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Fair Value Measurements (Tables)
3 Months Ended 12 Months Ended
Mar. 31, 2022
Dec. 31, 2021
Fair Value Disclosures [Abstract]    
Schedule of fair value hierarchy for assets and liabilities measured at fair value on a recurring basis

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

    

As of March 31, 2022

    

Level 1

    

Level 2

    

Level 3

    

Total

Cash and cash equivalents:

 

  

 

  

 

  

 

  

Money market funds

$

159,316

$

$

$

159,316

Payment-dependent notes receivable, current

 

243

 

 

 

243

Payment-dependent notes receivable, noncurrent

 

 

 

14,975

 

14,975

Total financial assets

$

159,559

$

$

14,975

$

174,534

Payment-dependent notes payable, current

 

243

 

 

 

243

Payment-dependent notes payable, noncurrent

 

 

 

14,975

 

14,975

Warrant liabilities

 

 

 

5,000

 

5,000

Public Warrants

 

30,654

 

 

 

30,654

Private Placement Warrants

 

 

12,262

 

 

12,262

Total financial liabilities

$

30,897

$

12,262

$

19,975

$

63,134

    

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

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

Schedule of quantitative inputs and assumptions used for the payment-dependent notes receivable, payment-dependent notes payable and short-term investments  

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.

Schedule of key assumptions used of estimate the 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 March 31, 2022

Significant

Valuation

Unobservable

Level 3 Measurements

    

Fair Value

    

Technique(s)

    

Input(s)

    

Range

Financial assets

  

  

  

  

Payment-dependent notes receivable

$

14,975

 

Transaction prices

 

N/A(1)

 

N/A

Financial liabilities

 

  

 

  

 

  

 

  

Payment-dependent notes payable

$

14,975

 

Transaction prices

 

N/A(1)

 

N/A

As of December 31, 2021

Significant

Valuation

Unobservable

Level 3 Measurements

    

Fair 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

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

The Company estimated the fair value of the warrants’ liability, other than Public and Private Placement Warrants, as of March 31, 2022 and December 31, 2021, respectively, using the following key assumptions:

    

As of

 

    

March 31,

    

December 31,

 

    

2022

    

2021

 

Fair value of underlying securities

$

33.9

 

$

30.8

Discounts for lack of marketability

 

0.0

%  

0.0

%

Expected term (years)

 

3.6

 

3.4 – 8.8

Expected volatility

 

44.3

%  

40.4% – 44.3

%

Risk-free interest rate

 

2.4

%  

1.0% – 1.5

%

Expected dividend yield

 

0.0

%  

0.0

%

Fair value per warrant

 

23.2

$

5.0 - $22.0

 
Schedule of reconciliation for all assets measured at fair value using significant unobservable inputs (Level 3)

The following tables provide reconciliation for all financial assets measured at fair value using significant unobservable inputs (Level 3) for three months ended March 31, 2022 and 2021:

Balance as of December 31, 2020

    

$

51,859

Acquisition of short-term investments

 

362

Change in fair value of short-term investments

 

(23)

Short-term investments transferred out of Level 3 to Level 1

 

(339)

Change in fair value of payment-dependent notes receivable

 

21,309

Settlement of payment-dependent notes receivable

 

(261)

Balance as of March 31, 2021

$

72,907

Balance as of December 31, 2021

    

$

13,453

Change in fair value of payment-dependent notes receivable

 

1,522

Balance as of March 31, 2022

$

14,975

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

Schedule of change in the fair value of the derivative liabilities

The following tables provide reconciliation for payment-dependent notes payable measured at fair value using significant unobservable inputs (Level 3) for three months ended March 31, 2022 and 2021:

Balance as of December 31, 2020

    

$

51,859

Change in fair value of payment-dependent notes payable

 

21,309

Settlement of payment-dependent notes payable

 

(261)

Balance as of March 31, 2021

$

72,907

Balance as of December 31, 2021

    

$

13,453

Change in fair value of payment-dependent notes payable

 

1,522

Balance as of March 31, 2022

$

14,975

The following tables provide reconciliation for warrant liabilities measured at fair value using significant unobservable inputs (Level 3) for three months ended March 31, 2022 and 2021:

Balance as of December 31, 2020

    

$

1,780

Change in fair value of warrant liabilities

 

908

Balance as of March 31, 2021

$

2,688

Balance as of December 31, 2021

    

$

7,844

Change in fair value of warrant liabilities

 

106

Settlement of the warrant liability via conversion to equity-classified common stock warrants

 

(2,950)

Balance as of March 31, 2022

$

5,000

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