Opendoor Technologies Inc. - POS AM filing on 2021-03-12

FAIR VALUE DISCLOSURES (Tables)

12 Months Ended

Dec. 31, 2020

Summary of fair value measurement methodologies, including significant inputs and assumptions, and classification of our assets and liabilities

The following table summarizes the fair value measurement methodologies, including significant inputs and assumptions, and classification of the Company's assets and liabilities.


Asset/Liability Class	Valuation Methodology, Inputs and Assumptions	Classification
Cash and cash equivalents	Carrying value is a reasonable estimate of fair value based on short-term nature of the instruments.	Estimated fair value classified as Level 1
Restricted cash	Carrying value is a reasonable estimate of fair value based on short-term nature of the instruments.	Estimated fair value classified as Level 1
Marketable securities	Prices obtained from third-party vendors that compile prices from various sources and often apply matrix pricing for similar securities when no price is observable.	Level 2 recurring fair value measurement
Other current assets
Interest rate caps	Prices obtained from derivative broker that compiles prices for identical or similar instruments, when available.	Level 2 recurring fair value measurement
Mortgage loans held for sale pledged under agreements to repurchase	Fair value is estimated based on observable market data including quoted market prices, deal price quotes, and sale commitments.	Level 2 recurring fair value measurement
Credit facilities and other secured borrowings
Credit facilities	Fair value is estimated using discounted cash flows based on current lending rates for similar credit facilities with similar terms and remaining time to maturity.	Carried at amortized cost.
Estimated fair value classified as Level 2.
Loans sold under agreements to repurchase	Fair value is estimated using discounted cash flows based on current lending rates for similar asset-backed financing facilities with similar terms and remaining time to maturity.	Carried at amortized cost.
Estimated fair value classified as Level 2.
Convertible notes	Fair value is estimated using discounted cash flows based on current lending rates for term notes with similar remaining time to maturity.	Carried at amortized cost. Estimated fair value classified as Level 2
Derivative and warrant liabilities
Warrant liabilities	Fair value is estimated using the Black-Scholes-Merton option pricing model with inputs and assumptions including the Company’s equity valuation, expected volatility, expected duration of the warrants, and associated risk-free rate.	Level 3 recurring fair value measurement
Embedded conversion options	Fair value is estimated using a lattice model incorporating the probabilities of various conversion scenarios with respect to timing and conversion features under the terms of the convertible notes.	Level 3 recurring fair value measurement

Summary of levels of the fair value hierarchy for our assets and liabilities measured at fair value on a recurring basis

The following tables present the levels of the fair value hierarchy for the Company's assets measured at fair value on a recurring basis (in thousands).


	Fair Value as of
	December 31, 2020		Level 1		Level 2		Level 3
Marketable securities:
Corporate debt securities	$	26,409	$	—	$	26,409	$	—
Asset-backed securities		12,533		—		12,533		—
U.S. agency securities		6,995		—		6,995		—
U.S. Treasury securities		1,700		—		1,700		—
Mortgage loans held for sale pledged under agreements to repurchase		7,529		—		7,529		—
Other current assets:
Interest rate lock commitments		373		—		373		—
Total assets	$	55,539	$	—	$	55,539	$	—


	Fair Value as of
	December 31, 2019		Level 1		Level 2		Level 3
Marketable securities:
Corporate debt securities	$	16,428	$	—	$	16,428	$	—
Asset-backed securities		12,492		—		12,492		—
Commercial paper		12,956		—		12,956		—
Non-U.S. securities		700		—		700		—
U.S. Treasury securities		1,000		—		1,000		—
Mortgage loans held for sale pledged under agreements to repurchase		2,116		—		2,116		—
Other current assets:
Interest rate caps		4		—		4		—
Interest rate lock commitments		95		—		95		—
Total assets	$	45,791	$	—	$	45,791	$	—
Derivative and warrant liabilities:
Warrants	$	4,538	$	—	$	—	$	4,538
Embedded conversion options		41,697		—		—		41,697
Total liabilities	$	46,235	$	—	$	—	$	46,235

Summary of carrying value, estimated fair value and the levels of the fair value hierarchy for our financial instruments other than assets and liabilities measured at fair value on a recurring basis

The following presents the carrying value, estimated fair value and the levels of the fair value hierarchy for the Company's financial instruments other than assets and liabilities measured at fair value on a recurring basis (in thousands).


	As of December 31, 2020
	Carrying
	Value		Fair Value		Level 1		Level 2
Assets:
Cash and cash equivalents	$	1,412,665	$	1,412,665	$	1,412,665	$	—
Restricted cash		92,863		92,863		92,863		—
Liabilities:
Credit facilities and other secured borrowings	$	481,789	$	486,322	$	—	$	486,322


	As of December 31, 2019
	Carrying
	Value		Fair Value		Level 1		Level 2
Assets:
Cash and cash equivalents	$	405,080	$	405,080	$	405,080	$	—
Restricted cash		279,742		279,742		279,742		—
Liabilities:
Credit facilities and other secured borrowings	$	1,296,054	$	1,296,054	$	—	$	1,296,054
Convertible notes		140,096		180,252		—		180,252

Summary of reconciliation from the opening balances to the closing balances for Level 3 Fair values

The following table shows a reconciliation from the opening balances to the closing balances for Level 3 Fair values (in thousands):


			Embedded
			Conversion
	Warrants		Option
Balance as of December 31, 2018	$	18,022	$	—
Net change in fair value		(7,413)		—
Issuances		1,170		41,697
Exercise of warrants		(7,241)		—
Balance as of December 31, 2019		4,538		41,697
Net change in fair value		2,623		23,317
Issuances		—		—
Settlement of convertible notes		—		(65,014)
Exercise of warrants		(7,161)		—
Balance as of December 31, 2020	$	—	$	—