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FAIR VALUE DISCLOSURES | 12 Months Ended
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Dec. 31, 2022
Fair Value Disclosures [Abstract] |
FAIR VALUE DISCLOSURES | FAIR VALUE DISCLOSURES The Company uses fair value measurements to record fair value adjustments to certain assets and liabilities and to determine fair value disclosures. Following is a discussion of the fair value hierarchy and the valuation methodologies used for assets and liabilities recorded at fair value on a recurring and nonrecurring basis and for estimating fair value for financial instruments not recorded at fair value. Fair Value Hierarchy Fair value measurements of assets and liabilities are categorized based on the following hierarchy: Level 1 — Fair value determined based on quoted prices in active markets for identical assets or liabilities. Level 2 — Fair value determined using significant observable inputs, such as quoted prices for similar assets or liabilities or quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, or inputs that are derived principally from or corroborated by observable market data, by correlation or other means. Level 3 — Fair value determined using significant unobservable inputs, such as pricing models, discounted cash flows, or similar techniques. Estimation of Fair Value The following table summarizes the fair value measurement methodologies, including significant inputs and assumptions, and classification of the Company’s assets and liabilities.
Asset/Liability Class |  | Valuation Methodology, Inputs and Assumptions |  | Classification
Cash and cash equivalents |  | Carrying value is a reasonable estimate of fair value based on the short-term nature of the instruments. |  | Level 1 estimated fair value measurement.
Restricted cash |  | Carrying value is a reasonable estimate of fair value based on the short-term nature of the instruments. |  | Level 1 estimated fair value measurement.
Marketable securities |  |  |  |
Debt securities |  | Prices obtained from third-party vendors that compile prices from various sources and often apply matrix pricing for similar securities when no price is observable. |  | Level 2 recurring fair value measurement.
Mutual fund |  | Price is quoted given the security is traded on an exchange. |  | Level 1 recurring fair value measurement.
Equity securities |  | Price is quoted given the securities are traded on an exchange. |  | Level 1 recurring fair value measurement.
Mortgage loans held for sale pledged under agreements to repurchase |  | Fair value is estimated based on observable market data including quoted market prices, deal price quotes, and sale commitments. |  | Level 2 recurring fair value measurement.
Other current assets |  |  |  |
Mortgage loans held for sale |  | Fair value is estimated based on observable market data including quoted market prices and deal price quotes. |  | Level 2 recurring fair value measurement.
Interest rate lock commitments |  | Fair value of the underlying loan based on observable quoted market prices in the secondary market and sale commitments, with adjustments for the estimated pull-through rate. |  | Level 2 recurring fair value measurement for fair value based on observable inputs. Level 3 recurring fair value measurement for fair value with unobservable inputs.
Non-recourse asset-backed debt |  |  |  |
Credit facilities |  | Fair value is estimated using discounted cash flows based on current lending rates for similar credit facilities with similar terms and remaining time to maturity. |  | Carried at amortized cost. Level 2 estimated fair value measurement.
Other secured borrowings |  |  |  |
Loans sold under agreements to repurchase |  | Fair value is estimated using discounted cash flows based on current lending rates for similar asset-backed financing facilities with similar terms and remaining time to maturity. |  | Carried at amortized cost. Level 2 estimated fair value measurement.
Convertible senior notes |  | Fair value is estimated using broker quotes and other observable market inputs. |  | Carried at amortized cost. Level 2 estimated fair value measurement.
Derivative and warrant liabilities |  |  |  |
Sponsor Warrants |  | Fair value is estimated using the price of the Public Warrants or their settlement value. |  | Level 2 recurring fair value measurement.
Warrants |  | Fair value is estimated using the Black-Scholes-Merton option pricing model with inputs and assumptions including the Company’s equity valuation, expected volatility, expected duration of the warrants, and associated risk-free rate. |  | Level 3 recurring fair value measurement.
Embedded conversion options |  | Fair value is estimated using a lattice model incorporating the probabilities of various conversion scenarios with respect to timing and conversion features under the terms of the 2019 Convertible Notes. |  | Level 3 recurring fair value measurement.
Assets and Liabilities Recorded at Fair Value on a Recurring Basis The following tables present the levels of the fair value hierarchy for the Company’s assets measured at fair value on a recurring basis (in millions).
December 31, 2022 | Balance at Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Marketable securities: |  |  |  |  |  |  |
Corporate debt securities | $ | 122 |  |  | $ | — |  |  | $ | 122 |  |  | $ | — |
Equity securities | 11 |  |  | 11 |  |  | — |  |  | — |
Certificates of deposit | 9 |  |  | — |  |  | 9 |  |  | — |
Asset-backed securities | 2 |  |  | — |  |  | 2 |  |  | — |
Other current assets: |  |  |  |  |  |  |
Mortgage loans held for sale | 1 |  |  | — |  |  | 1 |  |  | — |
Total assets | $ | 145 |  |  | $ | 11 |  |  | $ | 134 |  |  | $ | — |
December 31, 2021 | Balance at Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Marketable securities: |  |  |  |  |  |  |
Corporate debt securities | $ | 207 |  |  | $ | — |  |  | $ | 207 |  |  | $ | — |
Mutual fund | 200 |  |  | 200 |  |  | — |  |  | — |
Equity securities | 46 |  |  | 46 |  |  | — |  |  | — |
Commercial paper | 15 |  |  | — |  |  | 15 |  |  | — |
Asset-backed securities | 7 |  |  | — |  |  | 7 |  |  | — |
Certificates of deposit | 5 |  |  | — |  |  | 5 |  |  | — |
Sovereign bonds | 4 |  |  | — |  |  | 4 |  |  | — |
Mortgage loans held for sale pledged under agreements to repurchase | 7 |  |  | — |  |  | 7 |  |  | — |
Other current assets: |  |  |  |  |  |  |
Mortgage loans held for sale | 4 |  |  | — |  |  | 4 |  |  | — |
Total assets | $ | 495 |  |  | $ | 246 |  |  | $ | 249 |  |  | $ | — |
Fair Value of Financial Instruments The following presents the carrying value, estimated fair value and the levels of the fair value hierarchy for the Company’s financial instruments other than assets and liabilities measured at fair value on a recurring basis (in millions).
| December 31, 2022
| Carrying Value |  | Fair Value |  | Level 1 |  | Level 2
Assets: |  |  |  |  |  |  |
Cash and cash equivalents | $ | 1,137 |  |  | $ | 1,137 |  |  | $ | 1,137 |  |  | $ | — |
Restricted cash | 654 |  |  | 654 |  |  | 654 |  |  | — |
Liabilities: |  |  |  |  |  |  |
Non-recourse asset-backed debt | $ | 4,396 |  |  | $ | 4,427 |  |  | $ | — |  |  | $ | 4,427 |
Convertible senior notes | 959 |  |  | 391 |  |  | — |  |  | 391 |
| December 31, 2021
| Carrying Value |  | Fair Value |  | Level 1 |  | Level 2
Assets: |  |  |  |  |  |  |
Cash and cash equivalents | $ | 1,731 |  |  | $ | 1,731 |  |  | $ | 1,731 |  |  | $ | — |
Restricted cash | 847 |  |  | 847 |  |  | 847 |  |  | — |
Liabilities: |  |  |  |  |  |  |
Non-recourse asset-backed debt | $ | 6,102 |  |  | $ | 6,140 |  |  | $ | — |  |  | $ | 6,140 |
Other secured borrowings | 7 |  |  | 7 |  |  | — |  |  | 7 |
Convertible senior notes | 954 |  |  | 1,019 |  |  | — |  |  | 1,019 |
The following table shows a reconciliation from the opening balances to the closing balances for Level 3 Fair values (in millions):
| Warrants |  | Embedded Conversion Option |  | Interest Rate Lock Commitments
Balance as of December 31, 2019 | $ | 5 |  |  | $ | 42 |  |  | $ | — |
Settlement of 2019 Convertible Notes | — |  |  | (65) |  |  | — |
Exercise of warrants | (7) |  |  | — |  |  | — |
Net change in fair value | 2 |  |  | 23 |  |  | — |
Balance as of December 31, 2020 | $ | — |  |  | $ | — |  |  | $ | — |
Additions | — |  |  | — |  |  | 5 |
Originations/Terminations | — |  |  | — |  |  | (5) |
Balance as of December 31, 2021 | $ | — |  |  | $ | — |  |  | $ | — |
Additions | — |  |  | — |  |  | 2 |
Originations/Terminations | — |  |  | — |  |  | (3) |
Net change in fair value | — |  |  | — |  |  | 1 |
Balance as of December 31, 2022 | $ | — |  |  | $ | — |  |  | $ | — |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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