Roivant Sciences Ltd.ROIV
Roivant Sciences Ltd. Fair Value Disclosure
Note 14—Fair Value Measurements
Recurring Fair Value Measurements
The following table sets forth the Company’s assets and liabilities that are measured at fair value on a recurring basis
as of March 31, 2025 and 2024, by level, within the fair value hierarchy (in thousands):
|
As of March 31, 2025
|
As of March 31, 2024
|
|||||||||||||||||||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
Balance as of
March 31, 2025
|
Level 1
|
Level 2
|
Level 3
|
Balance as of March 31, 2024
|
|||||||||||||||||||||||||
|
Assets:
|
||||||||||||||||||||||||||||||||
|
Money market funds
|
$
|
2,621,457
|
$
|
—
|
$
|
—
|
$
|
2,621,457
|
$
|
6,312,288
|
$
|
—
|
$
|
—
|
$
|
6,312,288
|
||||||||||||||||
|
Investment in Datavant Class A units
|
—
|
—
|
167,361
|
167,361
|
—
|
—
|
147,526
|
147,526
|
||||||||||||||||||||||||
|
Investment in Arbutus common shares
|
135,578
|
—
|
—
|
135,578
|
100,227
|
—
|
—
|
100,227
|
||||||||||||||||||||||||
|
Total assets at fair value
|
$
|
2,757,035
|
$
|
—
|
$
|
167,361
|
$
|
2,924,396
|
$
|
6,412,515
|
$
|
—
|
$
|
147,526
|
$
|
6,560,041
|
||||||||||||||||
|
Liabilities:
|
||||||||||||||||||||||||||||||||
|
Liability instruments measured at fair value(1)
|
—
|
—
|
9,981
|
9,981
|
—
|
—
|
25,737
|
25,737
|
||||||||||||||||||||||||
|
Total liabilities at fair value
|
$
|
—
|
$
|
—
|
$
|
9,981
|
$
|
9,981
|
$
|
—
|
$
|
—
|
$
|
25,737
|
$
|
25,737
|
||||||||||||||||
| (1) |
At March 31, 2025, Level 3 includes the fair value of the Earn-Out Shares of $10.0 million. At March 31, 2024, Level 3 includes the fair value of the Earn-Out
Shares of $22.0 million and other liability instruments issued of $3.7 million.
|
There were no transfers of assets between Level 1 and Level 2 of the fair value measurement hierarchy that occurred during
the years ended March 31, 2025 and 2024.
Level 3 Disclosures
The Company measures its Level 3 assets and liabilities at fair value based on significant inputs not observable in the
market, which causes them to be classified as a Level 3 measurement within the fair value hierarchy. The valuation of the Level 3 assets and liabilities uses assumptions and estimates the Company believes would be made by a market participant in
making the same valuation. The Company assesses these assumptions and estimates on an ongoing basis as additional data impacting the assumptions and estimates are obtained. Changes in the fair value related to updated assumptions and estimates
are recorded within the consolidated statements of operations at the end of each reporting period.
The fair value of Level 3 assets and liabilities may change significantly as additional data are obtained, impacting the
Company’s assumptions regarding probabilities of potential scenarios used to estimate fair value. In evaluating this information, considerable judgment is required to interpret the data used to develop the assumptions and estimates. Accordingly,
the use of different market assumptions and/or different valuation techniques may have a material effect on the estimated fair value amounts, and such changes could materially impact the Company’s results of operations in future periods.
The changes in fair value of the Level 3 assets during the years ended March 31, 2025 and 2024 were as follows (in
thousands):
|
Balance at March 31, 2023
|
$
|
178,579
|
||
|
|
(31,053
|
)
|
||
|
Balance at March 31, 2024
|
|
147,526
|
||
|
|
19,835 | |||
|
Balance at March 31, 2025
|
$ | 167,361 |
The changes in fair value of the Level 3 liabilities during the years ended March 31, 2025 and 2024 were as follows (in
thousands):
|
Balance at March 31, 2023
|
$
|
33,651
|
||
| Exercise of Private Placement Warrants |
(28,090 | ) | ||
|
|
20,176
|
|||
|
Balance at March 31, 2024
|
25,737
|
|||
|
|
(15,756 | ) | ||
| Balance at March 31, 2025 | $ | 9,981 |
Investment in Datavant
The Company elected the fair value option to account for the investment in Datavant. The estimate of fair value for this
investment was determined using the income approach, market approach and implementation of the option pricing method (“OPM”). The income approach is based on the future expected cash flows, which are derived from certain assumptions
attributable to Datavant including estimates of revenue growth rate, earnings before interest, taxes, depreciation and amortization and terminal growth rate. These expected cash flows are then discounted to their present value using a
discount rate that reflects the risk and time value of money. The market approach estimates value by using valuation multiples derived from the stock prices of comparable publicly traded companies to determine the company’s equity value. The
OPM allows for the allocation of a company’s equity value among the various equity capital owners (preferred and common shareholders). The OPM uses the preferred shareholders’ liquidation preferences, participation rights, dividend policy,
and conversion rights to determine how proceeds from a liquidity event shall be distributed among the various ownership classes at a future date. The fair value was calculated using significant unobservable
inputs including the following:
|
Point Estimate Used
|
||||||||
|
Input
|
As of March 31, 2025
|
As of March 31, 2024 | ||||||
|
Volatility
|
110.0%
|
|
90.0% | |||||
|
Discount rate
|
13.0%
|
|
13.0% | |||||
Earn-Out Shares
The fair value of the Earn-Out Shares issued as part of the Business Combination was calculated using the Monte Carlo simulation method under the income
approach. Refer to Note 13, “Earn-Out Shares, Public Warrants and Private Placement Warrants” for additional details. Significant unobservable inputs used to calculate the fair value of the Earn-Out Shares included the
following:
|
Point Estimate Used
|
||||||||
|
Input
|
As of March 31, 2025
|
As of March 31, 2024 | ||||||
|
Volatility
|
38.4%
|
|
63.2% | |||||
|
Risk-free rate
|
3.96%
|
|
4.50% | |||||
As of March 31, 2025, the Company began using a blend of its historical and implied volatility, rather than exclusively relying on historical volatility,
to estimate the expected volatility assumption of various equity instruments issued by the Company. Due to changes in the Company’s capital position, the Company believes this methodology better reflects its expected future volatility.
Historical volatility was 35.8% based on the remaining term of the Earn-Out Shares as of March 31, 2025.
As of March 31, 2025 and 2024, the fair value of the Earn-Out Shares was $10.0 million and $22.0 million, respectively. Earn-Out Shares
were included in “” in the accompanying consolidated balance sheets.
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Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | May 29, 2025 | Showing above |
| 2024 | May 30, 2024 | |
| 2023 | Jun 28, 2023 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.