2024, the Company’s highly liquid money market funds are included within cash equivalents.

 

The following tables present the fair value hierarchy for financial assets and liabilities measured at fair value on a recurring basis as of December 31, 2024 and 2023 (in thousands):

 

 

 

December 31, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds(1)

 

$

3,300

 

 

$

—

 

 

$

—

 

 

$

3,300

 

Receivable from GCBP

 

 

—

 

 

 

—

 

 

 

4,961

 

 

 

4,961

 

Total financial assets

 

$

3,300

 

 

$

—

 

 

$

4,961

 

 

$

8,261

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

 

CVR derivative liability

 

$

—

 

 

$

—

 

 

$

4,961

 

 

$

4,961

 

Warrant liability, noncurrent

 

 

—

 

 

 

—

 

 

 

5,668

 

 

 

5,668

 

Total financial liabilities

 

$

—

 

 

$

—

 

 

$

10,629

 

 

$

10,629

 

 

 

 

 

December 31, 2023

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds(1)

 

$

5,860

 

 

$

—

 

 

$

—

 

 

$

5,860

 

Long-term receivable from GCBP

 

 

—

 

 

 

—

 

 

 

4,722

 

 

 

4,722

 

Total financial assets

 

$

5,860

 

 

$

—

 

 

$

4,722

 

 

$

10,582

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

 

CVR derivative liability

 

$

—

 

 

$

—

 

 

$

4,722

 

 

$

4,722

 

Warrant liability, noncurrent

 

 

—

 

 

 

—

 

 

 

12,835

 

 

 

12,835

 

Total financial liabilities

 

$

—

 

 

$

—

 

 

$

17,557

 

 

$

17,557

 

(1) Included in cash and cash equivalents on accompanying consolidated balance sheet.

 

The carrying amounts of cash, accounts and note receivables, net, other receivables, accounts payable, due to related parties, CVR excess closing cash payable, and accrued liabilities approximate their fair values due to their short maturities.

 

 

During the years ended December 31, 2024 and 2023, there were no transfers of fair value measurement between Level 1 and Level 2 and no transfers into or out of Level 3 for both financial assets and liabilities.

 

Receivable from GCBP and CVR Derivative Liability

 

The receivable from GCBP and the corresponding CVR derivative liability relate to the asset purchase agreement with GCBP. The fair value of this receivable and derivative liability is based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. These unobservable inputs include the probability of GCBP meeting its contractual payment obligations, the timing of cash flows, and the expected recovery rate of the receivable. The estimation process incorporates GCBP’s financial condition and market conditions that could impact its ability to fulfill obligations. Additionally, the selection of the discount rate (currently estimated at 5.05%) may fluctuate over time. The estimated fair value of the receivable from GCBP and CVR derivative liability was determined based on the anticipated amount and timing of projected cash flows to be received from GCBP pursuant to the GCBP asset purchase agreement discounted to their present values using an estimated discount rate of 5.05%. As of December 31, 2024, the Company expects to receive a $5.0 million hold-back payment from GCBP in the first quarter of 2025, which will be distributed, net of expenses, to the CVR Holders. The change in fair value of the receivable from GCBP and the corresponding CVR derivative liability was recorded in interest and other income, net on the consolidated statement of operations and comprehensive income (loss).

 

Warrant Liability

 

In October 2023, Catalyst entered into a Securities Purchase Agreement for a private placement with GNI USA (the “Private Placement”). The Private Placement closed immediately following the Contributions on October 30, 2023. Upon closing of the Private Placement, the Company issued 811 shares of Convertible Preferred Stock and 811 Preferred Stock Warrants to purchase shares of Convertible Preferred Stock to GNI for an aggregate purchase price of approximately $5.0 million. The Preferred Stock Warrants are immediately exercisable at an exercise price of $4,915.00 per share of Convertible Preferred Stock and expire on October 30, 2033. The number of shares of Common Stock issuable upon exercise and conversion of the Preferred Stock Warrants is 540,666. The Company accounted for the Private Placement as a non-arm's length transaction. The Preferred Stock Warrants were initially recognized at fair value upon issuance and the remaining proceeds from the Private Placement were allocated to the Convertible Preferred Stock.

 

The Preferred Stock Warrants are freestanding financial instruments classified as a warrant liability on the Company’s consolidated balance sheet. The fair value of the Preferred Stock Warrants is subject to uncertainty due to unobservable inputs, including the expected volatility of the Company’s stock price, the likelihood of warrant exercise, and the estimated term of the warrants. Since there is limited market activity for the Preferred Stock Warrants, their fair value is determined using an option pricing model, which incorporates subjective inputs such as the Company’s stock price volatility, derived from historical and peer company data, as well as management’s expectations regarding future performance. As these assumptions evolve due to market conditions or company specific factors, the warrant liability may experience fluctuations. The Preferred Stock Warrants are revalued each reporting period with the change in fair value recorded as change in fair value of warrant liability in other income (expense), net on the consolidated statement of operations and comprehensive income (loss).

 

The fair value of the warrant liability is estimated based on the Black-Scholes option pricing model using the following weighted-average assumptions:

 

Share price

 

$

12.1

 

Exercise price

 

$

4,915.00

 

Dividend yield

 

—

 

Risk-free interest

 

 

4.54

%

Term (years)

 

 

8.83

 

Expected volatility

 

 

83.00

%

 

 

The following table sets forth the changes in the estimated fair value of the Company’s Level 3 financial assets and liabilities (in thousands):

 

 

Long-term receivable from GCBP

 

 

CVR derivative liability

 

 

Warrant liability

 

Balance at December 31, 2022

 

$

—

 

 

$

—

 

 

$

—

 

Additions in the period

 

 

4,683

 

 

 

4,683

 

 

 

3,574

 

Changes in fair value

 

 

39

 

 

 

39

 

 

 

9,261

 

Balance at December 31, 2023

 

 

4,722

 

 

 

4,722

 

 

 

12,835

 

Changes in fair value

 

 

239

 

 

 

239

 

 

 

(7,167

)

Balance at December 31, 2024

 

$

4,961

 

 

$

4,961

 

 

$

5,668

 

 

Financial Instruments

 

Cash equivalents and held-to-maturity debt securities consisted of the following (in thousands):

 

December 31, 2024

 

Amortized Cost

 

 

Gross Unrealized Gains

 

 

Gross Unrealized Losses

 

 

Estimated Fair Value

 

Money market funds (cash equivalents)

 

$

3,300

 

 

$

—

 

 

$

—

 

 

$

3,300

 

Short-term bank deposits

 

 

14,858

 

 

—

 

 

—

 

 

 

14,858

 

Long-term certificates of deposit

 

 

24,568

 

 

—

 

 

—

 

 

 

24,568

 

Total financial assets

 

$

42,726

 

 

$

—

 

 

$

—

 

 

$

42,726

 

Classified as:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

 

 

 

 

 

 

 

 

 

$

3,300

 

Short-term bank deposits

 

 

 

 

 

 

 

 

 

 

 

14,858

 

Long-term certificates of deposit

 

 

 

 

 

 

 

 

 

 

 

24,568

 

Total financial assets

 

 

 

 

 

 

 

 

 

 

$

42,726

 

 

December 31, 2023

 

Amortized Cost

 

 

Gross Unrealized Gains

 

 

Gross Unrealized Losses

 

 

Estimated Fair Value

 

Money market funds (cash equivalents)

 

$

5,860

 

 

$

—

 

 

$

—

 

 

$

5,860

 

Long-term certificates of deposit

 

 

23,431

 

 

—

 

 

—

 

 

 

23,431

 

Total financial assets

 

$

29,291

 

 

$

—

 

 

$

—

 

 

$

29,291

 

Classified as:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

 

 

 

 

 

 

 

 

 

$

5,860

 

Long-term certificates of deposit

 

 

 

 

 

 

 

 

 

 

 

23,431

 

Total financial assets

 

 

 

 

 

 

 

 

 

 

$

29,291

 

 

The fair value and amortized cost of the Company's held-to-maturity debt securities and redemption date were as follows:

 

 

 

December 31, 2024

 

 

 

Amortized Cost

 

 

Fair Value

 

Due in one year

 

$

14,858

 

 

$

14,858

 

Due in one to five years

 

 

24,568

 

 

 

24,568

 

Total

 

$

39,426

 

 

$

39,426

 

 

 

Interest income from the short-term bank deposits is recognized on an accrual basis over the term of the deposits. The accrued interest income for the periods ended December 31, 2024 and 2023 was $0.4 million and $0, respectively.

 

Interest income from the long-term certificates of deposit is recognized on an accrual basis over the term of the deposits. The accrued interest income for the periods ended December 31, 2024 and 2023 was $0.6 million and $0.6 million, respectively.