| Financial liabilities | Note 12. Financial liabilities 12.1 Detail of financial liabilities
As of December 31, 2023 As of June 30, 2024
$ in thousands
Conditional advances 1,448 1,521
Lease debts 42,948 38,362
State Guaranteed loan « PGE » 8,950 6,191
EIB loan 18,046 31,804
EIB warrants 7,797 6,384
Other non-current financial liabilities 12,884 12,447
Total non-current financial liabilities and non-current lease debts 92,073 96,710
Lease debts 8,502 8,357
State Guaranteed loan « PGE » 5,162 4,988
Other current financial liabilities 126 131
Total current financial liabilities and current lease debts 13,790 13,476
Trade payables 19,069 18,213
Other current liabilities 10,219 9,184
Total Financial liabilities 135,151 137,583 As of June 30, 2024 the other non-current financial liabilities are composed of a $ 1.0 million loan to finance leasehold improvements in our premises in New York, a Research Tax Credit financing from BPI received in June 2022 of € 5.5 million representing a non-current financial liability of $ 5.8 million and a new Research Tax Credit financing from BPI received in August 2023 of € 5.3 million, representing a non-current financial liability of $ 5.7 million. A s of December 31, 2023, the other non-current financial liabilities were of the same nature. State Guaranteed loan State Guaranteed Loan (“ Prêt Garanti par l’Etat ”, or “PGE”) corresponds to Cellectis’ obtention of an € 18.5 million (or $ 19.8 million using exchange rate as of June 30, 2024) loan from a bank syndicate formed with HSBC, Société Générale, Banque Palatine and BPI in the form of a PGE. The PGE is a bank loan with a fixed interest rate ranging from 0.31 % to 3.35 %. After an initial interest-only term of two years, the loan is amortized over up to four years at the option of the Company. The French government guarantees 90 % of the borrowed amount. As of June 30, 2024, the current liability related to the State Guaranteed loan amounts to $ 5.0 million and the non-current liability amounts to $ 6.1 million. Conditional advances On March 8, 2023, Cellectis signed a grant and refundable advance agreement with BPI to partially support one of R&D programs of the group which corresponds to UCART20x22 and certain related manufacturing activities. Pursuant to this agreement, Cellectis received $ 0.9 million as a first installment of the refundable advance on June 19, 2023 and $ 1.9 million as a second installment on October 6, 2023. Repayment of this advance is due over a period of 3 years starting on March 31, 2028. The amount to be repaid is equal to the principal adjusted upwards by a discounting effect at an annual rate of 3.04 %, in accordance with the European Commission’s principle for State aid. The amount of this discounting adjustment is expected to be $ 0.6 million and the total amount to be repaid $ 3.4 million. The refundable advance from BPI is accounted for a government loan as defined by IAS 20. Because this loan bears a lower-than-market interest rate, the group measures for each installment the fair value of the loan using a market interest rate and recognize the difference from the cash received as a grant. Based on a market rate of 16.1 % for the first installment and 15.2 % for the second installment, determined using the credit spread observed for loans contracted by Cellectis over a comparable term, the group measured the fair value of the loan at $ 1.4 million. The difference between this $ 1.4 million fair value and the $ 2.8 million received in cash has been recognized as a grant income in profit and loss for $ 1.4 million upon receipt of payments. The loan is subsequently measured at amortized cost. European Investment Bank (“EIB”) credit facility On December 28, 2022, Cellectis entered into a finance contract (the “Finance Contract”) with the EIB for up to € 40.0 million in loans to support our research and development activities to advance our pipeline of gene-edited allogeneic cell therapy candidate products for oncology indications (the “R&D Activities”). The Finance Contract provides for funding in three tranches, as follows: (i) an initial tranche of € 20.0 million (“Tranche A”); (ii) a second tranche of € 15.0 million (“Tranche B”); and (iii) a third tranche of € 5.0 million (“Tranche C,” and each of Tranche A, Tranche B, and Tranche C, a “Tranche”), each issuable only in full. Each of our material subsidiaries guarantees our obligations under the Finance Contract. On March 30, 2023, the Company and EIB entered into a Subscription Agreement for Warrants to be Issued by Cellectis S.A. (the “Warrant Agreement”), as required by the Finance Contract. The € 20 million Tranche A was disbursed on April 17, 2023. As a condition to the disbursement of Tranche A, the Company issued 2,779,188 Tranche A Warrants to EIB, in accordance with the terms of the 11th resolution of the shareholders’ meeting held on June 28, 2022 and articles L. 228-91 and seq. of the French Commercial Code, representing 5.0 % of the Company’s outstanding share capital as at their issuance date. The exercise price of the Tranche A Warrants is equal to € 1.92 , corresponding to 99 % of the volume-weighted average price per share of the Company’s ordinary shares over the last 3 trading days preceding the decision of the board of directors of the Company to issue the Tranche A Warrants. Tranche A will mature six years from its disbursement date. Tranche A generates interest at a rate equal to 8 % per annum. Interest will be capitalized annually by increasing the principal amount. The € 15 million Tranche B was disbursed on January 25, 2024. As a condition to the disbursement of Tranche B, the Company issued 1,460,053 Tranche B warrants to the benefit of the EIB, in accordance with the terms of the 14th resolution of the shareholders’ meeting held on June 27, 2023 and articles L. 228-91 and seq. of the French Commercial Code (the “Tranche B Warrants”), representing 2.0 % of the Company’s outstanding share capital as at their issuance date. The exercise price of the Tranche B Warrants is equal to € 2.53 , corresponding to 99 % of the volume-weighted average price per share of the Company’s ordinary shares over the last 3 trading days preceding the decision of the board of directors of the Company to issue the Tranche B Warrants. Tranche B will mature six years from its disbursement date. Tranche B generates interest at a rate equal to 7 % per annum. Interest will be capitalized annually by increasing the principal amount. Each EIB Warrant will entitle EIB to one ordinary share of the Company in exchange for the exercise price (subject to applicable adjustments and anti-dilution provisions). The EIB Warrants will have an exercise price per share equal to 99 % of the weighted average price per share of the Company over the last three trading days prior to their issuance. The EIB Warrants with respect to Tranche C are only issuable if the Company elects to drawdown such tranche. The EIB Warrants expire on the twentieth anniversary of their issuance date, at which time such unexercised EIB Warrants will be automatically deemed null and void. Any outstanding EIB Warrant will become exercisable following the earliest to occur of (i) a change of control event, (ii) the maturity date of Tranche to which it is related, (iii) a public take-over bid approved by the Company’s board of directors, (iv) a sale of all or substantially all of certain assets of Cellectis and its subsidiaries, (v) a debt repayment event (i.e. any mandatory repayment pursuant to the Finance Contract or any voluntary payment more than 75 % of any Tranche) in respect of one or more Tranches, or (vi) the receipt of a written demand for repayment from EIB in connection with an event of default under the Finance Agreement (each an “Exercise Event”). Following any Exercise Event and until expiration of the applicable EIB Warrants, EIB may exercise a put option by which EIB may require the Company to repurchase all or part of the then-exercisable but not yet exercised EIB Warrants. The exercise of such put option would be at the fair market value of the EIB Warrants, subject to a cap equal to the aggregate principal amount disbursed by EIB pursuant to the Finance Contract at the time of the put option, reduced by certain repaid amounts, at the time of exercise of the put option. Furthermore, in the case of any public take-over bid from a third party or a sale of all outstanding shares of the Company to any person or group of persons acting in concert, the Company shall, subject to certain conditions including the sale by certain shareholders of all of their shares and other securities, be entitled to repurchase all, but not less than all, of the EIB Warrants, at a price equal to the greater of (a) 0.3 times the amount disbursed by the EIB under the Finance Contract divided by the aggregate number of EIB Warrants issued (reduced by the number of exercised EIB Warrants), and (b) the fair market value of the EIB Warrants. The Company has a right of first refusal to repurchase the EIB Warrants that are offered for sale to a third party under the same terms and conditions of such third party’s offer, provided that such right of first refusal does not apply if the contemplated sale occurs within the scope of a public take-over bid by a third party. The Finance Contract and the Warrant Agreement are separate contracts as their maturities differ and as the warrants are transferable (subject to certain conditions). Therefore, the warrants are accounted for separately from the loan. Tranche A and Tranche B loans financings, as well as the Tranche A and Tranche B warrants, are accounted for separately in accordance with IFRS 9. The drawdown of Tranche B cannot be analyzed as an amendment to the loan and warrant contracts of Tranche A, as its disbursement was subject to additional conditions, the maturity of the loans and warrants is different and the effective interest rate is different and corresponds to market conditions at the date of drawdown of each of the two Tranches. The € 20.0 million Tranche A loan is classified as a financial liability measured at amortized cost. At initial recognition, i.e. on April 17, 2023, the fair value of this loan included $ 0.3 million of transaction costs and the $ 5.3 million fair value of the warrants (see below Derivative Instruments) as the warrants are part of the consideration given to EIB. The initial fair value of the loan is $ 16.2 million. The loan is subsequently measured at amortized cost, the effective interest rate of the loan being 13.4 %. The € 15.0 million Tranche B loan is classified as a financial liability measured at amortized cost. At initial recognition, i.e. on January 24, 2024, the fair value of this loan included the $ 3.5 million fair value of the warrants (see below Derivative Instruments) as the warrants are part of the consideration given to EIB. The initial fair value of the loan is $ 12.7 million. The loan is subsequently measured at amortized cost, the effective interest rate of the loan being 11.4 %. Derivative Instruments – EIB Warrants The Warrants issued in favor of the EIB in relation to the Tranche A and Tranche B disbursements in the form of respectively 2,779,188 and 1,460,053 Bons de Souscription d’Actions (“BSA”) are derivative instruments. Because of the terms and conditions of the EIB’s put option, we consider that the put option and the Tranche A Warrants and Tranche B Warrants under each of the Tranches are to be treated as a single compound derivative. Because of the terms and conditions of the Company’s call option, we consider it highly unlikely that the Company will exercise the call option. Accordingly, the call option has been valued at zero and is not accounted for. The “fixed for fixed” rule of IAS 32, which states that derivatives shall be classified as equity if they can only be settled by the delivery of a fixed number of shares in exchange for a fixed amount of cash or another financial asset, is not met because there is a settlement option that may result in the exchange of a variable number of shares for a variable price in the case of a put option exercise. As they are not equity instruments, the Tranche A Warrants and the Tranche B Warrants and attached put option are to be classified as a financial liability and will be measured at fair value through profit and loss. The fair value of the Tranche A Warrants and the Tranche B Warrants and put option has been estimated using a Longstaff Schwartz approach. Those derivative instruments are classified as level 3 in the fair value hierarchy. This approach is most appropriate to estimate the value of American options (which may be exercised any time from an exercise event until maturity) with complex exercise terms (EIB can exercise the Warrants on the basis of Cellectis’ spot share price or exercise the put option on the basis of the average price of the shares over 90 days). The Longstaff Schwartz approach is also based on the value of the underlying share price at the valuation date, the observed volatility of the company’s historical share price and the contractual life of the instruments. The assumptions and results of the warrants valuation for Tranche A are detailed in the following tables:
Warrants Tranche A
Grant date * 4/17/2023
Expiration date 4/17/2043
Number of options granted 2,779,188
Share entitlement per option 1
Exercise price (in euros per option) 1.92
Valuation method Longstaff Schwartz * The grant date retained is the disbursement date of the Tranche A as this is the issuance date defined in the contract.
Warrants Tranche A
As of April 17, 2023 As of December 31, 2023 As of June 30, 2024
Number of warrants granted 2,779,188 2,779,188 2,779,188
Share price (in euros) 1.87 2.76 1.65
Average life of options (in years) 20 19.55 18.80
Expected volatility 81.3 % 67.6 % 56.4 %
Discount rate 2.9 % 2.5 % 2.8 %
Expected dividends 0 % 0 % 0 %
Fair value per options (in euros per share) 1.73 2.54 1.42
Fair value in $ thousands 5,280 7,797 4,218 We conducted sensitivity analysis on the expected volatility. As shown in the tables below, the sensitivity of the fair value to the expected volatility is not significant:
As of April 17, 2023 Fair value in $ thousands
Expected volatility -5% 5,261
Expected volatility 5,280
Expected volatility +5% 5,286
As of June 30, 2024 Fair value in $ thousands
Expected volatility -5% 4,007
Expected volatility 4,218
Expected volatility +5% 4,660 The assumptions and results of the warrants valuation for Tranche B are detailed in the following tables:
Warrants Tranche B
Grant date * 1/25/2024
Expiration date 1/25/2044
Number of options granted 1,460,053
Share entitlement per option 1
Exercise price (in euros per option) 2.53
Valuation method Longstaff Schwartz * The grant date retained is the disbursement date of the Tranche B as this is the issuance date defined in the contract.
Warrants Tranche B
As of January 25, 2024 As of June 30, 2024
Number of warrants granted 1,460,053 1,460,053
Share price (in euros) 2.22 1.39
Average life of options (in years) 20.0 19.6
Expected volatility 60.4 % 56.4 %
Discount rate 2.7 % 2.8 %
Expected dividends 0 % 0 %
Fair value per options (in euros per share) 2.22 1.39
Fair value in $ thousands 3,534 2,167 We conducted sensitivity analysis on the expected volatility. As shown in the tables below, the sensitivity of the fair value to the expected volatility is not significant:
As of January 25, 2024 Fair value in $ thousands
Expected volatility -5% 3,358
Expected volatility 3,534
Expected volatility +5% 3,711
As of June 30, 2024 Fair value in $ thousands
Expected volatility -5% 2,058
Expected volatility 2,167
Expected volatility +5% 2,394 12.2 Due dates of the financial liabilities
Balance as of June 30, 2024 Book value Less than One Year One to Five Years More than Five Years
$ in thousands
Lease debts 46,719 8,357 25,697 12,665
Financial liabilities 63,467 5,119 18,903 39,444
Financial liabilities 110,186 13,476 44,600 52,109
Trade payables 18,213 18,213 - -
Other current liabilities 9,184 9,184 - -
Total financial liabilities 137,583 40,873 44,600 52,109
Balance as of December 31, 2023 Book value Less than One Year One to Five Years More than Five Years
$ in thousands
Lease debts 51,450 8,502 28,369 14,579
Other financial liabilities 54,413 5,289 21,862 27,263
Financial liabilities 105,863 13,790 50,230 41,842
Trade payables 19,069 19,069 - -
Other current liabilities 10,219 10,219 - -
Total financial liabilities 135,151 43,078 50,230 41,842 |
