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FAIR VALUE MEASUREMENT (Tables)

9 Months Ended

Sep. 30, 2024

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value (in thousands):


	September 30, 2024

	Level 1		Level 2		Level 3		Total
Assets:
Investments in loans and securities (Notes)	$	—	$	48,530	$	229,685	$	278,215
Investments in loans and securities (Certificates and Other loans and receivables)	—		—		645,167		645,167
Liabilities:
Warrant liability	$	1,874	$	1,010	$	—	$	2,884


	December 31, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Investments in loans and securities (Notes)	$	—	$	90,425	$	—	$	90,425
Investments in loans and securities (Certificates and Other loans and receivables)	—		—		626,368		626,368
Liabilities:
Warrant liability	$	2,106	$	1,136	$	—	$	3,242

Schedule Of Class Of Warrant Or Right Outstanding

The following tables summarize the Warrant liability activity for the three and nine months ended September 30, 2024 and 2023 (in thousands):


	Three Months Ended September 30, 2024
Balance as of June 30, 2024	$	1,671

Change in fair value	1,213

Balance as of September 30, 2024	$	2,884


	Nine Months Ended September 30, 2024
Balance as of December 31, 2023	$	3,242

Change in fair value	(358)

Balance as of September 30, 2024	$	2,884


	Three Months Ended September 30, 2023
Balance as of June 30, 2023	$	3,835


Change in fair value	1,328

Balance as of September 30, 2023	$	5,163


	Nine Months Ended September 30, 2023
Balance as of December 31, 2022	$	1,400


Change in fair value	3,763

Balance as of September 30, 2023	$	5,163

Schedule of Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables summarize the activity related to the fair value of the investments in loans and securities available for sale (Level 3 only) for the three and nine months ended September 30, 2024 and 2023 (in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023
Balance, beginning of period	$	853,418	$	481,818	$	626,368	$	—
Transfer to Level 3(1)	—		—		10,469		339,041
Additions	130,271		162,903		536,966		432,127
Cash received	(13,077)		(25,942)		(55,649)		(78,208)
In-kind distributions	—		(11,460)		—		(11,460)
Change in fair value	(19,711)		3,984		(87,342)		8,131
Credit-related impairment loss, net of recoveries	(76,049)		(37,316)		(155,960)		(115,644)
Balance, end of period	$	874,852	$	573,987	$	874,852	$	573,987

(1) Transfer in 2023 represents a transfer from held-to-maturity to available for sale at fair value, effectuated on January 1, 2023.

The following tables summarize the activity related to the fair value of the investments in loans and securities available for sale for the three and nine months ended September 30, 2024 and 2023 (in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
	2024		2023		2024		2023
Balance, beginning of period	$	911,425	$	590,455	$	716,793	$	—
Transfer from held-to-maturity to available for sale at fair value	—		—		—		480,437
Additions	130,268		162,903		538,727		436,242
Cash received	(23,083)		(42,741)		(89,905)		(134,101)
In-kind distributions (non-cash)	—		(12,730)		—		(12,730)
Change in fair value	(19,179)		5,083		(86,273)		11,450
Credit-related impairment loss, net of recoveries	(76,049)		(37,316)		(155,960)		(115,644)
Balance, end of period	$	923,382	$	665,654	$	923,382	$	665,654

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The following tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the loans and securities as of September 30, 2024 and December 31, 2023:


	September 30, 2024
Unobservable Input	Minimum		Maximum	Weighted Average
Discount rate	5.0	%	15.0%	15.0%
Loss rate	5.8	%	32.7%	16.9%
Prepayment rate	0.0	%	20.0%	10.4%


	December 31, 2023
Unobservable Input	Minimum		Maximum	Weighted Average
Discount rate	8.0	%	15.0%	15.0%
Loss rate	4.9	%	31.0%	15.7%
Prepayment rate	4.0	%	40.0%	9.9%

Schedule of Fair Value Measurements, Nonrecurring

The below tables contain information about assets that are not measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023 (in thousands):


	September 30, 2024
			Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Assets
Cash, cash equivalents and restricted cash	$	181,047	$	181,047	$	—	$	—	$	181,047


Fees and other receivables	129,063		—		129,063		—		129,063
Total assets	$	310,110	$	181,047	$	129,063	$	—	$	310,110


	December 31, 2023
			Fair Value
	Carrying Value		Level 1		Level 2		Level 3		Total
Assets
Cash, cash equivalents and restricted cash	$	222,541	$	222,541	$	—	$	—	$	222,541


Fees and other receivables	113,707		—		113,707		—		113,707
Total assets	$	336,248	$	222,541	$	113,707	$	—	$	336,248

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period 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 asset.

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