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Investments (Tables) | 6 Months Ended
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Jun. 30, 2021
Investments, Debt and Equity Securities [Abstract] |
Available-for-sale securities | The following table presents information regarding the Company's investments in debt securities and investments in beneficial interests ($ in thousands):
|  | As of June 30, 2021
|  | Basis(1) |  | Gross unrealized gains |  | Gross unrealized losses |  | Carrying value (fair value)
Debt securities |  | $ | 422,981 |  |  | $ | 1,877 |  |  | $ | (226) |  |  | $ | 424,632 |
Beneficial interests in securitization trusts |  | 133,484 |  |  | — |  |  | — |  |  | 133,484 |
Total investments |  | $ | 556,465 |  |  | $ | 1,877 |  |  | $ | (226) |  |  | $ | 558,116 |
(1)Basis amount is net of amortized discount, allowance for credit losses, principal paydowns and interest receivable on securities of $0.3 million.
|  | As of December 31, 2020
|  | Basis(1) |  | Gross unrealized gains |  | Gross unrealized losses |  | Carrying value (fair value)
Debt securities |  | $ | 273,459 |  |  | $ | 1,152 |  |  | $ | (777) |  |  | $ | 273,834 |
Beneficial interests in securitization trusts |  | 91,418 |  |  | — |  |  | — |  |  | 91,418 |
Total investments |  | $ | 364,877 |  |  | $ | 1,152 |  |  | $ | (777) |  |  | $ | 365,252 |
(1)Basis amount is net of amortized costs, principal paydowns and interest receivable on securities of $0.2 million.
Debt securities, available-for-sale, unrealized loss position, fair value | The following table presents a breakdown of the Company's gross unrealized losses ($ in thousands):
|  | As of June 30, 2021
|  | Step-up date(1) |  | Basis(2) |  | Gross unrealized losses |  | Carrying value (fair value)
Debt securities due September 2059(3) |  | February 2023/April 2023 |  | $ | 20,243 |  |  | $ | (213) |  |  | $ | 20,030 |
Debt securities due March 2060(4) |  | February 2025 |  | 43,231 |  |  | (4) |  |  | 43,227 |
Debt securities due January 2061(4) |  | September 2024 |  | 15,206 |  |  | (1) |  |  | 15,205 |
Debt securities due June 2061(5) |  | January 2025/February 2025 |  | 134,702 |  |  | (8) |  |  | 134,694 |
Total |  |  |  | $ | 213,382 |  |  | $ | (226) |  |  | $ | 213,156 |
(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date. (2)Basis amount is net of any realized amortized costs and principal paydowns. (3)This line is comprised of two securities that are both due in September 2059 and both have been in an unrealized loss position for 12 months or longer. (4)This security has been in an unrealized loss position for less than 12 months. (5)This line is comprised of two securities that are both due in June 2061 and both have been in an unrealized loss position for less than 12 months.
|  | As of December 31, 2020
|  | Step-up date(1) |  | Basis(2) |  | Gross unrealized losses |  | Carrying value (fair value)
Debt securities due September 2059(3) |  | February 2023/April 2023 |  | $ | 22,216 |  |  | $ | (238) |  |  | $ | 21,978 |
Debt securities due November 2059(4) |  | April 2023 |  | 14,738 |  |  | (61) |  |  | 14,677 |
Debt securities due December 2059(4) |  | July 2023 |  | 47,270 |  |  | (315) |  |  | 46,955 |
Debt securities due September 2060(4) |  | March 2024 |  | 34,970 |  |  | (44) |  |  | 34,926 |
Debt securities due June 2060(4) |  | March 2024 |  | 35,127 |  |  | (119) |  |  | 35,008 |
Total |  |  |  | $ | 154,321 |  |  | $ | (777) |  |  | $ | 153,544 |
(1)Step-up date is the date at which the coupon interest rate on the security increases. The Company expects the security to be called before the step-up date. (2)Basis amount is net of any realized amortized costs and principal paydowns. (3)This line is comprised of two securities that are both due September 2059. One security with a balance of $0.2 million has been in an unrealized loss position for less than 12 months and has a step-up date in April 2023, and the other security of $0.1 million has been in a loss position for 12 months or longer and has a step-up date in February 2023. (4)This security has been in an unrealized loss position for less than 12 months.
Schedule of securities acquisition reconciliation between purchase price and par value | The following table presents a reconciliation between the purchase price and par value for the Company's beneficial interests acquisitions for the three and six months ended June 30, 2021 and 2020 ($ in thousands):
|  | Three months ended June 30, |  | Six months ended June 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Par |  | $ | 46,485 |  |  | $ | — |  |  | $ | 46,485 |  |  | $ | 11,970 |
Discount |  | (5,425) |  |  | — |  |  | (5,425) |  |  | (2,335) |
Allowance |  | (1,593) |  |  | — |  |  | (1,593) |  |  | (2,553) |
Purchase Price |  | $ | 39,467 |  |  | $ | — |  |  | $ | 39,467 |  |  | $ | 7,082 |
Allowance for credit loss on beneficial interests | An analysis of the balance in the allowance for beneficial interest losses account follows ($ in thousands):
|  | Three months ended June 30, |  | Six months ended June 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Allowance for beneficial interests credit losses, beginning balance |  | $ | (5,530) |  |  | $ | (7,208) |  |  | $ | (4,453) |  |  | $ | — |
Beginning period adjustment for CECL adoption |  | — |  |  | — |  |  | — |  |  | (1,668) |
Incremental change in allowance for beneficial interests |  | 2,388 |  |  | — |  |  | 1,435 |  |  | — |
Increase in allowance for beneficial interest credit losses for acquisitions |  | (1,593) |  |  | — |  |  | (1,593) |  |  | (2,553) |
Credit loss expense on beneficial interests |  | (216) |  |  | (260) |  |  | (355) |  |  | (429) |
Reclassification from non-credit discount to the allowance for losses for increases in the net present value of expected cash flows |  | — |  |  | (2,553) |  |  | — |  |  | (2,553) |
Net reversal of provision for credit losses due to increases in actual and/or forecasted cash flows |  | 1,992 |  |  | 3,062 |  |  | 2,007 |  |  | 244 |
Allowance for beneficial interests credit losses, end balance |  | $ | (2,959) |  |  | $ | (6,959) |  |  | $ | (2,959) |  |  | $ | (6,959) |

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