XOMA Royalty Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

Financial assets and liabilities carried at fair value

The following tables set forth the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as follows (in thousands):

	Fair Value Measurements at March 31, 2016 Using
	Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds ⁽¹⁾	$	43,110	$	—	$	—	$	43,110
Marketable securities		454		—		—		454
	$	43,564	$	—	$	—	$	43,564
Liabilities:
Contingent warrant liabilities	$	—	$	—	$	3,532	$	3,532

	Fair Value Measurements at December 31, 2015 Using
	Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
	(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Money market funds ⁽¹⁾	$	42,590	$	—	$	—	$	42,590
Marketable securities		496		—		—		496
Total	$	43,086	$	—	$	—	$	43,086

Liabilities:
Contingent warrant liabilities	$	—	$	—	$	10,464	$	10,464

(1)	Included in cash and cash equivalents

Warrant liabilities fair value assumptions

The estimated fair value of the contingent warrant liabilities was estimated using the following range of assumptions at March 31, 2016, and December 31, 2015:

	March 31, 2016	December 31, 2015
Expected volatility	115% - 186%	166% - 183%
Risk-free interest rate	0.50% - 0.60%	0.64% - 0.74%
Expected term	0.69 - 0.94	0.94 - 1.19

Summary of changes in estimated fair value of Level 3 financial liabilities

The following table provides a summary of changes in the estimated fair value of the Company’s Level 3 financial liabilities for the three months ended March 31, 2016 (in thousands):

Balance at December 31, 2015	$	10,464
Decrease in estimated fair value of contingent warrant liabilities upon revaluation		(6,932	)
Balance at March 31, 2016	$	3,532

Outstanding debt carrying amount and estimated fair value

The carrying amount and the estimated fair value of the Company’s outstanding interest-bearing obligations at March 31, 2016, and December 31, 2015, are as follows (in thousands):

	March 31, 2016				December 31, 2015
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Hercules term loan	$	19,849	$	21,231	$	19,653	$	21,231
Novartis note		13,683		13,450		13,683		13,394
Servier loan		12,719		12,626		15,331		15,185
Total	$	46,251	$	47,307	$	48,667	$	49,810