Corvus Pharmaceuticals, Inc. - 10-K filing on 2017-03-10

Fair Value Measurements

12 Months Ended

Dec. 31, 2016

4. Fair Value Measurements

Financial assets and liabilities are measured and recorded at fair value. The Company is required to disclose information on all assets and liabilities reported at fair value that enables an assessment of the inputs used in determining the reported fair values. The fair value hierarchy prioritizes valuation inputs based on the observable nature of those inputs. The fair value hierarchy applies only to the valuation inputs used in determining the reported fair value of the investments and is not a measure of the investment credit quality. The hierarchy defines three levels of valuation inputs:


	•	Level 1—Quoted prices in active markets for identical assets or liabilities
	•	Level 2—Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly
	•	Level 3—Unobservable inputs that reflect the Company's own assumptions about the assumptions market participants would use in pricing the asset or liability

There have been no transfers of assets and liabilities between levels of hierarchy.

The following tables present information as of December 31, 2016 and 2015 about the Company's assets that are measured at fair value on a recurring basis and indicate the level of the fair value hierarchy the Company utilized to determine such fair values (in thousands):

	December 31, 2016
	Fair Value Measured Using
	Fair Value Measured Using						Total Balance
	(Level 1)		(Level 2)		(Level 3)		Total Balance
Assets
Cash equivalents	$	2,999	$	—	$	—	$	2,999
Marketable securities		129,846		—		—		129,846

	$	132,845	$	—	$	—	$	132,845

	December 31, 2015
	Fair Value Measured Using
	Fair Value Measured Using						Total Balance
	(Level 1)		(Level 2)		(Level 3)		Total Balance
Assets
Cash equivalents	$	3,245	$	—	$	—	$	3,245
Marketable securities		90,281		—		—		90,281

	$	93,526	$	—	$	—	$	93,526

The Company's marketable securities are invested in direct obligations of the United States government for all periods.

As of December 31, 2016, marketable securities had a maximum remaining maturity of nine months and consisted of U.S. Treasury securities.

The following table presents the issuances, changes in fair value, exercise and reclassification of the Company's Level 3 financial instrument which is measured at fair value on a recurring basis (in thousands):

	Convertible Preferred Stock Call Option Liability
Balance as of December 31, 2014	$	2,600
Change in fair value of convertible preferred stock liability through date of Series A second tranche issuance		17,600
Recognition of fair value upon issuance of second tranche Series A convertible preferred stock		(20,200	)

Balance as of December 31, 2015	$	—

As of December 31, 2016 and 2015, the fair value of available for sale marketable securities by type of security were as follows (in thousands):

	December 31, 2016
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
U.S. Treasury securities	$	129,885	$	—	$	(39	)	$	129,846

	December 31, 2015
	Amortized Cost		Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
U.S. Treasury securities	$	90,326	$	—	$	(45	)	$	90,281