XML 35 R26.htm IDEA: XBRL DOCUMENT v3.22.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on 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 1Level 2Level 3Total
Cash and cash equivalents:
Money market funds$159,316 $— $— $159,316 
Payment-dependent notes receivable, current243 — — 243 
Payment-dependent notes receivable, noncurrent— — 14,975 14,975 
Total financial assets$159,559 $— $14,975 $174,534 
Payment-dependent notes payable, current243 — — 243 
Payment-dependent notes payable, noncurrent— — 14,975 14,975 
Warrant liabilities— — 5,000 5,000 
Public Warrants30,654 — — 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 1Level 2Level 3Total
Cash and cash equivalents:
Money market funds$24,240 $— $— $24,240 
Payment-dependent notes receivable, current1,153 — — 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 
Fair Value Measurement Inputs and Valuation Techniques 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


Level 3 Measurements
Fair
Value
Valuation
Technique(s)		Significant
Unobservable
Input(s)		Range
Financial assets
Payment-dependent notes receivable$14,975Transaction pricesN/A(1)N/A
Financial liabilities
Payment-dependent notes payable$14,975Transaction pricesN/A(1)N/A

As of December 31, 2021


Level 3 Measurements
Fair
Value		Valuation
Technique(s)		Significant
Unobservable
Input(s)		Range
Financial assets
Payment-dependent notes receivable$13,453Transaction pricesN/A(1)N/A
Financial liabilities
Payment-dependent notes payable$13,453Transaction pricesN/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,
2022		December 31,
2021
Fair value of underlying securities$33.9$30.8
Discounts for lack of marketability0.0%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 yield0.0%0.0%
Fair value per warrant 23.2
$5.0 - $22.0
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
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 investments362 
    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 receivable21,309 
    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 receivable1,522 
Balance as of March 31, 2022$14,975 
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
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 payable21,309 
   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 payable1,522 
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 liabilities908 
Balance as of March 31, 2021$2,688 

Balance as of December 31, 2021$7,844 
Change in fair value of warrant liabilities106 
Settlement of the warrant liability via conversion to equity-classified common stock warrants(2,950)
Balance as of March 31, 2022$5,000