XML 38 R20.htm IDEA: XBRL DOCUMENT
v3.22.2.2

Securitization and Variable Interest Entities | 12 Months Ended
--- | ---
Jun. 30, 2022
Debt Disclosure [Abstract] |
Securitization and Variable Interest Entities | Securitization and Variable Interest Entities Consolidated VIEs We consolidate VIEs when we are deemed to be the primary beneficiary. Warehouse Credit Facilities We established certain entities, deemed to be VIEs, to enter into warehouse credit facilities for the purpose of purchasing loans from our originating bank partners and funding self-originated loans. Refer to Note 11. Debt for additional information. The creditors of the VIEs have no recourse to the general credit of Affirm and the liabilities of the VIEs can only be settled by the respective VIEs’ assets; however, as the servicer of the loans pledged to our warehouse funding facilities, we have the power to direct the activities that most significantly impact the VIEs' economic performance. In addition, we retain significant economic exposure to the pledged loans and therefore, we are the primary beneficiary. Securitizations In connection with our asset-backed securitization program, we sponsor and establish trusts (deemed to be VIEs) to ultimately purchase loans facilitated by our platform. Securities issued from our asset-backed securitizations are senior or subordinated, based on the waterfall criteria of loan payments to each security class. The subordinated residual interests issued from these transactions are first to absorb credit losses in accordance with the waterfall criteria. For these VIEs, the creditors have no recourse to the general credit of Affirm and the liabilities of the VIEs can only be settled by the respective VIEs’ assets. Additionally, the assets of the VIEs can be used only to settle obligations of the VIEs. We consolidate securitization VIEs when we are deemed to be the primary beneficiary and therefore have the power to direct the activities that most significantly affect the VIEs’ economic performance and a variable interest that could potentially be significant to the VIE. Through our role as the servicer, we have the power to direct the activities that most significantly affect the VIEs’ economic performance. In evaluating whether we have a variable interest that could potentially be significant to the VIE, we consider our retained interests. We also earn a servicing fee which has a senior distribution priority in the payment waterfall. In evaluating whether we are the primary beneficiary, management considers both qualitative and quantitative factors regarding the nature, size and form of our involvement with the VIEs. Management assesses whether we are the primary beneficiary of the VIEs on an ongoing basis. Where we consolidate the securitization trusts, the loans held in the securitization trusts are included in loans held for investment, and the notes sold to third-party investors are recorded in notes issued by securitization trusts in the consolidated balance sheets. As of June 30, 2022, we consolidated Affirm Asset Securitization Trust 2020-Z1 (“2020-Z1”), Affirm Asset Securitization Trust 2020-A (“2020-A”), Affirm Asset Securitization Trust 2020-Z2 (“2020-Z2”), Affirm Asset Securitization Trust 2021-A (“2021-A”), Affirm Asset Securitization Trust 2021-B (“2021-B”), and Affirm Asset Securitization Trust 2022-A (“2022-A”). Each securitization trust issued interest-bearing notes and residual certificates to finance the purchase of the loans facilitated by our platform. At the closing of each securitization, we contributed loans, facilitated through our technology platform and purchased from our originating bank partners, with an aggregate outstanding principal balance of $2,554.3 million. The 2020-Z1 and 2020-Z2 securitizations are secured by static pools of loans contributed at closing, whereas the 2021-A, 2021-B, and 2022-A securitizations are revolving and we may contribute additional loans from time to time until the end of the revolving period. For the 2020-Z2 securitization, we purchased $27.9 million of loan receivables from our third-party loan buyers which were then contributed to the trust. For each securitization, the residual certificates represent the right to receive excess cash on the loans each collection period after all fees and required distributions have been made to the note holders on the related payment date. For 2020-Z1, 2020-A, 2021-A, 2021-B, and 2022-A, all notes were sold to third-party investors and we retained 100% of the residual certificates issued by the securitization trusts. For 2020-Z2, all notes were sold to third-party investors and we retained 93.3% of the residual certificates issued by the securitization trust, and a third-party investor holds the remaining 6.7% of the residual certificates in 2020-Z2. The residual trust certificates held by third-party investors are measured at fair value, using a discounted cash flow model, and presented within accrued expenses and other liabilities on the consolidated balance sheets. In addition to the retained residual certificates, our continued involvement includes loan servicing responsibilities over the life of the underlying loans. We defer and amortize debt issuance costs for consolidated securitization trusts on a straight-line basis over the expected life of the notes. 2020-Z1 On July 8, 2020, the notes under the 2020-Z1 securitization were issued as a single class: Class A in the amount of $150.0 million (the “2020-Z1 notes”). The 2020-Z1 notes bear interest at a fixed rate of 3.46% and have a maturity date of October 15, 2024. Principal and interest payments began in September 2020 and are payable monthly. These 2021-Z1 notes are recorded at amortized cost on the consolidated balance sheet. The 2020-Z1 notes held by third-party investors and the unamortized debt issuance costs are included in notes issued by securitization trusts with a balance of $30.5 million on the consolidated balance sheets at June 30, 2022 and are secured by loan receivables at amortized cost of $30.3 million included in loans held for investment on the consolidated balance sheets at June 30, 2022. 2020-A On August 5, 2020, the notes under the 2020-A securitization were issued in three classes: Class A in the amount of $330.0 million, Class B in the amount of $16.2 million, and Class C in the amount of $22.1 million (collectively, the “2020-A notes”). On April 15, 2022, we exercised the optional redemption right under the 2020-A securitization where Affirm as the 100% residual certificate owner repurchased the outstanding receivables at a repurchase price of $234.0 million which was equal to the fair market value of the receivables as of the last day of the related collection period. All of the outstanding 2020-A notes were paid at the aggregate redemption price of $280.4 million. The Class A, Class B, and Class C notes previously bore interest at a fixed rate of 2.10%, 3.54%, and 6.23%, respectively, and each class had a final maturity date of February 18, 2025. 2020-Z2 On October 22, 2020, the notes under the 2020-Z2 securitization were issued as a single class: Class A in the amount of $375.0 million (the “2020-Z2 notes”). The 2020-Z2 notes bear interest at a fixed rate of 1.90% and have a maturity date of January 15, 2025. Principal and interest payments began in December 2020 and are payable monthly. These 2020-Z2 notes are recorded at amortized cost on the consolidated balance sheet. The notes held by third-party investors and the unamortized debt issuance costs are included in the 2020-Z2 notes issued by securitization trusts with a balance of $102.0 million on the consolidated balance sheets at June 30, 2022 and are secured by loan receivables at amortized cost of $101.2 million included in loans held for investment on the consolidated balance sheets at June 30, 2022. The residual trust certificates held by third-party investors are measured at fair value using a discounted cash flow model, and presented within accrued expenses and other liabilities on the consolidated balance sheets. See Note 14. Fair Value of Financial Assets and Liabilities for additional information on the fair value sensitivity of these asset-backed securities. 2021-A On February 18, 2021, the notes under the 2021-A securitization were issued in five classes: Class A in the amount of $407.2 million, Class B in the amount of $30.3 million, Class C in the amount of $21.0 million, Class D in the amount of $22.5 million, and Class E in the amount of $19.0 million (collectively, the “2021-A notes”). The Class A, Class B, Class C, Class D, and Class E notes bear interest at a fixed rate of 0.88%, 1.06%, 1.66%, 3.49%, and 5.65%, respectively, and each class has a maturity date of August 15, 2025. Principal and interest payments began in March 2021 and are payable monthly. These notes are recorded at amortized cost on the consolidated balance sheet. The associated debt issuance costs totaled $0.3 million as of June 30, 2022. The 2021-A notes held by third-party investors and the unamortized debt issuance costs are included in notes issued by securitization trusts with a balance of $500.0 million on the consolidated balance sheets at June 30, 2022 and are secured by loan receivables at amortized cost of $498.5 million included in loans held for investment on the consolidated balance sheets as of June 30, 2022. 2021-B On August 4, 2021, the notes under the 2021-B securitization were issued in five classes: Class A in the amount of $418.8 million, Class B in the amount of $28.0 million, Class C in the amount of $19.8 million, Class D in the amount of $22.5 million, and Class E in the amount of $11.0 million (collectively, the “2021-B notes”). The Class A, Class B, Class C, Class D, and Class E notes bear interest at a fixed rate of 1.03%, 1.24%, 1.40%, 2.54%, and 4.61%, respectively, and each class has a maturity date of August 17, 2026. Principal and interest payments began in October 2021 and are payable monthly. These notes are recorded at amortized cost on the consolidated balance sheet. The associated debt issuance costs totaled $1.8 million as of June 30, 2022. The 2021-B notes held by third-party investors and the unamortized debt issuance costs are included in notes issued by securitization trusts with a balance of $500.0 million on the consolidated balance sheets at June 30, 2022 and are secured by loan receivables at amortized cost of $511.1 million included in loans held for investment on the consolidated balance sheets as of June 30, 2022. 2022-A On May 4, 2022 the notes under the 2022-A securitization issued in five classes: Class A in the amount of $405.6 million, Class B in the amount of $27.6 million, Class C in the amount of $26.8 million, Class D in the amount of $18.2 million, and Class E in the amount of $21.8 million (collectively, the “2022-A notes”). The Class A, Class B, Class C, Class D, and Class E notes bear interest at a fixed rate of 4.30%, 4.64%, 4.89%, 5.53%, and 8.04%, respectively and each class has a maturity date of May 17, 2027. Principal and interest payments will begin July 2022 and are payable monthly. These notes are recorded at amortized cost on the consolidated balance sheet. The associated debt issuance costs totaled $2.7 million as of June 30, 2022. The 2022-A notes held by third-party investors and the unamortized debt issuance costs are included in notes issued by securitization trusts with a balance of $499.9 million on the consolidated balance sheets at June 30, 2022 and are secured by loan receivables at amortized cost of $519.6 million included in loans held for investment on the consolidated balance sheets as of June 30, 2022. The following tables present the aggregate carrying value of financial assets and liabilities from our involvement with consolidated VIEs.
|  | June 30, 2022
|  | Assets |  | Liabilities |  | Net Assets
Warehouse credit facilities |  | $ | 563,207 |  |  | $ | 534,422 |  |  | $ | 28,785 |
Securitizations |  | 1,679,062 |  |  | 1,632,107 |  |  | 46,955 |
Total consolidated VIEs |  | $ | 2,242,269 |  |  | $ | 2,166,529 |  |  | $ | 75,740 |
|  | June 30, 2021
|  | Assets |  | Liabilities |  | Net Assets
Warehouse credit facilities |  | $ | 688,197 |  |  | $ | 614,882 |  |  | $ | 73,315 |
Securitizations |  | 1,115,427 |  |  | 1,178,545 |  |  | (63,118) |
Total consolidated VIEs |  | $ | 1,803,624 |  |  | $ | 1,793,427 |  |  | $ | 10,197 |
Unconsolidated VIEs As of June 30, 2022, Affirm Asset Securitization Trust 2021-Z1 (“2021-Z1”), Affirm Asset Securitization Trust 2021-Z2 (“2021-Z2”), Affirm Asset Securitization Trust 2022-X1 (“2022-X1”), and Affirm Asset Securitization Trust 2022-Z1 (“2022-Z1”) were unconsolidated VIEs. We did not retain significant economic exposure through our variable interests and therefore we determined that we are not the primary beneficiary as of June 30, 2022. For each securitization, the residual certificates represent the right to receive excess cash on the loans each collection period after all fees and required distributions have been made to the note holders on the related payment date. For 2021-Z1, 2021-Z2, 2022-X1, and 2022-Z1, we retained a 5% vertical interest in each trust, respectively, via our ownership of 5% par amount of each class of notes, and 5% par amount of residual interests. The remaining 95% of notes and residual interests were sold to third-party investors. 2021-Z1 On May 5, 2021, the notes under 2021-Z1 securitization were issued as a single class: Class A in the amount of $320.0 million (the “2021-Z1 notes”). The 2021-Z1 notes bear interest at a fixed rate of 1.07% and have a maturity date of August 15, 2025. Principal and interest payments began in June 2021 and are payable monthly. The 2021-Z1 securitization is secured by a static pool of loans which were contributed at the closing date to the 2021-Z1 trust. The loans contributed at closing were facilitated through our technology platform and purchased from our originating bank partners, with an aggregate outstanding principal balance of $351.0 million. Of the loans sold to the 2021-Z1 trust, we purchased $41.4 million of loan receivables from one of our third-party loan buyers, which were contributed to the trust at closing. At closing, we retained 5% of the 2021-Z1 notes and 86.9% of the residual certificates issued by the 2021-Z1 trust. The third-party loan contributor received 13.1% of the re sidual certificates at closing. On May 17, 2021, we sold a majority of the residual certificates retained at closing, comprising 81.9% of the par value, to five third-party investors. Subsequent to this sale, we retained only a 5% vertical interest in the 2021-Z1 trust via our ownership of 5% par amount of the 2021-Z1 notes and 5% par amount of the residual interests. We were required to retain these interests for compliance with U.S. risk retention rules. We initially consolidated the 2021-Z1 trust at closing due to retaining a majority of the residual interest. However, upon completing the subsequent third-party sale of 81.9% of the residual certificates on May 17, 2021, we determined that we no longer had significant economic exposure through our variable interests and as such, we determined that we were no longer the primary beneficiary as of this date. Upon deconsolidating the 2021-Z1 trust, we recognized a gain of $16.7 million, which is included within gain on sale of loans in our consolidated statements of operations and comprehensive loss. 2021-Z2 On November 10, 2021, the notes under 2021-Z2 securitization were issued as a single class: Class A in the amount of $260.0 million (the “2021-Z2 notes”). The 2021-Z2 notes bear interest at a fixed rate of 1.17% and have a maturity date of November 16, 2026. Principal and interest payments began in January 2022 and are payable monthly. The 2021-Z2 securitization is secured by a static pool of loans which were contributed at the closing date to the 2021-Z2 trust. The loans contributed at closing were facilitated through our technology platform and purchased from our originating bank partners, with an aggregate outstanding principal balance of $287.5 million. Of the loans sold to the 2021-Z2 trust, we purchased $192.5 million of loan receivables from one of our third-party loan buyers, which were contributed to the trust at closing. At closing, we retained only a 5% vertical interest in the 2021-Z2 trust via our ownership of 5% par amount of the 2021-Z2 notes and 5% par amount of the residual interests. We were required to retain these interests for compliance with U.S. risk retention rules. The third-party loan contributor received 95% of the residual certificates at closing. On the closing date of the 2021-Z2 trust, we recognized a gain on sales of loans sold to the trust of $6.1 million, w hich is included within gain on sales of loans in our consolidated statements of operations and comprehensive loss. 2022-X1 On February 9, 2022, the notes under 2022-X1 securitization were issued as a single class: Class A in the amount of $366.5 million (the “2022-X1 notes”). The 2022-X1 notes bear interest at a fixed rate of 1.75% and have a maturity date of February 16, 2027. Principal and interest payments began in April 2022 and are payable monthly. The 2022-X1 securitization is secured by a static pool of loans which were contributed at the closing date to the 2022-X1 trust. The loans contributed at closing were facilitated through our technology platform and originated by us or purchased from our originating bank partners, with an aggregate outstanding principal balance of $406.2 million. Of the loans sold to the 2022-X1 trust, we purchased $258.3 million of loan receivables from two of our third-party loan buyers, which were contributed to the trust at closing. At closing, we retained only a 5% vertical interest in the 2022-X1 trust via our ownership of 5% par amount of the 2022-X1 notes and 5% par amount of the residual interests. We were required to retain these interests for compliance with U.S. risk retention rules. The remaining 95% of the residual certificates were sold to third-party investors at closing. On the closing date of the 2022-X1 trust, we recognized gain on sales of loans sold to the trust of $13.1 million, which is included within gain on sales of loans in our consolidated statements of operations and comprehensive loss. 2022-Z1 On June 22, 2022, the notes under 2022-Z1 securitization were issued in two classes: Class A in the amount of $356.0 million and Class B in the amount of $15.5 million (collectively the “2022-Z1 notes”). The 2022-Z1 notes bear interest at a fixed rate of 4.55% and 6.49%, respectively and each class has a maturity date of June 15, 2027. Principal and interest payments begin in August 2022 and are payable monthly. The 2022-Z1 securitization is secured by a static pool of loans which were contributed at the closing date to the 2022-Z1 trust. The loans contributed at closing were facilitated through our technology platform and originated by us or purchased from our originating bank partners, with an aggregate outstanding principal balance of $420.3 million. Of the loans sold to the 2022-Z1 trust, we purchased $251.7 million of loan receivables from one of our third-party loan buyers, which were contributed to the trust at closing. At closing, we retained only a 5% vertical interest in the 2022-Z1 trust via our ownership of 5% par amount of the 2022-Z1 notes and 5% par amount of the residual interests. We were required to retain these interests for compliance with U.S. risk retention rules. The remaining 95% of the residual certificates were sold to third-party investors at closing. On the closing date of the 2022-Z1 trust, the amount recognized within gain on sale of loans sold to the trust was immaterial, this is included within gain on sales of loans in our consolidated statements of operations and comprehensive loss. The following information pertains to unconsolidated VIEs where we hold a variable interest but are not the primary beneficiary (in thousands):
|  | June 30, 2022
|  | Assets |  | Liabilities |  | Net Assets |  | Maximum Exposure to Losses
Securitizations |  | $ | 996,242 |  |  | $ | 965,909 |  |  | $ | 30,333 |  |  | $ | 51,248 |
Total unconsolidated VIEs |  | $ | 996,242 |  |  | $ | 965,909 |  |  | $ | 30,333 |  |  | $ | 51,248 |
|  | June 30, 2021
|  | Assets |  | Liabilities |  | Net Assets |  | Maximum Exposure to Losses
Securitizations |  | $ | 305,414 |  |  | $ | 304,567 |  |  | $ | 847 |  |  | $ | 16,850 |
Total unconsolidated VIEs |  | $ | 305,414 |  |  | $ | 304,567 |  |  | $ | 847 |  |  | $ | 16,850 |
Assets of unconsolidated VIEs include the carrying value for loans held in the 2021-Z1, 2021-Z2, 2022-X1, and 2022-Z1 trust and cash held in the collection and reserve accounts established for the trust. Liabilities include the outstanding principal balance of the 2021-Z1, 2021-Z2, 2022-X1, and 2022-Z1 n otes. Maximum exposure to losses represents our exposure through our continuing involvement as servicer and through our retained interests. For 2021-Z1, 2021-Z2, 2022-X1 and 2022-Z1, this includes $51.7 million in retained notes and residual certificates disclosed within securities available for sale at fair value in our consolidated balance sheets and $0.4 million related to our servicing liabilities and receivables disclosed within other assets in our consolidated balance sheets as of June 30, 2022. Additionally, we may experience a loss due to future repurchase obligations resulting from breaches in representations and warranties in our securitization and third-party sale agreements. In connection with 2021-Z1, 2021-Z2, 2022-X1 and 2022-Z1, this amount was not material as of June 30, 2022. Retained Beneficial Interests in Unconsolidated VIEs The investors of the securitizations have no direct recourse to the assets of Affirm, and the timing and amount of beneficial interest payments is dependent on the performance of the underlying loan assets held within each trust. We have classified our retained beneficial interests in 2021-Z1, 2021-Z2, 2022-X1, and 2022-Z1 as “available for sale” and as such they are disclosed at fair value in our consolidated balance sheets. See Note 13. Investments and Note 14. Fair Value of Financial Assets and Liabilities for additional information on the fair value sensitivity of the notes receivable and residual certificates. Additionally, as of June 30, 2022, we have pledged the 2021-Z1, 2021-Z2, a nd 2022-X1 ret ained beneficial interests as collateral in connection with a sale and repurchase agreement as described in Note 11. Debt.

X
- References No definition available. + Details
Name: | us-gaap_DebtDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for a variable interest entity (VIE), including but not limited to, judgments and assumptions in determining whether to consolidate and in identifying the primary beneficiary, gain (loss) recognized on the initial consolidation of the VIE, terms of arrangements, amounts and classification of the VIE's assets and liabilities, and the entity's maximum exposure to loss. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -URI https://asc.fasb.org/topic&trid=2197479 + Details
Name: | us-gaap_VariableInterestEntityDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration