XML 65 R53.htm IDEA: XBRL DOCUMENT v3.21.2
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2021
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of fair value on a recurring basis
The following tables set forth the fair value of financial instruments that were measured at fair value on a recurring basis (in thousands):
December 31, 2020
TotalLevel 1Level 2Level 3
Financial Assets:
Money market funds$92,940 $92,940 $— $— 
Total financial assets$92,940 $92,940 $— $— 
December 31, 2019
TotalLevel 1Level 2Level 3
Financial Assets:
Money market funds$100,272 $100,272 $— $— 
Total financial assets$100,272 $100,272 $— $— 
The following tables set forth the fair value of financial instruments that were measured at fair value on a recurring basis (in thousands):
As of March 31, 2021
(in thousands)TotalLevel 1Level 2Level 3
Financial Assets:
Money market funds
$50,919 $50,919 $— $— 
Total financial assets
$50,919 $50,919 $— $— 
As of December 31, 2020
(in thousands)TotalLevel 1Level 2Level 3
Financial Assets:
Money market funds
$92,940 $92,940 $— $— 
Total financial assets
$92,940 $92,940 $— $— 
Schedule of Valuation Assumptions
The estimated fair value of the stock option awards as of December 31, 2020, 2019, and 2018 was estimated using the Black-Scholes option pricing model with the following assumptions:
202020192018
Expected volatility65.80%60.00%70.00%
Expected term (in years)
0.50-1.49
3.00–5.00
4.00
Risk-free interest rate0.10%
1.40%–1.43%
2.68%
Dividend yield———
Fair value of Class A common stock$679.31$94.85$59.60
Fair value of Class B common stock$6.7931$0.9485$0.5960
The estimated fair value of the stock option awards as of March 31, 2021 and March 31, 2020, was estimated using the Black-Scholes option pricing model with the following assumptions:
Three Months ended March 31,
(in thousands)20212020
Expected volatility
68.50%- 75.60%
68.30%-73.30%
Expected term (in years)
0.50- 1.75
3.00-5.00
Risk-free interest rate
0.05%- 0.16%
0.29%-0.37%
Dividend yield
0.00 %0.00 %
Fair value of Class A common stock
$565.85-$1,549.43
$85.42-$97.58
Fair value of Class B common stock
$5.66-$15.49
$0.85-$0.98
CM Life Sciences, Inc.  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of fair value on a recurring basis
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at March 31, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
DescriptionLevelMarch 31,
2021		December 31,
2020
Assets:
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund1$442,774,870 $442,763,951 
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at March 31, 2021 and December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
DescriptionLevelMarch 31,
2021		December 31,
2020
Liabilities:
Warrant Liability – Public Warrants1$76,448,164 $40,290,250 
Warrant Liability – Private Placement Warrants3$50,511,936 $30,032,168 
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2020 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
DescriptionLevelDecember 31,
2020
Assets:
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund1$442,763,951 
Liabilities:
Warrant Liability – Public Warrants1$40,290,250 
Warrant Liability – Private Placement Warrants3$30,032,168 
Schedule of changes in the fair value of warrant liabilities
The following table presents the changes in the fair value of warrant liabilities:
Private PlacementPublicTotal Warrant Liabilities
Fair value as of July 10, 2020 (inception)$— $— $— 
Initial measurement on September 4, 202010,855,001 20,956,833 31,811,834 
Change in valuation inputs or other assumptions19,177,167 19,333,417 38,510,584 
Fair value as of December 31, 2020$30,032,168 $40,290,250 $70,322,418 
Schedule of Valuation Assumptions
The fair value of the Private Placement Warrants was estimated at March 31, 2021 and December 31, 2020 to be $2.29 and $4.24, respectively, using the modified Black-Scholes option pricing model and the following assumptions:
March 31,
2021		December 31,
2020
Stock Price$14.89 $11.04 
Expected volatility42.5 %42.8 %
Risk-free interest rate0.96 %0.42 %
Remaining term5.175.42
Exercise Price$11.50 $11.50 
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table presents the changes in the fair value of warrant liabilities:
Private PlacementPublicWarrant
Liabilities
Fair value as of January 1, 2021$30,032,168 $40,290,250 $70,322,418 
Change in valuation inputs or other assumptions20,479,768 36,157,914 56,637,682 
Fair value as of March 31, 2021$50,511,936 $76,448,164 $126,960,100