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Fair Value Measurements
12 Months Ended
Dec. 31, 2021
FAIR VALUE MEASUREMENTS

3.

Fair Value Measurements

Financial instruments consist of cash equivalents, restricted cash, accounts receivable, accounts payable, accrued liabilities, payment-dependent notes receivable, payment-dependent notes payable, and warrant liabilities. Cash equivalents, payment-dependent notes receivable, payment-dependent notes payable, and warrant liabilities are stated at fair value on a recurring basis. Restricted cash, accounts receivable, accounts payable, and accrued liabilities are stated at their carrying value, which approximates fair value due to the short time to the expected receipt or payment date. The Company does not have short-term investments as of December 31, 2021 and 2020.

The following tables present the fair value hierarchy for assets and liabilities measured at fair value on a recurring basis:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

As of December 31, 2021

​

    

Level 1

    

Level 2

    

Level 3

    

Total

Cash and cash equivalents:

​

​

​

​

​

​

​

​

​

​

​

​

Money market funds

​

$

24,240

​

$

—

​

$

—

​

$

24,240

Payment-dependent notes receivable, current

​

 

1,153

​

 

—

​

 

—

​

 

1,153

Payment-dependent notes receivable, noncurrent

​

 

—

​

 

—

​

 

13,453

​

 

13,453

Total financial assets

​

$

25,393

​

$

—

​

$

13,453

​

$

38,846

Payment-dependent notes payable, current

​

 

1,153

​

 

—

​

 

—

​

 

1,153

Payment-dependent notes payable, noncurrent

​

​

—

​

​

—

​

​

13,453

​

​

13,453

Warrant liabilities

​

 

—

​

 

—

​

 

7,844

​

 

7,844

Total financial liabilities

​

$

1,153

​

$

—

​

$

21,297

​

$

22,450

​

​

​

As of December 31, 2020

​

​

Level 1

​

Level 2

​

Level 3

​

Total

Cash and cash equivalents:

    

​

​

    

​

    

    

​

​

    

​

​

Money market funds

​

$

6,050

​

$

—

​

$

—

​

$

6,050

Payment-dependent notes receivable, current

​

 

1,165

​

 

—

​

 

38,124

​

 

39,289

Payment-dependent notes receivable, noncurrent

​

 

—

​

 

—

​

 

13,735

​

 

13,735

Total financial assets

​

$

7,215

​

$

—

​

$

51,859

​

$

59,074

Payment-dependent notes payable, current

​

​

1,165

​

​

—

​

​

38,124

​

​

39,289

Payment-dependent notes payable, noncurrent

​

​

—

​

​

—

​

​

13,735

​

​

13,735

Warrant liabilities

​

​

—

​

​

—

​

​

1,780

​

​

1,780

Total financial liabilities

​

$

1,165

​

$

—

​

$

53,639

​

$

54,804

​

The Company classifies money market funds and certain payment-dependent notes receivable and payment-dependent notes payable within Level 1 of the fair value hierarchy because the Company values these investments using quoted market prices.

The Company classifies certain payment-dependent notes receivable and payment-dependent notes payable within Level 3 of the fair value hierarchy if the underlying securities are equity of private companies whose regular financial and nonfinancial information is generally not available other than when it is publicly disclosed, or significant unobservable inputs are used to estimate fair value.

The following tables summarize the quantitative inputs and assumptions used for the Company’s payment-dependent notes receivable and payment-dependent notes payable classified as Level 3 of the fair value hierarchy:

​

​

​

​

​

​

​

​

​

​

As of December 31, 2021

​

    

​

​

    

​

    

Significant

    

​

​

​

Fair

​

Valuation

​

Unobservable

​

​

Level 3 Measurements

​

Value

​

Technique(s)

​

Input(s)

​

Range

Financial assets

 

​

  

 

  

 

  

 

  

Payment-dependent notes receivable

​

$

13,453

 

Transaction prices

 

N/A(1)

 

N/A

Financial liabilities

​

 

  

 

  

 

  

 

  

Payment-dependent notes payable

​

$

13,453

 

Transaction prices

 

N/A(1)

 

N/A

​

​

​

​

​

​

​

​

 

​

​

​

​

​

​

​

​

​

​

​

​

​

As of December 31, 2020

 

​

    

​

​

    

​

    

Significant

    

​

 

​

​

Fair

​

Valuation

​

Unobservable

​

​

 

Level 3 Measurements

​

Value

​

Technique(s)

​

Input(s)

​

Range

 

Financial assets

 

​

  

 

  

 

  

 

  

​

Payment-dependent notes receivable

​

$

13,735

 

Transaction prices

 

N/A(1)

 

N/A

​

​

​

$

38,124

 

Discounted transaction prices(2)

 

Discount for lack of marketability

 

5

%

Financial liabilities

​

 

  

 

  

 

  

 

  

​

Payment-dependent notes payable

​

$

13,735

 

Transaction prices

 

N/A(1)

 

N/A

​

​

​

$

38,124

 

Discounted transaction prices(2)

 

Discount for lack of marketability

 

5

%

(1)

The Company considers completed transactions made through the Company’s platform for the relevant private securities as relevant data inputs.

(2)

The Company uses publicly traded share prices at the close of the valuation date as the primary factor in the fair value analysis and applies a discount to the share prices to reflect lack of marketability.

The Company used a hybrid method that incorporates the Black-Scholes option-pricing model and an adjusted backsolve model to estimate the fair value of the warrant liabilities. This approach is a scenario- based analysis that considers many assumptions, including the likelihood of potential liquidity events, the nature and timing of such potential events, actions taken with regard to the warrants at expiration, as well as discounts for lack of marketability of the underlying securities and warrants.

The Company estimated the fair value of the warrants liability as of December 31, 2021 and 2020, respectively, using the following key assumptions:

​

​

As of December 31,

​

​

    

2021

    

2020

​

Fair value of underlying securities

​

​

$30.8

​

​

$12.4

​

Discounts for lack of marketability

​

 

0.0%

​

​

29.0% – 34.0%

​

Expected term (years)

​

 

3.4 – 8.8

​

​

4.4 – 9.8

​

Expected volatility

​

 

40.4% – 44.3%

​

​

39.9% – 41.8%

​

Risk-free interest rate

​

 

1.0% – 1.5%

​

​

0.3% – 0.9%

​

Expected dividend yield

​

​

0.0%

​

​

0.0%

​

Fair value per warrant

​

​

$5.0 – $22.0

​

​

$1.5 – $1.9

​

​

The Company transfers financial instruments out of Level 3 on the date when underlying input parameters are readily observable from existing market quotes. Transfers from Level 3 to Level 1 generally relate to an investee company going public and listing on a national securities exchange.

During the years ended December 31, 2021 and 2020, there were transfers of securities segregated for customers from Level 3 to Level 1, as one private company was acquired by a public company and became publicly-traded under the acquiror, and the Company was able to obtain independent market-quoted prices for the acquiror company.

The following table provides reconciliation for all financial assets measured at fair value using significant unobservable inputs (Level 3) for years ended December 31, 2021 and 2020:

​

​

​

​

Balance as of December 31, 2019

    

$

25,892

Change in fair value of short-term investments

 

​

11

Distribution of short-term investments

 

​

(136)

Change in fair value of payment-dependent notes receivable.

 

​

27,319

Payment-dependent notes receivable transferred out of Level 3 to Level 1

​

​

(1,165)

Settlement of payment-dependent notes receivable

 

​

(62)

Balance as of December 31, 2020

​

$

51,859

Change in fair value of payment-dependent notes receivable

​

 

29,364

Payment-dependent notes receivable transferred out of Level 3 to Level 1

​

 

(62,637)

Settlement of payment-dependent notes receivable

​

 

(5,133)

Balance as of December 31, 2021

​

$

13,453

​

The following table provides reconciliation for payment-dependent notes payable measured at fair value using significant unobservable inputs (Level 3) for years ended December 31, 2021 and 2020:

​

​

​

​

Balance as of December 31, 2019

    

$

25,767

Change in fair value of payment-dependent notes payable

 

​

27,319

Payment-dependent notes payable transferred out of Level 3 to Level 1

 

​

(1,165)

Settlement of payment-dependent notes payable

​

​

(62)

Balance as of December 31, 2020

​

$

51,859

Change in fair value of payment-dependent notes payable

​

 

29,364

Payment-dependent notes payable transferred out of Level 3 to Level 1

​

 

(62,637)

Settlement of payment-dependent notes payable

​

 

(5,133)

Balance as of December 31, 2021

​

$

13,453

​

The following table provides reconciliation for warrant liabilities measured at fair value using significant unobservable inputs (Level 3) for years ended December 31, 2021 and 2020:

​

​

​

​

​

Balance as of December 31, 2019

    

$

—

Fair value of warrant at issuance

​

 

1,488

Change in fair value of warrant liabilities

​

 

292

Balance as of December 31, 2020

​

$

1,780

Change in fair value of warrant liabilities

​

 

6,064

Balance as of December 31, 2021

​

$

7,844

​

Motive Capital  
FAIR VALUE MEASUREMENTS

Note 10—Fair Value Measurements

A reconciliation of the beginning and ending balances of the derivative liabilities is summarized below:

​

​

​

​

​

December 31, 2020 - Beginning of Period

    

​

​

Warrant Liabilities - Public

​

$

21,390,000

Warrant Liabilities - Private

​

 

11,449,330

Forward Purchase agreement

​

 

7,692,950

December 31, 2020

​

$

40,532,280

Change in fair value of warrant liabilities - Public

​

 

(7,314,000)

Change in fair value of warrant liabilities - Private

​

 

(3,914,930)

Change in fair value of forward purchase agreement

​

 

(4,872,950)

December 31, 2021

​

$

24,430,400

​

The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2021 and 2020, by level within the fair value hierarchy:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair Value Measured as of December 31, 2021

​

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets:

 

​

  

 

​

  

 

​

  

 

​

  

Cash and Investments held in Trust Account

​

$

414,111,439

​

$

—

​

$

—

​

$

414,111,439

Liabilities:

​

 

  

​

 

  

​

 

  

​

 

  

Derivative liabilities - public warrants

​

​

14,076,000

​

​

—

​

​

—

​

​

14,076,000

Derivative liabilities - private placement warrants

​

​

—

​

​

7,534,400

​

​

—

​

​

7,534,400

Derivative liabilities - forward purchase agreement

​

​

—

​

​

—

​

​

2,820,000

​

​

2,820,000

Total liabilities

​

$

14,076,000

​

$

7,534,400

​

$

2,820,000

​

$

24,430,400

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair Value Measured as of December 31, 2020

​

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets:

 

​

  

 

​

  

 

​

  

 

​

  

Cash and Investments held in Trust Account

​

$

414,020,525

​

$

—

​

$

—

​

$

414,020,525

Liabilities:

​

 

  

​

 

  

​

 

  

​

 

  

Derivative liabilities - public warrants

​

​

—

​

​

—

​

​

21,390,000

​

​

21,390,000

Derivative liabilities - private placement warrants

​

​

—

​

​

—

​

​

11,449,330

​

​

11,449,330

Derivative liabilities - forward purchase agreement

​

​

—

​

​

—

​

​

7,692,950

​

​

7,692,950

Total liabilities

​

$

—

​

$

—

​

$

40,532,280

​

$

40,532,280

​

Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement and the estimated fair value of the Private Placement Warrants transferred from a Level 3 measurement to a Level 2 fair value measurement, as a result of the Public Warrants being listed in an active market in February 2021.

Prior to the Public Warrants being separately traded in an active market, the fair value of the Public Warrants issued in connection with the Public Offering and the Private Placement Warrants were measured using a binomial lattice model in a risk-neutral framework. The fair value of the forward purchase agreement is based on the fair value of the Company’s publicly traded Units on each valuation date, less the present value of the contractually stipulated forward price of $10.00. Beginning in February 2021, the fair value of the Public Warrants are determined based on the listed price in an active market for such warrants and the fair value of the

Private Placement Warrants is estimated to be approximately equal to that of the Public Warrants given the low likelihood of the Company’s ordinary share price exceeding $18.00 by the start of the exercise period.

For the year ended December 31, 2021, the Company recognized a non-operating gain resulting from a decrease in the fair value of derivative liabilities of approximately $16.1 million, which is presented as change in fair value of derivative liabilities in the accompanying consolidated statements of operations.

For the period from September 28, 2020 (inception) through December 31, 2020, the Company recognized a non-operating loss resulting from an increase in the fair value of derivative liabilities of approximately $10.7 million, which is presented as change in fair value of derivative liabilities in the accompanying consolidated statements of operations.

The estimated fair value of the Private Placement Warrants, Public Warrants and Forward Purchase Agreement, as of December 31, 2021 and 2020 was determined using Level 3 inputs. The Company estimated the volatility of its ordinary share warrants based on implied volatility from historical volatility of select peer company’s ordinary shares that matches the expected remaining life of the warrants.

The following table provides quantitative information regarding Level 3 fair value measurements inputs as of each measurement date:

​

​

​

​

​

​

​

​

​

​

​

As of

​

As of

 

​

​

December 31,

​

December 31, 

 

​

    

2021

    

2022

 

Share price, used in warrant valuations

​

$

10.02

​

​

n/a

​

Unit price, used in forward valuation

​

$

10.54

​

$

10.20

​

Exercise price, warrants

​

$

11.50

​

 

n/a

​

Exercise price, forward

​

$

10.00

​

$

10.00

​

Term (in years), used in warrant valuations

​

​

6.00

​

​

n/a

​

Term (in years), used in forward valuation

​

​

0.96

​

​

0.25

​

Volatility

​

 

21.00

%  

 

15.5

%

Risk-free interest rate, used in warrant valuations

​

 

0.50

%  

 

n/a

​

Risk-free interest rate, used in forward valuation

​

 

0.10

%  

 

1.28

%

Expected dividends

​

​

n/a

​

​

n/a

​

​

The change in the fair value of the derivative liabilities, classified as Level 3, for the periods ended December 31, 2021 and 2020 is summarized as follows:

​

​

​

​

​

Level 3 derivative liabilities at December 31, 2020

    

$

40,532,280

Transfers from Level 3

​

​

(32,839,330)

Change in fair value

​

 

(6,935,120)

Level 3 derivative liabilities at March 31, 2021

​

​

757,830

Change in fair value

​

​

(159,200)

Level 3 derivative liabilities at June 30, 2021

​

​

598,630

Change in fair value

​

​

2,201,370

Level 3 derivative liabilities at September 30, 2021

​

​

2,800,000

Change in fair value

​

​

20,000

Level 3 derivative liabilities at December 31, 2021

​

$

2,820,000

​