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Fair Value Measurements (Tables)

9 Months Ended

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 input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of information about fair value of asset and liability not measured at fair value.

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-Topic 820
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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

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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
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