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FAIR VALUE MEASUREMENT (Tables) | 6 Months Ended
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Jun. 30, 2023
Fair Value Disclosures [Abstract] |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value (in thousands):
| June 30, 2023
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Investments in loans and securities | $ | — |  |  | $ | — |  |  | 590,455 |  |  | $ | 590,455 |
Liabilities: |  |  |  |  |  |  |
Warrant liability | $ | 2,492 |  | $ | 1,343 |  | $ | — |  |  | $ | 3,835
| December 31, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Liabilities: |  |  |  |  |  |  |
Warrant liability | $ | 909 |  | 490 |  | $ | — |  |  | $ | 1,400
Schedule Of Class Of Warrant Or Right Outstanding | The following tables summarize the Warrant liability activity for the three and six months ended June 30, 2023 and 2022 (in thousands):
| Three Months Ended June 30, 2023
Balance as of March 31, 2023 | $ | 1,210
Change in fair value | 2,625 |
Balance as of June 30, 2023 | $ | 3,835
| Six Months Ended June 30, 2023
Balance as of December 31, 2022 | $ | 1,400
Change in fair value | 2,435
Balance as of June 30, 2023 | $ | 3,835
| Three Months Ended June 30, 2022
Balance as of March 31, 2022 | $ | 27,938
Assumed warrants in connection with the Merger(1) | 5,594
Change in fair value | (6,878) |
Reclassification | (20,575)
Balance as of June 30, 2022 | $ | 6,079
| Six Months Ended June 30, 2022
Balance as of December 31, 2021 | $ | 27,469
Assumed warrants in connection with the Merger(1) | 5,594
Change in fair value | (6,409) |
Reclassification | (20,575)
Balance as of June 30, 2022 | $ | 6,079
(1) See Note 3 to the Company’s Annual Report on Form 20-F for additional information.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables summarize the activity related to the fair value of the investments in loans and securities available for sale for the three and six months ended June 30, 2023 (in thousands):
| Three Months Ended June 30, 2023
Balance as of March 31, 2023 | $ | 507,166
Additions | 151,607
Cash received | (65,375)
Change in fair value | 7,037 |
Credit-related impairment loss | (9,980)
Balance as of June 30, 2023 | $ | 590,455
| Six Months Ended June 30, 2023
Balance as of December 31, 2022 | $ | —
Transfer from held-to-maturity to available for sale at fair value | 480,437
Additions | 273,339
Cash received | (91,360) |
Change in fair value | 6,366 |
Credit-related impairment loss | (78,327) |
Balance as of June 30, 2023 | $ | 590,455
Fair Value Measurement Inputs and Valuation Techniques | The following tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the loans and securities as of June 30, 2023:
|  | June 30, 2023
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 6.0 | % |  | 15.0% |  | 14.8%
Loss rate |  | 4.6 | % |  | 23.9% |  | 16.7%
Prepayment rate |  | 7.8 | % |  | 28.4% |  | 12.0%
Fair Value Measurements, Nonrecurring | The below tables contain information about assets that are not measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022 (in thousands):
| June 30, 2023
|  |  | Fair Value
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |  |
Cash, cash equivalents and restricted cash | $ | 331,368 |  |  | $ | 331,368 |  |  | $ | — |  |  | $ | — |  |  | $ | 331,368 |
Fees and other receivables | 105,539 |  |  |  |  | 105,539 |  |  |  |  | 105,539 |
Total | $ | 436,907 |  |  | $ | 331,368 |  |  | $ | 105,539 |  |  | $ | — |  |  | $ | 436,907 |
| December 31, 2022
|  |  | Fair Value
| Carrying Value |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets |  |  |  |  |  |  |  |  |
Cash, cash equivalents and restricted cash | $ | 337,076 |  |  | $ | 337,076 |  |  | $ | — |  |  | $ | — |  |  | $ | 337,076 |
Investments in loans and securities, held-to-maturity | 463,976 |  |  | — |  |  | — |  |  | 480,437 |  |  | 480,437 |
Fees and other receivables | 97,993 |  |  | — |  |  | 97,993 |  |  | — |  |  | 97,993 |
Total | $ | 899,045 |  |  | $ | 337,076 |  |  | $ | 97,993 |  |  | $ | 480,437 |  |  | $ | 915,506 |

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- Definition Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + 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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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