Company: TVRD
Filing Date: 2025-10-07
Form Type: S-1/A
Source: 0001104659-25-097519
Chunk: 154

Company: Tvardi Therapeutics, Inc.
Filing Date: 2025-10-07
Form: S-1/A
Chunk 154
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825, Financial Instruments (“ASC 825”). In accordance with ASC 825 and the fair value option, we recorded the Convertible Notes at fair value with changes in fair value recorded as component of other income (expense), net in our statements of operations. As a result of the fair value option, any issuance costs related to the Convertible Notes were expensed as incurred and were not deferred. The fair value of the Convertible Notes was determined using a scenario-based valuation analysis that requires a probability of inputs, including the probability of occurrence of events that would trigger conversion of the Convertible Notes and the expected timing of such events. Prior to the Merger with Cara in April 2025, Legacy Tvardi assessed the probability of (i) an automatic conversion of the Convertible Notes into equity securities upon a Qualified or non-Qualified Financing, (ii) an automatic conversion of the Convertible Notes into shares of Legacy Tvardi’s common stock upon an IPO, (iii) an automatic conversion of the Convertible Notes into the combined company’s common stock upon a reverse merger, and (iv) an event of default, dissolution, or liquidation, weighted with 2.5%, 0%, 95%, and 2.5%, respectively.

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Additional assumptions and estimates used to estimate the fair value of the Convertible Notes included the: (i) fixed price conversion option, which was valued using a Black-Scholes option model, (ii) aggregate call value of each scenario, which was synthesized using a bond plus call option model, (iii) expected volatility, (iv) risk-free interest rate, and (v) the fair value of the Convertible Notes under the reverse merger scenario, which was estimated using a forward contract structure. Since we elected the fair value option for the Convertible Notes, at the time of conversion, the fair value was measured as the quoted market price of our common stock into which the Convertible Notes were exchanged. The fair value was determined to be the closing market trading price on April 16, 2025, the first day of trading for our common stock. Under the fair value option, any change in fair value is recorded to our condensed consolidated statements of operations and comprehensive income (loss) as a gain or loss from a fair value measurement. At the time of conversion, the fair value of the Convertible Notes was $23.1 million, calculated as 1,265,757 shares of our common stock at the closing market trading price on April 16,