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Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2023
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 (in thousands):
| As of March 31, 2023
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash and cash equivalents: |  |  |  |  |  |  |
Money market funds | $ | 117,280 |  |  | $ | — |  |  | $ | — |  |  | $ | 117,280 |
Payment-dependent notes receivable, current(1) | 2 |  |  | — |  |  | — |  |  | 2 |
Payment-dependent notes receivable, non-current | — |  |  | — |  |  | 5,830 |  |  | 5,830 |
Total financial assets | $ | 117,282 |  |  | $ | — |  |  | $ | 5,830 |  |  | $ | 123,112 |
Payment-dependent notes payable, current(2) | $ | 2 |  |  | $ | — |  |  | $ | — |  |  | $ | 2 |
Payment-dependent notes payable, non-current | — |  |  | — |  |  | 5,830 |  |  | 5,830 |
Legacy Forge warrant liabilities | — |  |  | — |  |  | 247 |  |  | 247 |
Private placement warrants | — |  |  | — |  |  | 190 |  |  | 190 |
Total financial liabilities | $ | 2 |  |  | $ | — |  |  | $ | 6,267 |  |  | $ | 6,269 |
| As of December 31, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash and cash equivalents: |  |  |  |  |  |  |
Money market funds | $ | 149,139 |  |  | $ | — |  |  | $ | — |  |  | $ | 149,139 |
Payment-dependent notes receivable, current(1) | 5 |  |  | — |  |  | — |  |  | 5 |
Payment-dependent notes receivable, non-current | — |  |  | — |  |  | 7,371 |  |  | 7,371 |
Total financial assets | $ | 149,144 |  |  | $ | — |  |  | $ | 7,371 |  |  | $ | 156,515 |
Payment-dependent notes payable, current(2) | $ | 5 |  |  | $ | — |  |  | $ | — |  |  | $ | 5 |
Payment-dependent notes payable, non-current | — |  |  | — |  |  | 7,371 |  |  | 7,371 |
Legacy Forge warrant liabilities | — |  |  | — |  |  | 384 |  |  | 384 |
Private placement warrants | — |  |  | — |  |  | 222 |  |  | 222 |
Total financial liabilities | $ | 5 |  |  | $ | — |  |  | $ | 7,977 |  |  | $ | 7,982 |
(1) Included in Prepaid expenses and other current assets on the unaudited condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022. (2) Included in Accrued expenses and other current liabilities on the unaudited condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022.
Fair Value Measurement Inputs and Valuation Techniques | The Company estimated the fair value of the Legacy Forge warrant liabilities, as of March 31, 2023 and December 31, 2022, respectively, using the following key assumptions:
| March 31, 2023 |  | December 31, 2022
Fair value of underlying securities | $ | 1.75 |  | $ | 1.73
Expected term (years) | 2.6 |  | 2.9
Expected volatility | 40.4% |  | 46.1%
Risk-free interest rate | 3.9% |  | 4.2%
Expected dividend yield | 0.0% |  | 0.0%
Fair value per warrant | $ | 0.09 |  | $ | 0.15
The significant assumptions used in the analysis were the trading price of the Company’s Common Stock as of March 31, 2023 and December 31, 2022, respectively, using the following key assumptions:
| March 31, 2023 |  | December 31, 2022
Fair value of underlying securities | $ | 1.75 |  | $ | 1.73
Expected term (years) | 4.0 |  | 4.2
Expected volatility | 44.2% |  | 44.6%
Risk-free interest rate | 3.7% |  | 4.1%
Expected dividend yield | 0.0% |  | 0.0%
Fair value per warrant | $ | 0.03 |  | $ | 0.03
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables provide reconciliation for all financial assets and liabilities measured at fair value using significant unobservable inputs (Level 3) for three months ended March 31, 2023 and 2022 (in thousands):
| Total Level 3 Financial Assets |  | Total Level 3 Financial Liabilities
Balance as of December 31, 2022 | $ | 7,371 |  |  | $ | 7,977 |
Change in fair value of payment-dependent notes receivable | (1,541) |  |  | — |
Change in fair value of payment-dependent notes payable | — |  |  | (1,541) |
Change in fair value of Junior Preferred Stock Warrants | — |  |  | (137) |
Change in fair value of Private Placement Warrants | — |  |  | (32) |
Balance as of March 31, 2023 | $ | 5,830 |  |  | $ | 6,267 |
| Total Level 3 Financial Assets |  | Total Level 3 Financial Liabilities
Balance as of December 31, 2021 | $ | 13,453 |  |  | $ | 21,297 |
Change in fair value of payment-dependent notes receivable | 1,522 |  |  | — |
Change in fair value of payment-dependent notes payable | — |  |  | 1,522 |
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) |
Balance as of March 31, 2022 | $ | 14,975 |  |  | $ | 19,975 |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables provide reconciliation for all financial assets and liabilities measured at fair value using significant unobservable inputs (Level 3) for three months ended March 31, 2023 and 2022 (in thousands):
| Total Level 3 Financial Assets |  | Total Level 3 Financial Liabilities
Balance as of December 31, 2022 | $ | 7,371 |  |  | $ | 7,977 |
Change in fair value of payment-dependent notes receivable | (1,541) |  |  | — |
Change in fair value of payment-dependent notes payable | — |  |  | (1,541) |
Change in fair value of Junior Preferred Stock Warrants | — |  |  | (137) |
Change in fair value of Private Placement Warrants | — |  |  | (32) |
Balance as of March 31, 2023 | $ | 5,830 |  |  | $ | 6,267 |
| Total Level 3 Financial Assets |  | Total Level 3 Financial Liabilities
Balance as of December 31, 2021 | $ | 13,453 |  |  | $ | 21,297 |
Change in fair value of payment-dependent notes receivable | 1,522 |  |  | — |
Change in fair value of payment-dependent notes payable | — |  |  | 1,522 |
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) |
Balance as of March 31, 2022 | $ | 14,975 |  |  | $ | 19,975 |

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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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