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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements Fair value on a nonrecurring basis: The Company has no assets or liabilities measured at fair value on a nonrecurring basis; that is, the instruments are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances. Fair value measurement on a recurring basis: The Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 are as follows (in thousands):
|  |  |  | Fair Value Measurements
|  | September 30, 2023 |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |
Finance receivables at fair value, excluding accrued interest and fees receivable (1) |  | $ | 450,059 |  |  | $ | — |  |  | $ | — |  |  | $ | 450,059 |
Financial liabilities: |  |  |  |  |  |  |  |
Warrant liability - Public Warrants (2) |  | 594 |  |  | 594 |  |  | — |  |  | — |
Warrant liability - Private Placement Warrants (3) |  | 456 |  |  | — |  |  | — |  |  | 456 |
|  |  |  | Fair Value Measurements
|  | December 31, 2022 |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |
Finance receivables at fair value, excluding accrued interest and fees receivable (1) |  | $ | 441,496 |  |  | $ | — |  |  | $ | — |  |  | $ | 441,496 |
Financial liabilities: |  |  |  |  |  |  |  |
Warrant liability - Public Warrants (2) |  | 1,189 |  |  | 1,189 |  |  | — |  |  | — |
Warrant liability - Private Placement Warrants (3) |  | 699 |  |  | — |  |  | — |  |  | 699 |
During the three and nine months ended September 30, 2023 and 2022, there were no transfers of assets or liabilities in or out of Level 3 fair value measurements.
(1) The Company primarily estimates the fair value of its installment finance receivables portfolio using discounted cash flow models that have been internally developed. The models use inputs that are unobservable but reflect the Company’s best estimates of the assumptions a market participant would use to calculate fair value.
The following table presents quantitative information about the significant unobservable inputs used for the Company’s installment finance receivables fair value measurements as of September 30, 2023 and December 31, 2022:
|  | September 30, 2023 |  | December 31, 2022
Interest rate on finance receivables |  | 155.39 | % |  | 152.39 | %
Discount rate |  | 26.29 | % |  | 25.89 | %
Servicing cost* |  | 3.21 | % |  | 5.01 | %
Remaining life |  | 0.62 years |  | 0.59 years
Default rate* |  | 24.40 | % |  | 20.27 | %
Accrued interest* |  | 3.94 | % |  | 3.93 | %
Prepayment rate* |  | 21.09 | % |  | 21.33 | %
*Stated as a percentage of finance receivables |  |
(2) The fair value measurement for the Public Warrants is categorized as Level 1 due to the use of an observable market quote in an active market under the ticker OPFI WS. (3) The fair value of the Private Placement Warrants is measured using a Black-Scholes-Merton model; accordingly, the fair value measurement for the Private Placement Warrants is categorized as Level 3.
The following table presents the significant assumptions used in the simulation at September 30, 2023 and December 31, 2022:
|  | September 30, 2023 |  | December 31, 2022
Input |  | $11.50 Exercise Price Warrants |  | $15 Exercise Price Warrants |  | $11.50 Exercise Price Warrants |  | $15 Exercise Price Warrants
Risk-free interest rate |  | 4.79 | % |  | 4.55 | % |  | 4.11 | % |  | 3.88 | %
Expected term (years) |  | 2.8 years |  | 7.8 years |  | 3.5 years |  | 8.5 years
Expected volatility |  | 45.00 | % |  | 45.00 | % |  | 53.90 | % |  | 53.90 | %
Exercise price |  | $ | 11.50 |  |  | $ | 15.00 |  |  | $ | 11.50 |  |  | $ | 15.00 |
Fair value of warrants |  | $ | 0.05 |  |  | $ | 0.36 |  |  | $ | 0.11 |  |  | $ | 0.46 |
The following table presents the changes in the fair value of the warrant liability - Private Placement Warrants (in thousands):
|  | $11.50 Exercise Price Warrants |  | $15 Exercise Price Warrants |  | Total
Fair value as of December 31, 2022 |  | $ | 279 |  |  | $ | 420 |  |  | $ | 699 |
Change in fair value |  | (25) |  |  | (9) |  |  | (34) |
Fair value as of March 31, 2023 |  | 254 |  |  | 411 |  |  | 665 |
Change in fair value |  | (76) |  |  | (37) |  |  | (113) |
Fair value as of June 30, 2023 |  | 178 |  |  | 374 |  |  | 552 |
Change in fair value |  | (51) |  |  | (45) |  |  | (96) |
Fair value as of September 30, 2023 |  | $ | 127 |  |  | $ | 329 |  |  | $ | 456 |
Financial assets and liabilities not measured at fair value: The following table presents the carrying value and estimated fair values of financial assets and liabilities disclosed but not carried at fair value and the level within the fair value hierarchy as of September 30, 2023 and December 31, 2022 (in thousands):
|  |  |  | Fair Value Measurements
|  | September 30, 2023 |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |  |
Cash |  | $ | 31,125 |  |  | $ | 31,125 |  |  | $ | — |  |  | $ | — |
Restricted cash |  | 34,902 |  |  | 34,902 |  |  | — |  |  | — |
Accrued interest and fees receivable |  | 16,406 |  |  | 16,406 |  |  | — |  |  | — |
Finance receivables at amortized cost, net |  | 209 |  |  | — |  |  | — |  |  | 209 |
Settlement receivable |  | 2,902 |  |  | 2,902 |  |  | — |  |  | — |
Liabilities: |  |  |  |  |  |  |  |
Senior debt, net |  | 342,172 |  |  | — |  |  | — |  |  | 342,172 |
Notes payable |  | 2,173 |  |  | — |  |  | — |  |  | 2,173 |
|  |  |  | Fair Value Measurements
|  | December 31, 2022 |  | Level 1 |  | Level 2 |  | Level 3
Assets: |  |  |  |  |  |  |  |
Cash |  | $ | 16,239 |  |  | $ | 16,239 |  |  | $ | — |  |  | $ | — |
Restricted cash |  | 33,431 |  |  | 33,431 |  |  | — |  |  | — |
Accrued interest and fees receivable |  | 15,800 |  |  | 15,800 |  |  | — |  |  | — |
Finance receivables at amortized cost, net |  | 643 |  |  | — |  |  | — |  |  | 643 |
Settlement receivable |  | 2,000 |  | 2,000 |  | — |  | —
Assets held for sale |  | 550 |  |  | — |  |  | — |  |  | 550 |
Liabilities: |  |  |  |  |  |  |  |
Secured borrowing payable |  | 756 |  |  | — |  |  | — |  |  | 756 |
Senior debt, net |  | 344,688 |  |  | — |  |  | — |  |  | 344,688 |
Notes payable |  | 1,616 |  |  | — |  |  | — |  |  | 1,616 |

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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 -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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