Fair Value Measurements (Tables)
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9 Months Ended |
Sep. 30, 2022 |
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| Fair Value Disclosures [Abstract] |
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| 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 (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | As of September 30, 2022 | | Level 1 | | Level 2 | | Level 3 | | Total | | Cash and cash equivalents: | | | | | | | | | Money market funds | $ | 148,979 | | | $ | — | | | $ | — | | | $ | 148,979 | | | Payment-dependent notes receivable, current | 2 | | | — | | | — | | | 2 | | | Payment-dependent notes receivable, non-current | — | | | — | | | 6,508 | | | 6,508 | | | Total financial assets | $ | 148,981 | | | $ | — | | | $ | 6,508 | | | $ | 155,489 | | | Payment-dependent notes payable, current | $ | 2 | | | $ | — | | | $ | — | | | $ | 2 | | | Payment-dependent notes payable, non-current | — | | | — | | | 6,508 | | | 6,508 | | | Legacy Forge warrant liabilities | — | | | — | | | 410 | | | 410 | | | Private Placement Warrants | — | | | — | | | 222 | | | 222 | | | Total financial liabilities | $ | 2 | | | $ | — | | | $ | 7,140 | | | $ | 7,142 | |
| | | | | | | | | | | | | | | | | | | | | | | | | 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, non-current | — | | | — | | | 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, non-current | — | | | — | | | 13,453 | | | 13,453 | | | Legacy Forge warrant liabilities | — | | | — | | | 7,844 | | | 7,844 | | | Total financial liabilities | $ | 1,153 | | | $ | — | | | $ | 21,297 | | | $ | 22,450 | |
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| Fair Value Measurement Inputs and Valuation Techniques |
The Company estimated the fair value of the Legacy Forge warrant liabilities, as of September 30, 2022 and December 31, 2021, respectively, using the following key assumptions:
| | | | | | | | | | | | | September 30,
2022 | | December 31,
2021 | | | | | | Fair value of underlying securities | $ | 1.75 | | $ | 30.8 | | Discounts for lack of marketability | 0.0% | | 0.0% | | Expected term (years) | 4.0 | | 3.4 – 8.8 | | Expected volatility | 44.6% | | 40.4% – 44.3% | | Risk-free interest rate | 4.2% | | 1.0% – 1.5% | | Expected dividend yield | 0.0% | | 0.0% | | | | | | Fair value per warrant | $ | 0.16 | | $5.0 - $22.0 |
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| 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 nine months ended September 30, 2022 and 2021 (in thousands): | | | | | | | Total Level 3 Financial Assets | | Balance as of December 31, 2021 | $ | 13,453 | | | Change in fair value of payment-dependent notes receivable | (6,945) | | | | | | | Balance as of September 30, 2022 | $ | 6,508 | |
| | | | | | | Total Level 3 Financial Assets | | 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 | (5,472) | | | Change in fair value of payment-dependent notes receivable | 26,758 | | | Settlement of payment-dependent notes receivable | (62,637) | | | Balance as of September 30, 2021 | $ | 10,847 | |
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| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables provide reconciliation for all financial liabilities measured at fair value using significant unobservable inputs (Level 3) for nine months ended September 30, 2022 and 2021 (in thousands): | | | | | | | Total Level 3 Financial Liabilities | | Balance as of December 31, 2021 | $ | 21,297 | | | Change in fair value of payment-dependent notes payable | (6,945) | | | Change in fair value of Series B-1 Preferred Stock Warrant liability | 106 | | | Settlement of Series B-1 Preferred Stock Warrant liability via conversion to equity-classified common stock warrants | (2,950) | | | Exercise of Junior Preferred Stock Warrants | (653) | | | Change in fair value of Junior Preferred Stock Warrants | (3,937) | | | Transfer of Private Placement Warrants out of Level 2 to Level 3 | 20,461 | | | Change in fair value of Private Placement Warrants | (20,239) | | | Balance as of September 30, 2022 | $ | 7,140 | |
| | | | | | | Total Level 3 Financial Liabilities | | Balance as of December 31, 2020 | $ | 53,639 | | | Change in fair value of payment-dependent notes payable | 26,758 | | | Settlement of payment-dependent notes payable | (62,637) | | | Change in fair value of Legacy Forge warrant liabilities | 5,575 | | | Payment-dependent notes payable transferred out of Level 3 to Level 1 | (5,133) | | | Balance as of September 30, 2021 | $ | 18,202 | |
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