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Financial Instruments and Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present the Company’s financial assets and liabilities measured at fair value on a recurring basis (in thousands):

 

 

As of September 30, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

34,456

 

 

$

 

 

$

 

 

$

34,456

 

CFE assets:

 

 

 

 

 

 

 

 

 

 

 

 

     Finance receivables

 

 

 

 

 

 

 

 

244,981

 

 

 

244,981

 

Finance receivables at fair value

 

 

 

 

 

 

 

 

242,592

 

 

 

242,592

 

Other assets (beneficial interests in securitizations)

 

 

 

 

 

2,613

 

 

 

 

 

 

2,613

 

Total financial assets

 

$

34,456

 

 

$

2,613

 

 

$

487,573

 

 

$

524,642

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

CFE liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

     Securitization debt of consolidated VIEs

 

 

 

 

 

150,791

 

 

 

16,925

 

 

 

167,716

 

Total financial liabilities

 

$

 

 

$

150,791

 

 

$

16,925

 

 

$

167,716

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2023

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

27,121

 

 

$

 

 

$

 

 

$

27,121

 

CFE assets:

 

 

 

 

 

 

 

 

 

 

 

 

     Finance receivables

 

 

 

 

 

 

 

 

316,998

 

 

 

316,998

 

Finance receivables at fair value

 

 

 

 

 

 

 

 

31,672

 

 

 

31,672

 

Other assets (beneficial interests in securitizations)

 

 

 

 

 

4,485

 

 

 

 

 

 

4,485

 

Total financial assets

 

$

27,121

 

 

$

4,485

 

 

$

348,670

 

 

$

380,276

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

CFE liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

     Securitization debt of consolidated VIEs

 

 

 

 

 

314,095

 

 

 

 

 

 

314,095

 

Total financial liabilities

 

$

 

 

$

314,095

 

 

$

 

 

$

314,095

 

Schedule of Reconciliation of Financial Assets Measured at Fair Value on a Recurring Basis Using Level 3 Inputs

The following table presents a reconciliation of the financial assets, which were measured at fair value on a recurring basis using Level 3 inputs (in thousands):

 

 

 

Finance Receivables of Consolidated CFEs

 

 

Finance Receivables at Fair Value

 

 

Securitization Debt of Consolidated CFEs

 

Fair value as of January 1, 2024

 

$

316,998

 

 

$

31,672

 

 

$

 

Transfer within Level 3 categories

 

 

53,899

 

 

 

(53,899

)

 

 

 

Transfers into Level 3

 

 

 

 

 

 

 

 

20,864

 

Losses included in realized and unrealized losses

 

 

(52,017

)

 

 

(14,956

)

 

 

(3,939

)

Issuances, net of discount

 

 

 

 

 

322,853

 

 

 

 

Paydowns

 

 

(84,821

)

 

 

(44,786

)

 

 

 

Other

 

 

10,922

 

 

 

1,708

 

 

 

 

Fair value as of September 30, 2024

 

$

244,981

 

 

$

242,592

 

 

$

16,925

 

 

 

 

Finance Receivables of Consolidated CFEs

 

 

Finance Receivables at Fair Value

 

Fair value as of January 1, 2023

 

$

77,904

 

 

$

75,270

 

Reclassification of finance receivables held for sale to finance receivables at fair value, net

 

 

248,081

 

 

 

 

Transfer within Level 3 categories

 

 

24,175

 

 

 

(24,175

)

Consolidation of VIEs

 

 

180,706

 

 

 

 

Losses included in realized and unrealized losses

 

 

(67,035

)

 

 

(1,349

)

Issuances, net of discount

 

 

 

 

 

3,392

 

Paydowns

 

 

(117,002

)

 

 

(19,641

)

Other

 

 

18,965

 

 

 

1,406

 

Fair value as of September 30, 2023

 

$

365,794

 

 

$

34,903

 

Summary of Gains or Losses Recorded Related to Eligible Financial Instruments

The following table presents the gains or losses recorded in "Realized and unrealized losses, net of recoveries" in the condensed consolidated statements of operations related to the eligible financial instruments for which the fair value option was elected (in thousands):

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

2024

 

 

2023

 

 

2024

 

 

2023

 

Financial Assets

 

 

 

 

 

 

 

 

 

 

 

 

     Finance receivables of CFEs

 

$

16,689

 

 

$

23,103

 

 

$

43,233

 

 

$

54,987

 

     Finance receivables at fair value

 

 

3,758

 

 

 

2,027

 

 

 

9,758

 

 

 

605

 

     Beneficial interests in securitizations

 

 

(65

)

 

 

238

 

 

 

(157

)

 

 

1,160

 

Financial Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Debt of securitized VIEs

 

 

(2,567

)

 

 

335

 

 

 

(7,053

)

 

 

(6,916

)

Total net loss included in "Realized and unrealized losses, net of recoveries"

 

$

17,815

 

 

$

25,703

 

 

$

45,781

 

 

$

49,836

 

 

Summary of Other Relevant Data Related to Finance Receivables Carried at Fair Value

The following table presents other relevant data related to the finance receivables carried at fair value (in thousands):

 

As of September 30, 2024

 

Finance Receivables of CFEs at Fair Value

 

 

Finance Receivables at Fair Value

 

 

Aggregate unpaid principal balance included within finance receivables that are reported at fair value

 

$

287,993

 

 

$

273,600

 

 

Aggregate fair value of finance receivables that are reported at fair value

 

$

244,981

 

 

$

242,592

 

 

Unpaid principal balance of receivables within finance receivables that are reported at fair value and are on nonaccrual status (90 days or more past due)

 

$

6,430

 

 

$

2,529

 

 

Aggregate fair value of receivables carried at fair value that are on nonaccrual status (90 days or more past due)

 

$

5,436

 

 

$

1,774

 

 

 

As of December 31, 2023

 

Finance Receivables of CFEs at Fair Value

 

 

Finance Receivables at Fair Value

 

 

Aggregate unpaid principal balance included within finance receivables that are reported at fair value

 

$

361,609

 

 

$

36,207

 

 

Aggregate fair value of finance receivables that are reported at fair value

 

$

316,998

 

 

$

31,672

 

 

Unpaid principal balance of receivables within finance receivables that are reported at fair value and are on nonaccrual status (90 days or more past due)

 

$

6,700

 

 

$

717

 

 

Aggregate fair value of receivables carried at fair value that are on nonaccrual status (90 days or more past due)

 

$

5,921

 

 

$

544

 

 

Summary of Other Relevant Data Related to Debt of Securitized VIEs Carried at Fair Value

The following table presents other relevant data related to securitization debt of consolidated VIEs carried at fair value (in thousands):

 

As of September 30, 2024

 

Securitization debt of consolidated VIEs at Fair Value

 

Aggregate unpaid principal balance of rated notes of securitized VIEs

 

$

177,942

 

Aggregate fair value of rated notes of securitized VIEs

 

$

167,716

 

 

As of December 31, 2023

 

Securitization debt of consolidated VIEs at Fair Value

 

Aggregate unpaid principal balance of rated notes of securitized VIEs

 

$

318,085

 

Aggregate fair value of rated notes of securitized VIEs

 

$

314,095

 

Summary of Fair Value of Financial Instruments Not Carried at Fair Value The fair value of the Notes, which are not carried at fair value on the accompanying condensed consolidated balance sheets, was determined utilizing actual bids and offer prices of the Notes in markets that are not active and are classified within Level 2 of the fair value hierarchy.

 

 

 

September 30,

 

 

December 31,

 

 

 

2024

 

 

2023

 

Carrying value

 

$

287,926

 

 

$

286,800

 

Fair value

 

$

145,244

 

 

$

152,506

 

The fair value of the 2024-1 securitization debt, which is not carried at fair value on the accompanying condensed consolidated balance sheets, was determined utilizing non-binding quoted prices provided by broker dealers, as discussed above, and classified as Level 2 of the fair value hierarchy.

 

 

 

September 30,

 

 

 

2024

 

Carrying value

 

$

242,295

 

Fair value

 

$

248,526