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FAIR VALUE MEASUREMENTS | 3 Months Ended
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Mar. 31, 2020
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | FAIR VALUE MEASUREMENTS The Company measures certain financial assets and liabilities at fair value on a recurring basis, including cash equivalents, available-for-sale marketable securities and the free shares asset. Fair value is determined based on a three-tier hierarchy under the authoritative guidance for fair value measurements and disclosures that prioritizes the inputs used in measuring fair value as follows: Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities; Level 2: Quoted prices in markets that are not active or inputs which are observable, either directly or indirectly, for substantially the full term of the asset or liability; and Level 3: Prices or valuation techniques that require inputs that are both significant to the fair value measurement and unobservable (i.e., supported by little or no market activity). The fair value measurements of the Company’s cash equivalents, available-for-sale marketable securities and the free shares asset are identified at the following levels within the fair value hierarchy (in thousands):
| March 31, 2020 |  |  |  |  |  |
| Fair Value Measurements |  |  |  |  |  |
| Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |
Money market funds | $ | 59,609 |  |  | $ | 59,609 |  |  | $ | — |  |  | $ | — |
Total | 59,609 |  |  | 59,609 |  |  | — |  |  | — |
Marketable securities: |  |  |  |  |  |  |
Commercial paper securities | 130,179 |  |  | — |  |  | 130,179 |  |  | — |
Corporate debt securities | 95,518 |  |  | — |  |  | 95,518 |  |  | — |
U.S. government-sponsored entity debt securities | 51,684 |  |  | — |  |  | 51,684 |  |  | — |
Total | 277,381 |  |  | — |  |  | 277,381 |  |  | — |
Total cash equivalents and marketable securities | $ | 336,990 |  |  | $ | 59,609 |  |  | $ | 277,381 |  |  | $ | — |
Free shares asset | $ | 163 |  |  | $ | — |  |  | $ | — |  |  | $ | 163 |
| December 31, 2019 |  |  |  |  |  |
| Fair Value Measurements |  |  |  |  |  |
| Total |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |
Cash equivalents: |  |  |  |  |  |  |
Money market funds | $ | 30,496 |  |  | $ | 30,496 |  |  | $ | — |  |  | $ | — |
Commercial paper securities | 2,999 |  |  | — |  |  | 2,999 |  |  | — |
Total | 33,495 |  |  | 30,496 |  |  | 2,999 |  |  | — |
Marketable securities: |  |  |  |  |  |  |
Commercial paper securities | 155,368 |  |  | — |  |  | 155,368 |  |  | — |
Corporate debt securities | 95,017 |  |  | — |  |  | 95,017 |  |  | — |
U.S. government-sponsored entity debt securities | 53,493 |  |  | — |  |  | 53,493 |  |  | — |
Total | 303,878 |  |  | — |  |  | 303,878 |  |  | — |
Total cash equivalents and marketable securities | $ | 337,373 |  |  | $ | 30,496 |  |  | $ | 306,877 |  |  | $ | — |
Free shares asset | $ | 236 |  |  | $ | — |  |  | $ | — |  |  | $ | 236 |
Cash Equivalents and Marketable Securities The Company generally classifies its marketable securities and some cash equivalents as Level 2. Instruments are classified as Level 2 when observable market prices for identical securities that are traded in less active markets are used. When observable market prices for identical securities are not available, such instruments are priced using benchmark curves, benchmarking of like securities, sector groupings, matrix pricing and valuation models. These valuation models are proprietary to the pricing providers or brokers and incorporate a number of inputs, including, listed in approximate order of priority: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, two-sided markets, benchmark securities, bids, offers and reference data including market research publications. For certain security types, additional inputs may be used, or some of the standard inputs may not be applicable. Evaluators may prioritize inputs differently on any given day for any security based on market conditions, and not all inputs listed are available for use in the evaluation process for each security evaluation on any given day. Free Shares Asset As a result of the July 20, 2018 Share Purchase Agreement (“Sangamo France SPA”) to acquire Sangamo France (see Note 10 — Acquisition of Sangamo Therapeutics France S.A.S.), the Company entered into arrangements with the holders of approximately 477,000 “free shares” of Sangamo France pursuant to which the Company has the right to purchase such shares from the holders (a call option) and such holders have the right to sell to the Company such shares from time to time through mid-2021 (a put option). The Company initially recorded a liability of $0.2 million on the acquisition date. The put options were classified within Level 3 of the fair value hierarchy as the Company utilized a binomial-lattice pricing model (the “Monte Carlo simulation model”) that involved certain market conditions to estimate the fair value of the options. The assumptions used in this simulation model are reviewed on a quarterly basis and adjusted, as needed. Subsequent changes in the fair value of the free shares are recorded in general and administrative expenses in the Condensed Consolidated Statements of Operations. During 2019, the Company purchased approximately 111,000 shares of the 477,000 total free shares for a cash payment of approximately $0.3 million upon exercise of the put options. As of March 31, 2020, approximately 366,000 free shares remain outstanding and subject to purchase by the Company. The fair value of the free shares asset was approximately $0.2 million at December 31, 2019 and the Company recognized an immaterial loss due to a decrease in the fair value of free shares, leaving the balance to an asset of approximately $0.2 million at March 31, 2020.
Free Shares valuation assumptions: |  | March 31, 2020 |  | December 31, 2019
Sangamo Stock Price (USD) |  | $ | 6.66 |  |  | $ | 8.68 |
Sangamo France Stock Price (EUR) |  | € | 1.64 |  |  | € | 2.14 |
EUR / USD Exchange Rate |  | 0.94 |  |  | 0.91 |
Estimated Correlation Sangamo and Sangamo France Stock Prices |  | 100.0% |  | 100.0%
Sangamo Stock Price (USD) Volatility Estimate |  | 76.7% |  | 72.5%
Sangamo France Stock Price (EUR) Volatility Estimate |  | 76.7% |  | 72.5%
EUR / USD Exchange Rate Volatility Estimate |  | 6.4% |  | 6.6%
Risk Free Rate and Cost of Debt by Expected Exercise Date |  | Varies |  | Varies

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 + Details
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