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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2024

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:


	March 31, 2024								December 31, 2023
	Fair Value								Fair Value
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Investments in AFS debt securities(1)(2)	$	465,491	$	373,015	$	—	$	838,506	$	527,711	$	67,476	$	—	$	595,187
Asset-backed bonds(2)(3)	—		98,739		—		98,739		—		70,828		—		70,828
Residual investments(2)(3)	—		—		35,853		35,853		—		—		35,920		35,920
Loans at fair value(4)	—		59,477		21,891,166		21,950,643		—		66,198		22,056,057		22,122,255
Servicing rights	—		—		240,752		240,752		—		—		180,469		180,469
Third party warrants(5)(6)	—		—		630		630		—		—		630		630
Derivative assets(5)(7)(8)	—		1,537		—		1,537		—		2,209		—		2,209

IRLCs(5)(9)	—		—		2,436		2,436		—		—		2,155		2,155
Student loan commitments(5)(9)	—		—		314		314		—		—		5,465		5,465
Interest rate caps(5)(8)	—		986		—		986		—		3,269		—		3,269
Digital assets safeguarding asset(5)(10)	—		—		—		—		—		9,292		—		9,292
Total assets	$	465,491	$	533,754	$	22,171,151	$	23,170,396	$	527,711	$	219,272	$	22,280,696	$	23,027,679
Liabilities
Debt(11)	$	—	$	107,409	$	—	$	107,409	$	—	$	119,641	$	—	$	119,641
Residual interests classified as debt	—		—		4,129		4,129		—		—		7,396		7,396
Derivative liabilities(5)(7)(8)	—		5,943		—		5,943		—		5,951		—		5,951


Digital assets safeguarding liability(5)(10)	—		—		—		—		—		9,292		—		9,292
Total liabilities	$	—	$	113,352	$	4,129	$	117,481	$	—	$	134,884	$	7,396	$	142,280

_____________________

(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)Home loans are classified as Level 2 due to observable pricing sources utilized by management. Personal loans and student loans classified as Level 3 do not trade in an active market with readily observable prices. Personal loans and home loans are presented within loans held for sale, at fair value, and student loans are presented within loans held for investment, at fair value.

(5)These assets and liabilities are presented within other assets and accounts payable, accruals and other liabilities, respectively, in the condensed consolidated balance sheets.

(6)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.

(7)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.

(8)Home loan pipeline hedges represent TBAs 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 March 31, 2024 and December 31, 2023, 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.

(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 were being held by our third-party custodians for the benefit of our members. In the fourth quarter of 2023, we transferred the crypto services provided by SoFi Digital Assets, LLC, and began closing existing digital assets accounts. This process was completed in the first quarter of 2024, subsequent to which we have no digital assets safeguarding liability and safeguarding asset.

(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 March 31, 2024 and December 31, 2023, the unpaid principal related to debt measured at fair value was $114,960 and $128,619, respectively. For the three months ended March 31, 2024, losses from changes in fair value were $1,427. 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 and default assumptions, were immaterial for the three months ended March 31, 2024 and March 31, 2023.

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 at														Fair Value at
	January 1, 2024		Impact on Earnings		Purchases		Sales		Issuances		Settlements		Other Changes		March 31, 2024
Assets
Personal loans	$	15,330,573	$	(269,426)	$	16,580	$	(1,262,854)	$	3,278,882	$	(2,035,697)	$	(1,053)	$	15,057,005
Student loans	6,725,484		(17,117)		—		(294,187)		751,680		(335,937)		4,238		6,834,161

Loans at fair value(1)	22,056,057		(286,543)		16,580		(1,557,041)		4,030,562		(2,371,634)		3,185		21,891,166
Servicing rights(2)	180,469		5,226		980		(53)		75,554		(21,424)		—		240,752
Residual investments(3)	35,920		732		2,553		—		—		(3,352)		—		35,853

IRLCs(4)	2,155		2,436		—		—		—		(2,155)		—		2,436
Student loan commitments(4)	5,465		314		—		—		—		(5,465)		—		314
Third party warrants(5)	630		—		—		—		—		—		—		630
Liabilities
Residual interests classified as debt(3)	(7,396)		(73)		—		—		—		3,340		—		(4,129)


Net impact on earnings			$	(277,908)





















	Fair Value at														Fair Value at
	January 1, 2023		Impact on Earnings		Purchases		Sales		Issuances		Settlements		Other Changes		March 31, 2023
Assets
Personal loans	$	8,610,434	$	86,200	$	40,039	$	—	$	2,951,358	$	(1,150,926)	$	(106)	$	10,536,999
Student loans	4,877,177		64,699		—		—		525,373		(229,681)		2,491		5,240,059
Home loans(6)	69,463		(494)		552		(77,880)		89,787		(381)		—		81,047
Loans at fair value(1)	13,557,074		150,405		40,591		(77,880)		3,566,518		(1,380,988)		2,385		15,858,105
Servicing rights(2)	149,854		12,084		613		(135)		954		(16,856)		—		146,514
Residual investments(3)	46,238		1,104		—		(306)		—		(4,076)		—		42,960
Purchase price earn out(7’)	54		9		—		—		—		(63)		—		—
IRLCs(4)	216		634		—		—		—		(216)		—		634
Student loan commitments(4)	(236)		75		—		—		—		236		—		75
Third party warrants(5)	630		—		—		—		—		—		—		630
Liabilities
Residual interests classified as debt(3)	(17,048)		(89)		—		—		—		1,572		—		(15,565)


Net impact on earnings			$	164,222

_____________________

(1)For loans at fair value, purchases reflect unpaid principal balance and relate to previously transferred loans. Purchase activity included elective repurchases of $16.6 million during the three months ended March 31, 2024, and securitization clean-up calls of $39.9 million during the three months ended March 31, 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 and

securitizations, within noninterest income—loan origination, sales, and securitizations, and within noninterest expense—general and administrative in the condensed consolidated statements of operations and comprehensive income (loss).

(2)For servicing rights, impacts on earnings are recorded within noninterest income—servicing in the condensed consolidated statements of operations and comprehensive income (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—loan origination, sales, and securitizations in the condensed consolidated statements of operations and comprehensive income (loss), a portion of which is subsequently reclassified to interest expense—securitizations and warehouses for residual interests classified as debt and to interest income—loans and 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 three months ended March 31, 2024 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, sales, and securitizations in the condensed consolidated statements of operations and comprehensive income (loss).

(5)For third party warrants, impacts on earnings are recorded within noninterest income—other in the condensed consolidated statements of operations and comprehensive income (loss).

(6)During the fourth quarter of 2023, we transferred home loans out of Level 3 into Level 2 relating to an update to observable pricing sources utilized by management, as part of the integration of Wyndham.

(7)For purchase price earn out, impacts on earnings are recorded within noninterest income—loan origination, sales, and securitizations in the condensed consolidated statements of operations and comprehensive income (loss).

Schedule of Changes in Liabilities Measured at Fair Value on a Recurring Basis





















	Fair Value at														Fair Value at
	January 1, 2024		Impact on Earnings		Purchases		Sales		Issuances		Settlements		Other Changes		March 31, 2024
Assets
Personal loans	$	15,330,573	$	(269,426)	$	16,580	$	(1,262,854)	$	3,278,882	$	(2,035,697)	$	(1,053)	$	15,057,005
Student loans	6,725,484		(17,117)		—		(294,187)		751,680		(335,937)		4,238		6,834,161

Loans at fair value(1)	22,056,057		(286,543)		16,580		(1,557,041)		4,030,562		(2,371,634)		3,185		21,891,166
Servicing rights(2)	180,469		5,226		980		(53)		75,554		(21,424)		—		240,752
Residual investments(3)	35,920		732		2,553		—		—		(3,352)		—		35,853

IRLCs(4)	2,155		2,436		—		—		—		(2,155)		—		2,436
Student loan commitments(4)	5,465		314		—		—		—		(5,465)		—		314
Third party warrants(5)	630		—		—		—		—		—		—		630
Liabilities
Residual interests classified as debt(3)	(7,396)		(73)		—		—		—		3,340		—		(4,129)


Net impact on earnings			$	(277,908)





















	Fair Value at														Fair Value at
	January 1, 2023		Impact on Earnings		Purchases		Sales		Issuances		Settlements		Other Changes		March 31, 2023
Assets
Personal loans	$	8,610,434	$	86,200	$	40,039	$	—	$	2,951,358	$	(1,150,926)	$	(106)	$	10,536,999
Student loans	4,877,177		64,699		—		—		525,373		(229,681)		2,491		5,240,059
Home loans(6)	69,463		(494)		552		(77,880)		89,787		(381)		—		81,047
Loans at fair value(1)	13,557,074		150,405		40,591		(77,880)		3,566,518		(1,380,988)		2,385		15,858,105
Servicing rights(2)	149,854		12,084		613		(135)		954		(16,856)		—		146,514
Residual investments(3)	46,238		1,104		—		(306)		—		(4,076)		—		42,960
Purchase price earn out(7’)	54		9		—		—		—		(63)		—		—
IRLCs(4)	216		634		—		—		—		(216)		—		634
Student loan commitments(4)	(236)		75		—		—		—		236		—		75
Third party warrants(5)	630		—		—		—		—		—		—		630
Liabilities
Residual interests classified as debt(3)	(17,048)		(89)		—		—		—		1,572		—		(15,565)


Net impact on earnings			$	164,222

_____________________

(2)For servicing rights, impacts on earnings are recorded within noninterest income—servicing in the condensed consolidated statements of operations and comprehensive income (loss).

(5)For third party warrants, impacts on earnings are recorded within noninterest income—other in the condensed consolidated statements of operations and comprehensive income (loss).

Schedule of Valuation Inputs and Assumptions

The following key unobservable assumptions were used in the fair value measurement of our loans:

March 31, 2024

December 31, 2023

Range

Weighted Average

Range

Weighted Average

Personal loans

Conditional prepayment rate

18.4% – 29.5%

24.7%

17.5% – 29.5%

23.2%

Annual default rate

4.7% – 48.7%

4.8%

4.5% – 50.4%

4.8%

Discount rate

5.7% – 8.1%

5.8%

5.5% – 8.1%

5.5%

Student loans

Conditional prepayment rate

7.7% – 12.6%

10.5%

8.4% – 12.6%

10.5%

Annual default rate

0.6% – 6.1%

0.6%

0.4% – 6.4%

0.6%

Discount rate

4.3% – 8.8%

4.3%

4.1% – 8.1%

4.3%

The following key unobservable inputs were used in the fair value measurement of our classes of servicing rights:

March 31, 2024

December 31, 2023

Range

Weighted Average

Range

Weighted Average

Personal loans

Market servicing costs

0.2% – 1.0%

0.2%

0.1% – 1.8%

0.2%

Conditional prepayment rate

8.6% – 38.1%

22.5%

17.9% – 35.5%

22.4%

Annual default rate

3.3% – 16.0%

4.0%

3.3% – 22.5%

4.7%

Discount rate

8.8% – 20.0%

9.1%

8.8% – 8.8%

8.8%

Student loans

Market servicing costs

0.1% – 0.2%

0.1%

0.1% – 0.2%

0.1%

Conditional prepayment rate

8.1% – 15.1%

12.1%

10.9% – 15.3%

12.2%

Annual default rate

0.3% – 3.6%

0.7%

0.3% – 3.7%

0.6%

Discount rate

8.8% – 8.8%

8.8%

8.8% – 8.8%

8.8%

Home loans

Market servicing costs

0.1% – 0.2%

0.2%

0.1% – 0.2%

0.2%

Conditional prepayment rate

5.5% – 23.8%

8.6%

5.6% – 24.0%

8.1%

Annual default rate

0.1% – 0.1%

0.1%

0.1% – 0.1%

0.1%

Discount rate

9.2% – 10.0%

9.3%

9.2% – 10.0%

9.3%

The following key unobservable inputs were used in the fair value measurements of our residual investments and residual interests classified as debt:

March 31, 2024

December 31, 2023

Range

Weighted Average

Range

Weighted Average

Residual investments

Conditional prepayment rate

12.4% – 29.9%

15.5%

12.2% – 28.3%

14.8%

Annual default rate

0.5% – 6.9%

1.5%

0.5% – 6.9%

1.4%

Discount rate

5.8% – 13.5%

8.8%

5.8% – 15.5%

8.7%

Residual interests classified as debt

Conditional prepayment rate

12.7% – 12.8%

12.8%

12.3% – 12.6%

12.4%

Annual default rate

0.8% – 0.8%

0.8%

0.7% – 0.7%

0.7%

Discount rate

10.0% – 10.3%

10.0%

10.0% – 10.3%

10.0%

The following key unobservable inputs were used in the fair value measurements of our IRLCs and student loan commitments:

March 31, 2024

December 31, 2023

Range

Weighted Average

Range

Weighted Average

IRLCs

Loan funding probability(1)

48.9% – 85.8%

79.2%

71.9% – 77.2%

76.3%

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 $6,459 as of March 31, 2024. See Note 11. Derivative Financial Instruments for the aggregate notional amount associated with IRLCs.

The following table summarizes the inputs used for estimating the fair value of PSUs granted:


Input						Three Months Ended March 31, 2024
Risk-free interest rate						4.5%
Expected volatility						73.0%
Fair value of common stock						$8.02
Dividend yield						—%

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:


	March 31, 2024		December 31, 2023
Market servicing costs
2.5 basis points increase	$	(6,466)	$	(6,176)
5.0 basis points increase	(12,931)		(12,351)
Conditional prepayment rate
10% increase	$	(6,881)	$	(5,189)
20% increase	(13,400)		(10,098)
Annual default rate
10% increase	$	(550)	$	(480)
20% increase	(1,094)		(921)
Discount rate
100 basis points increase	$	(5,409)	$	(4,674)
200 basis points increase	(10,498)		(9,054)

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 Value		Level 1		Level 2		Level 3		Total
March 31, 2024
Assets
Cash and cash equivalents(1)	$	3,693,390	$	3,693,390	$	—	$	—	$	3,693,390
Restricted cash and restricted cash equivalents(1)	454,518		454,518		—		—		454,518
Loans at amortized cost(2)	1,250,231		—		—		1,281,749		1,281,749
Other investments(3)	92,805		—		92,805		—		92,805
Total assets	$	5,490,944	$	4,147,908	$	92,805	$	1,281,749	$	5,522,462
Liabilities
Deposits(4)	$	21,604,594	$	—	$	21,602,954	$	—	$	21,602,954
Debt(5)	2,783,908		1,311,986		1,445,303		—		2,757,289
Total liabilities	$	24,388,502	$	1,311,986	$	23,048,257	$	—	$	24,360,243
December 31, 2023
Assets
Cash and cash equivalents(1)	$	3,085,020	$	3,085,020	$	—	$	—	$	3,085,020
Restricted cash and restricted cash equivalents(1)	530,558		530,558		—		—		530,558
Loans at amortized cost(2)	836,159		—		—		864,312		864,312
Other investments(3)	83,551		—		83,551		—		83,551
Total assets	$	4,535,288	$	3,615,578	$	83,551	$	864,312	$	4,563,441
Liabilities
Deposits(4)	$	18,620,663	$	—	$	18,612,822	$	—	$	18,612,822
Debt(5)	5,113,775		955,306		4,024,516		—		4,979,822
Total liabilities	$	23,734,438	$	955,306	$	22,637,338	$	—	$	23,592,644

___________________

(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 and senior secured 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 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 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.