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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
The following table summarizes, by level within the fair value hierarchy, the estimated fair values of our assets and liabilities measured at fair value on a recurring basis in the condensed consolidated balance sheets:
September 30, 2023December 31, 2022
Fair ValueFair Value
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets
Investments in AFS debt securities(1)(2)
$437,291 $48,800 $— $486,091 $137,032 $58,406 $— $195,438 
Asset-backed bonds(2)(3)
— 58,191 — 58,191 — 155,093 — 155,093 
Residual investments(2)(3)
— — 35,456 35,456 — — 46,238 46,238 
Loans at fair value— — 20,993,836 20,993,836 — — 13,557,074 13,557,074 
Servicing rights— — 142,654 142,654 — — 149,854 149,854 
Third party warrants(4)(5)
— — 630 630 — — 630 630 
Derivative assets(4)(6)(7)
— 3,529 — 3,529 — 24,612 — 24,612 
Purchase price earn-out(4)(8)
— — — — — — 54 54 
IRLCs(4)(9)
— — 1,545 1,545 — — 216 216 
Student loan commitments(4)(9)
— — 1,751 1,751 — — — — 
Interest rate caps(4)(7)
— 5,781 — 5,781 — 9,178 — 9,178 
Digital assets safeguarding asset(4)(10)
— 139,359 — 139,359 — 106,826 — 106,826 
Total assets
$437,291 $255,660 $21,175,872 $21,868,823 $137,032 $354,115 $13,754,066 $14,245,213 
Liabilities
Debt(11)
$— $131,863 $— $131,863 $— $89,142 $— $89,142 
Residual interests classified as debt— — 10,194 10,194 — — 17,048 17,048 
Derivative liabilities(4)(6)(7)
— 13,790 — 13,790 — 9,331 — 9,331 
Student loan commitments(4)(9)
— — — — — — 236 236 
Digital assets safeguarding liability(4)(10)
— 139,359 — 139,359 — 106,826 — 106,826 
Total liabilities
$— $285,012 $10,194 $295,206 $— $205,299 $17,284 $222,583 
_____________________
(1)The investments in AFS debt securities that were classified as Level 2 rely upon observable inputs other than quoted prices, dealer quotes in markets that are not active and implied pricing derived from new issuances of similar securities. See Note 6. Investment Securities for additional information.
(2)These assets are presented within investment securities in the condensed consolidated balance sheets.
(3)These assets represent the carrying value of our holdings in VIEs wherein we were not deemed the primary beneficiary. See Note 7. Securitization and Variable Interest Entities for additional information. We classify asset-backed bonds as Level 2 due to the use of quoted prices for similar assets in markets that are not active, as well as certain factors specific to us. The key inputs used to value the asset-backed bonds include the discount rate and conditional prepayment rate. The fair value of our asset-backed bonds was not materially impacted by default assumptions on the underlying securitization loans, as the subordinate residual interests are expected to absorb all estimated losses based on our default assumptions for the period. We classify the residual investments as Level 3 due to the reliance on significant unobservable valuation inputs.
(4)These assets and liabilities are presented within other assets and accounts payable, accruals and other liabilities, respectively, in the condensed consolidated balance sheets.
(5)The key unobservable assumption used in the fair value measurement of the third party warrants was the price of the stock underlying the warrants. The fair value was measured as the difference between the stock price and the strike price of the warrants. As the strike price was insignificant, we concluded that the impact of time value on the fair value measure was immaterial.
(6)For certain derivative instruments for which an enforceable master netting agreement exists, we elected to net derivative assets and derivative liabilities by counterparty. These instruments are presented on a gross basis herein. See Note 11. Derivative Financial Instruments for additional information.
(7)Home loan pipeline hedges represent to-be-announced (“TBA”) securities used as economic hedges of loan fair values and are classified as Level 2, as we rely on quoted market prices from similar loan pools that transact in the marketplace. Interest rate swaps and interest rate caps are classified as Level 2, because these financial instruments do not trade in active markets with observable prices, but rely on observable inputs other than quoted prices. As of September 30, 2023 and December 31, 2022, interest rate swaps and interest rate caps were valued using the overnight SOFR curve and the implied volatilities suggested by the SOFR rate curve. These were determined to be observable inputs from active markets.
(8)The purchase price earn-out provision is classified as Level 3 because of our reliance on unobservable inputs related to the underlying loan portfolio performance, such as conditional prepayment rates, annual default rates and discount rates.
(9)IRLCs and student loan commitments are classified as Level 3 because of our reliance on assumed loan funding probabilities. The assumed probabilities are based on our internal historical experience with home loans and student loans similar to those in the funding pipelines on the measurement date.
(10)The digital assets safeguarding liability and corresponding safeguarding asset are classified as Level 2, because they do not trade in active markets, and are valued using quoted prices on an active exchange that has been identified as the principal market for the underlying digital assets that are being held by our third-party custodians for the benefit of our members.
(11)The fair value of our securitization debt was classified as Level 2 and valued using a discounted cash flow model, with key inputs relating to the underlying contractual coupons, terms, discount rate and expectations for defaults and prepayments. As of September 30, 2023 and December 31, 2022, the unpaid principal related to debt measured at fair value was $142,660 and $98,868, respectively. For the three and nine months ended September 30, 2023, losses from changes in fair value were $517 and $1,150, respectively. The estimated amounts of gains (losses) included in earnings attributable to changes in instrument-specific credit risk, which were derived principally from observable changes in credit spread as observed in the bond market, were immaterial.
Schedule of Changes in Assets Measured at Fair Value on a Recurring Basis
The following tables present the changes in our assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3). We did not have any transfers into or out of Level 3 during the periods presented.
Fair Value atFair Value at
June 30,
2023		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2023
Assets
Personal loans$12,751,163 $(45,072)$20,724 $(15,006)$3,885,967 $(1,746,760)$(20)$14,850,996 
Student loans5,383,921 (14,615)— — 919,330 (247,751)659 6,041,544 
Home loans78,583 362 1,593 (333,843)355,698 (1,056)(41)101,296 
Loans at fair value(1)
18,213,667 (59,325)22,317 (348,849)5,160,995 (1,995,567)598 20,993,836 
Servicing rights(2)
145,663 7,419 549 (132)4,143 (14,988)— 142,654 
Residual investments(3)
38,389 434 — — — (3,367)— 35,456 
IRLCs(4)
1,352 1,545 — — — (1,352)— 1,545 
Student loan commitments(4)
189 1,751 — — — (189)— 1,751 
Third party warrants630 — — — — — — 630 
Liabilities
Residual interests classified as debt(3)
(11,332)(927)— — — 2,065 — (10,194)
Net impact on earnings(49,103)
Fair Value atFair Value at
January 1,
2023		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2023
Assets
Personal loans$8,610,434 $16,083 $61,053 $(65,019)$10,578,306 $(4,349,646)$(215)$14,850,996 
Student loans4,877,177 17,278 111,923 (96,678)1,840,070 (706,429)(1,797)6,041,544 
Home loans69,463 (1,122)24,508 (678,136)688,608 (2,364)339 101,296 
Loans at fair value(1)
13,557,074 32,239 197,484 (839,833)13,106,984 (5,058,439)(1,673)20,993,836 
Servicing rights(2)
149,854 28,428 1,570 (1,257)11,580 (47,521)— 142,654 
Residual investments(3)
46,238 1,240 — (807)— (11,215)— 35,456 
Purchase price earn out(5)
54 9 — — — (63)— — 
IRLCs(4)
216 3,168 363 — — (2,202)— 1,545 
Student loan commitments(4)
(236)2,015 — — — (28)— 1,751 
Third party warrants630 — — — — — — 630 
Liabilities
Residual interests classified as debt(3)
(17,048)(414)(1,203)— — 8,471 — (10,194)
Net impact on earnings66,685 
Fair Value atFair Value at
June 30,
2022		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2022
Assets
Personal loans$4,109,745 $65,463 $1,276,175 $(749,648)$2,809,759 $(582,188)$(28,102)$6,901,204 
Student loans3,714,375 (23,895)34 (74,080)457,184 (148,913)343 3,925,048 
Home loans135,262 (2,209)1,260 (251,821)216,246 (934)— 97,804 
Loans at fair value(1)
7,959,382 39,359 1,277,469 (1,075,549)3,483,189 (732,035)(27,759)10,924,056 
Servicing rights(2)
176,964 6,182 1,062 (3,965)10,681 (22,486)— 168,438 
Residual investments(3)
94,978 664 — (490)— (8,318)— 86,834 
Purchase price earn out(5)
625 52 — — — (553)— 124 
Third party warrants(6)
766 (136)— — — — — 630 
Liabilities
Residual interests classified as debt(3)
(54,436)(1,453)— — — 10,155 — (45,734)
IRLCs(4)
1,120 (927)— — — (1,120)— (927)
Student loan commitments(4)
(254)(1,409)— — — 254 — (1,409)
Net impact on earnings42,332 
Fair Value atFair Value at
January 1,
2022		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2022
Assets
Personal loans$2,289,426 $92,332 $1,504,112 $(2,851,466)$7,307,612 $(1,415,820)$(24,992)$6,901,204 
Student loans3,450,837 (68,541)121,741 (877,920)1,839,710 (543,077)2,298 3,925,048 
Home loans212,709 (11,663)2,088 (959,971)860,676 (6,035)— 97,804 
Loans at fair value(1)
5,952,972 12,128 1,627,941 (4,689,357)10,007,998 (1,964,932)(22,694)10,924,056 
Servicing rights(2)
168,259 26,860 3,008 (5,552)42,299 (66,436)— 168,438 
Residual investments(3)
121,019 1,716 — (710)— (35,191)— 86,834 
Purchase price earn out(5)
4,272 1,094 — — — (5,242)— 124 
Third party warrants(6)
1,369 (739)— — — — — 630 
Liabilities
Residual interests classified as debt(3)
(93,682)(7,078)— — — 55,026 — (45,734)
IRLCs(4)
3,759 (2,846)— — — (1,840)— (927)
Student loan commitments(4)
2,220 (1,640)— — — (1,989)— (1,409)
Net impact on earnings29,495 
_____________________
(1)For loans at fair value, purchases reflect unpaid principal balance and relate to previously transferred loans. Purchase activity included securitization clean-up calls of $39,936 during the nine months ended September 30, 2023, and $129,733 and $465,472 during the three and nine months ended September 30, 2022, respectively. There were no securitization clean-up calls during the three months ended September 30, 2023. The remaining purchases during the periods presented related to standard representations and warranties pursuant to our various loan sale agreements. Issuances represent the principal balance of loans originated during the period. Settlements represent principal payments made on loans during the period. Other changes represent fair value adjustments that impact the balance sheet primarily associated with whole loan strategic repurchases, clean up calls and consolidated securitizations. Impacts on earnings for loans at fair value are recorded within interest income—loans, within noninterest income—loan origination and sales and —securitizations, and within noninterest expense—general and administrative in the condensed consolidated statements of operations and comprehensive loss.
(2)For servicing rights, impacts on earnings are recorded within noninterest income—servicing in the condensed consolidated statements of operations and comprehensive loss.
(3)For residual investments, sales include the derecognition of investments associated with securitization clean up calls. The estimated amounts of gains and losses for residual investments included in earnings attributable to changes in instrument-specific credit risk were immaterial during the periods presented. For residual investments and residual interests classified as debt, impacts on earnings are recorded within noninterest income—securitizations in the condensed consolidated statements of operations and comprehensive loss, a portion of which is subsequently reclassified to interest expense—securitizations and warehouses for residual interests classified as debt and to interest income—securitizations for residual investments, but does not impact the liability or asset balance, respectively.
(4)For IRLCs and student loan commitments, settlements reflect funded and unfunded adjustments representing the unpaid principal balance of funded and unfunded loans during the quarter multiplied by the IRLC or student loan commitment price in effect at the beginning of the quarter. Purchases of IRLCs during the nine months ended September 30, 2023 were associated with our acquisition of Wyndham. For year-to-date periods, amounts represent the
summation of the per-quarter effects. For IRLCs and student loan commitments, impacts on earnings are recorded within noninterest income—loan origination and sales in the condensed consolidated statements of operations and comprehensive loss.
(5)For purchase price earn out, impacts on earnings are recorded within noninterest income—loan origination and sales in the condensed consolidated statements of operations and comprehensive loss.
(6)For third party warrants, impacts on earnings are recorded within noninterest income—other in the condensed consolidated statements of operations and comprehensive loss.
Schedule of Changes in Liabilities Measured at Fair Value on a Recurring Basis
The following tables present the changes in our assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3). We did not have any transfers into or out of Level 3 during the periods presented.
Fair Value atFair Value at
June 30,
2023		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2023
Assets
Personal loans$12,751,163 $(45,072)$20,724 $(15,006)$3,885,967 $(1,746,760)$(20)$14,850,996 
Student loans5,383,921 (14,615)— — 919,330 (247,751)659 6,041,544 
Home loans78,583 362 1,593 (333,843)355,698 (1,056)(41)101,296 
Loans at fair value(1)
18,213,667 (59,325)22,317 (348,849)5,160,995 (1,995,567)598 20,993,836 
Servicing rights(2)
145,663 7,419 549 (132)4,143 (14,988)— 142,654 
Residual investments(3)
38,389 434 — — — (3,367)— 35,456 
IRLCs(4)
1,352 1,545 — — — (1,352)— 1,545 
Student loan commitments(4)
189 1,751 — — — (189)— 1,751 
Third party warrants630 — — — — — — 630 
Liabilities
Residual interests classified as debt(3)
(11,332)(927)— — — 2,065 — (10,194)
Net impact on earnings(49,103)
Fair Value atFair Value at
January 1,
2023		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2023
Assets
Personal loans$8,610,434 $16,083 $61,053 $(65,019)$10,578,306 $(4,349,646)$(215)$14,850,996 
Student loans4,877,177 17,278 111,923 (96,678)1,840,070 (706,429)(1,797)6,041,544 
Home loans69,463 (1,122)24,508 (678,136)688,608 (2,364)339 101,296 
Loans at fair value(1)
13,557,074 32,239 197,484 (839,833)13,106,984 (5,058,439)(1,673)20,993,836 
Servicing rights(2)
149,854 28,428 1,570 (1,257)11,580 (47,521)— 142,654 
Residual investments(3)
46,238 1,240 — (807)— (11,215)— 35,456 
Purchase price earn out(5)
54 9 — — — (63)— — 
IRLCs(4)
216 3,168 363 — — (2,202)— 1,545 
Student loan commitments(4)
(236)2,015 — — — (28)— 1,751 
Third party warrants630 — — — — — — 630 
Liabilities
Residual interests classified as debt(3)
(17,048)(414)(1,203)— — 8,471 — (10,194)
Net impact on earnings66,685 
Fair Value atFair Value at
June 30,
2022		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2022
Assets
Personal loans$4,109,745 $65,463 $1,276,175 $(749,648)$2,809,759 $(582,188)$(28,102)$6,901,204 
Student loans3,714,375 (23,895)34 (74,080)457,184 (148,913)343 3,925,048 
Home loans135,262 (2,209)1,260 (251,821)216,246 (934)— 97,804 
Loans at fair value(1)
7,959,382 39,359 1,277,469 (1,075,549)3,483,189 (732,035)(27,759)10,924,056 
Servicing rights(2)
176,964 6,182 1,062 (3,965)10,681 (22,486)— 168,438 
Residual investments(3)
94,978 664 — (490)— (8,318)— 86,834 
Purchase price earn out(5)
625 52 — — — (553)— 124 
Third party warrants(6)
766 (136)— — — — — 630 
Liabilities
Residual interests classified as debt(3)
(54,436)(1,453)— — — 10,155 — (45,734)
IRLCs(4)
1,120 (927)— — — (1,120)— (927)
Student loan commitments(4)
(254)(1,409)— — — 254 — (1,409)
Net impact on earnings42,332 
Fair Value atFair Value at
January 1,
2022		Impact on EarningsPurchasesSalesIssuancesSettlementsOther ChangesSeptember 30,
2022
Assets
Personal loans$2,289,426 $92,332 $1,504,112 $(2,851,466)$7,307,612 $(1,415,820)$(24,992)$6,901,204 
Student loans3,450,837 (68,541)121,741 (877,920)1,839,710 (543,077)2,298 3,925,048 
Home loans212,709 (11,663)2,088 (959,971)860,676 (6,035)— 97,804 
Loans at fair value(1)
5,952,972 12,128 1,627,941 (4,689,357)10,007,998 (1,964,932)(22,694)10,924,056 
Servicing rights(2)
168,259 26,860 3,008 (5,552)42,299 (66,436)— 168,438 
Residual investments(3)
121,019 1,716 — (710)— (35,191)— 86,834 
Purchase price earn out(5)
4,272 1,094 — — — (5,242)— 124 
Third party warrants(6)
1,369 (739)— — — — — 630 
Liabilities
Residual interests classified as debt(3)
(93,682)(7,078)— — — 55,026 — (45,734)
IRLCs(4)
3,759 (2,846)— — — (1,840)— (927)
Student loan commitments(4)
2,220 (1,640)— — — (1,989)— (1,409)
Net impact on earnings29,495 
_____________________
(1)For loans at fair value, purchases reflect unpaid principal balance and relate to previously transferred loans. Purchase activity included securitization clean-up calls of $39,936 during the nine months ended September 30, 2023, and $129,733 and $465,472 during the three and nine months ended September 30, 2022, respectively. There were no securitization clean-up calls during the three months ended September 30, 2023. The remaining purchases during the periods presented related to standard representations and warranties pursuant to our various loan sale agreements. Issuances represent the principal balance of loans originated during the period. Settlements represent principal payments made on loans during the period. Other changes represent fair value adjustments that impact the balance sheet primarily associated with whole loan strategic repurchases, clean up calls and consolidated securitizations. Impacts on earnings for loans at fair value are recorded within interest income—loans, within noninterest income—loan origination and sales and —securitizations, and within noninterest expense—general and administrative in the condensed consolidated statements of operations and comprehensive loss.
(2)For servicing rights, impacts on earnings are recorded within noninterest income—servicing in the condensed consolidated statements of operations and comprehensive loss.
(3)For residual investments, sales include the derecognition of investments associated with securitization clean up calls. The estimated amounts of gains and losses for residual investments included in earnings attributable to changes in instrument-specific credit risk were immaterial during the periods presented. For residual investments and residual interests classified as debt, impacts on earnings are recorded within noninterest income—securitizations in the condensed consolidated statements of operations and comprehensive loss, a portion of which is subsequently reclassified to interest expense—securitizations and warehouses for residual interests classified as debt and to interest income—securitizations for residual investments, but does not impact the liability or asset balance, respectively.
(4)For IRLCs and student loan commitments, settlements reflect funded and unfunded adjustments representing the unpaid principal balance of funded and unfunded loans during the quarter multiplied by the IRLC or student loan commitment price in effect at the beginning of the quarter. Purchases of IRLCs during the nine months ended September 30, 2023 were associated with our acquisition of Wyndham. For year-to-date periods, amounts represent the
summation of the per-quarter effects. For IRLCs and student loan commitments, impacts on earnings are recorded within noninterest income—loan origination and sales in the condensed consolidated statements of operations and comprehensive loss.
(5)For purchase price earn out, impacts on earnings are recorded within noninterest income—loan origination and sales in the condensed consolidated statements of operations and comprehensive loss.
(6)For third party warrants, impacts on earnings are recorded within noninterest income—other in the condensed consolidated statements of operations and comprehensive loss.
Schedule of Valuation Inputs and Assumptions
The following key unobservable assumptions were used in the fair value measurement of our loans:
September 30, 2023December 31, 2022
RangeWeighted AverageRangeWeighted Average
Personal loans
Conditional prepayment rate
15.3% – 28.7%
20.3%
17.3% – 25.5%
19.1%
Annual default rate
4.3% – 40.0%
4.6%
3.8% – 37.7%
4.4%
Discount rate
6.4% – 9.4%
6.6%
5.4% – 8.3%
6.1%
Student loans
Conditional prepayment rate
8.6% – 13.0%
10.5%
16.3% – 21.8%
20.4%
Annual default rate
0.3% – 5.8%
0.5%
0.2% – 4.5%
0.5%
Discount rate
4.5% – 9.1%
4.8%
3.6% – 8.7%
4.0%
Home loans
Conditional prepayment rate
1.7% – 9.8%
7.2%
2.0% – 10.2%
7.0%
Annual default rate
0.1% – 0.9%
0.1%
0.1% – 1.3%
0.1%
Discount rate
6.3% – 9.2%
6.7%
5.7% – 14.1%
5.9%
The following key unobservable inputs were used in the fair value measurement of our classes of servicing rights:
September 30, 2023December 31, 2022
RangeWeighted AverageRange
Weighted Average
Personal loans
Market servicing costs
0.1% – 0.6%
0.3%
0.2% – 0.5%
0.3%
Conditional prepayment rate
16.8% – 32.5%
25.2%
17.9% – 31.3%
22.7%
Annual default rate
3.2% – 18.0%
7.1%
3.4% – 7.9%
4.9%
Discount rate
8.5% – 8.5%
8.5%
7.8% – 7.8%
7.8%
Student loans
Market servicing costs
0.1% – 0.2%
0.1%
0.1% – 0.2%
0.1%
Conditional prepayment rate
10.6% – 16.3%
12.2%
15.4% – 21.9%
17.8%
Annual default rate
0.3% – 3.6%
0.6%
0.3% – 4.3%
0.4%
Discount rate
8.5% – 8.5%
8.5%
7.8% – 7.8%
7.8%
Home loans
Market servicing costs
0.1% – 0.1%
0.1%
0.1% – 0.1%
0.1%
Conditional prepayment rate
5.1% – 13.2%
5.4%
4.9% – 11.0%
5.2%
Annual default rate
0.1% – 0.2%
0.1%
0.1% – 0.1%
0.1%
Discount rate
9.3% – 9.3%
9.3%
9.0% – 9.0%
9.0%
The following key unobservable inputs were used in the fair value measurements of our residual investments and residual interests classified as debt:
September 30, 2023December 31, 2022
RangeWeighted AverageRange
Weighted Average
Residual investments
Conditional prepayment rate
12.3% – 29.2%
14.3%
17.9% – 32.0%
19.9%
Annual default rate
0.4% – 6.5%
1.1%
0.4% – 5.4%
1.1%
Discount rate
5.8% – 10.5%
7.6%
4.8% – 10.5%
6.7%
Residual interests classified as debt
Conditional prepayment rate
12.3% – 30.1%
28.1%
17.2% – 18.1%
17.8%
Annual default rate
0.6% – 6.5%
4.4%
0.6% – 0.8%
0.7%
Discount rate
9.3% – 10.5%
9.5%
7.5% – 7.5%
7.5%
The following key unobservable inputs were used in the fair value measurements of our IRLCs and student loan commitments:
September 30, 2023December 31, 2022
RangeWeighted AverageRange
Weighted Average
IRLCs
Loan funding probability(1)
76.4% – 86.6%
84.3%
11.1% – 58.6%
46.3%
Student loan commitments
Loan funding probability(1)
95.0% – 95.0%
95.0%
95.0% – 95.0%
95.0%
___________________
(1)The aggregate amount of student loans we committed to fund was $85,551 as of September 30, 2023. The higher assumptions in the 2023 period reflect the home loan funding pipeline associated with our acquisition of Wyndham. See Note 11. Derivative Financial Instruments for the aggregate notional amount associated with IRLCs.
Schedule of Sensitivity Analysis for Servicing Rights
The following table presents the estimated decrease to the fair value of our servicing rights if the key assumptions had each of the below adverse changes:
September 30, 2023December 31, 2022
Market servicing costs
2.5 basis points increase
$(10,280)$(10,395)
5.0 basis points increase
(20,559)(20,807)
Conditional prepayment rate
10% increase
$(3,370)$(4,036)
20% increase
(6,770)(7,833)
Annual default rate
10% increase
$(153)$(166)
20% increase
(305)(331)
Discount rate
100 basis points increase
$(4,021)$(3,905)
200 basis points increase
(7,787)(7,562)
Schedule of Safeguarding Assets and Liabilities
The following table presents the significant digital assets held by our third-party custodians on behalf of our members:
September 30, 2023December 31, 2022
Bitcoin (BTC)$74,761 $44,346 
Ethereum (ETH)47,276 37,826 
Dogecoin (DOGE)4,478 4,784 
Litecoin (LTC)2,544 2,492 
Ethereum Classic (ETC)2,249 2,333 
Cardano (ADA)(1)
— 5,217 
Solana (SOL)(1)
— 1,588 
All other(1)(2)
8,051 8,240 
Digital assets safeguarding liability and corresponding safeguarding asset$139,359 $106,826 
___________________
(1)Effective June 9, 2023, we ended support of these digital assets, as well as several others included in the “all other” category.
(2)Includes 17 and 23 digital assets as of September 30, 2023 and December 31, 2022, respectively, none of which were determined to be individually significant.
Fair Value Disclosure of Asset and Liability Not Measured at Fair Value
The following table summarizes the carrying values and estimated fair values, by level within the fair value hierarchy, of our assets and liabilities that are not measured at fair value on a recurring basis in the condensed consolidated balance sheets:
Fair Value
Carrying ValueLevel 1Level 2Level 3Total
September 30, 2023
Assets
Cash and cash equivalents(1)
$2,813,876 $2,813,876 $— $— $2,813,876 
Restricted cash and restricted cash equivalents(1)
483,141 483,141 — — 483,141 
Loans at amortized cost(2)
361,248 — — 388,662 388,662 
Other investments(3)
68,313 — 68,313 — 68,313 
Total assets
$3,726,578 $3,297,017 $68,313 $388,662 $3,753,992 
Liabilities
Deposits(4)
$15,671,973 $— $15,663,198 $— $15,663,198 
Debt(5)
6,109,523 937,024 4,931,984 — 5,869,008 
Total liabilities
$21,781,496 $937,024 $20,595,182 $— $21,532,206 
December 31, 2022
Assets
Cash and cash equivalents(1)
$1,421,907 $1,421,907 $— $— $1,421,907 
Restricted cash and restricted cash equivalents(1)
424,395 424,395 — — 424,395 
Loans at amortized cost(2)
307,957 — — 328,775 328,775 
Other investments(3)
28,651 — 28,651 — 28,651 
Total assets
$2,182,910 $1,846,302 $28,651 $328,775 $2,203,728 
Liabilities
Deposits(4)
$7,342,296 $— $7,340,160 $— $7,340,160 
Debt(5)
5,396,740 826,242 4,219,574 — 5,045,816 
Total liabilities
$12,739,036 $826,242 $11,559,734 $— $12,385,976 
___________________
(1)The carrying amounts of our cash and cash equivalents and restricted cash and restricted cash equivalents approximate their fair values due to the short-term maturities and highly liquid nature of these accounts.
(2)The fair value of our credit cards was determined using a discounted cash flow model with key inputs relating to weighted average lives, expected lifetime loss rates and discount rate. The fair value of our commercial and consumer banking loans was determined using a discounted cash flow model with key inputs relating to the underlying contractual coupons, terms, discount rate and expectations for defaults.
(3)Other investments include Federal Reserve Bank (“FRB”) stock and FHLB stock, which are presented within other assets in the condensed consolidated balance sheets.
(4)The fair values of our deposits without contractually defined maturities (such as demand and savings deposits) and our noninterest-bearing deposits approximate their carrying values. The fair value of our time-based deposits was determined using a discounted cash flow model based on rates currently offered for deposits of similar remaining maturities.
(5)The carrying value of our debt is net of unamortized discounts and debt issuance costs. The fair value of our convertible notes was classified as Level 1, as it was based on an observable market quote. The fair values of our warehouse facility debt and revolving credit facility debt were classified as Level 2 and based on market factors and credit factors specific to these financial instruments. The fair value of our securitization debt was classified as Level 2 and valued using a discounted cash flow model, with key inputs relating to the underlying contractual coupons, terms, discount rate and expectations for defaults and prepayments.