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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Schedule of Financial Assets and Liabilities Measured at Fair Value on 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.
(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.
Schedule of Fair Value Measurement Input and Valuation Techniques | 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 |  |
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 |
Schedule of Changes in Fair Value of Liabilities |
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 |
Schedule of Carrying Value and Estimated Fair Values of Financial Assets and Liabilities | 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 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 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c) -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 3 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-3 + 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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