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Fair Value of Financial Assets and Liabilities | 12 Months Ended
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Jun. 30, 2022
Fair Value Disclosures [Abstract] |
Fair Value of Financial Assets and Liabilities | Fair Value of Financial Assets and Liabilities Financial Assets and Liabilities Recorded at Fair Value The following tables present information about our assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2022 (in thousands):
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Cash and cash equivalents: |  |  |  |  |  |  |  |
Money market funds |  | $ | 162,483 |  |  | $ | — |  |  | $ | — |  |  | $ | 162,483 |
Certificates of deposit |  | — |  |  | 16,026 |  |  | — |  |  | 16,026 |
Commercial paper |  | — |  |  | 229,272 |  |  | — |  |  | 229,272 |
Government bonds - U.S. |  | — |  |  | 58,541 |  |  | — |  |  | 58,541 |
Restricted cash: |  |  |  |  |  |  |  |
Securities available for sale: |  |  |  |  |  |  |  |
Certificate of deposit |  | — |  |  | 300,390 |  |  | — |  |  | 300,390 |
Corporate bonds |  | — |  |  | 368,671 |  |  | — |  |  | 368,671 |
Commercial paper |  | — |  |  | 478,293 |  |  | — |  |  | 478,293 |
Government bonds: |  |  |  |  |  |  |  |
Non-U.S. |  | — |  |  | 17,955 |  |  | — |  |  | 17,955 |
U.S. |  | — |  |  | 378,386 |  |  | — |  |  | 378,386 |
Securitization notes receivable and residual trust certificates |  | — |  |  | — |  |  | 51,678 |  |  | 51,678 |
Total securities available for sale |  | — |  |  | 1,543,695 |  |  | 51,678 |  |  | 1,595,373 |
Servicing assets |  | — |  |  | — |  |  | 1,192 |  |  | 1,192 |
Derivative instruments |  | — |  |  | 49,983 |  |  | — |  |  | 49,983 |
Total assets |  | $ | 162,483 |  |  | $ | 1,897,517 |  |  | $ | 52,870 |  |  | $ | 2,112,870 |
Liabilities: |  |  |  |  |  |  |  |
Servicing liabilities |  | $ | — |  |  | $ | — |  |  | $ | 2,673 |  |  | $ | 2,673 |
Performance fee liability |  | — |  |  | — |  |  | 1,710 |  |  | 1,710 |
Residual trust certificates, held by third-parties |  | — |  |  | — |  |  | 377 |  |  | 377 |
Contingent consideration |  | — |  |  | — |  |  | 23,348 |  |  | 23,348 |
Profit share liability |  | — |  |  | — |  |  | 1,987 |  |  | 1,987 |
Total liabilities |  | $ | — |  |  | $ | — |  |  | $ | 30,095 |  |  | $ | 30,095 |
The following tables present information about our assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2021 (in thousands):
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |
Cash and cash equivalents: |  |  |  |  |  |  |  |
Money market funds |  | $ | 143,241 |  |  | $ | — |  |  | $ | — |  |  | $ | 143,241 |
Restricted cash: |  |  |  |  |  |  |  |
Securitization notes receivable and residual trust certificates |  | — |  |  | — |  |  | 16,170 |  |  | 16,170 |
Servicing assets |  | — |  |  | — |  |  | 2,349 |  |  | 2,349 |
Derivative instruments |  | — |  |  | 2,880 |  |  | — |  |  | 2,880 |
Total assets |  | $ | 143,241 |  |  | $ | 2,880 |  |  | $ | 18,519 |  |  | $ | 164,640 |
Liabilities: |  |  |  |  |  |  |  |
Servicing liabilities |  | $ | — |  |  | $ | — |  |  | $ | 3,961 |  |  | $ | 3,961 |
Performance fee liability |  | — |  |  | — |  |  | 1,290 |  |  | 1,290 |
Residual trust certificates, held by third-parties |  | — |  |  | — |  |  | 914 |  |  | 914 |
Contingent consideration |  | — |  |  | — |  |  | 153,447 |  |  | 153,447 |
Profit share liability |  | — |  |  | — |  |  | 2,464 |  |  | 2,464 |
Total liabilities |  | $ | — |  |  | $ | — |  |  | $ | 162,076 |  |  | $ | 162,076 |
There were no transfers between levels during the periods ended June 30, 2022 and June 30, 2021. Assets and Liabilities Measured at Fair Value on a Recurring Basis (Level 2) Securities Available for Sale As of June 30, 2022, we held marketable securities classified as available for sale. Management obtains pricing from one or more third-party pricing services for the purpose of determining fair value. Whenever available, the fair value is based on quoted bid prices as of the end of the trading day. When quoted prices are not available, other methods may be utilized including evaluated prices provided by third-party pricing services. Derivative Instruments Our primary objective in holding derivatives is to reduce the volatility in cash flows associated with our funding activities, arising from changes in interest rates. We do not employ derivatives for trading or speculative purposes. As of June 30, 2022 and June 30, 2021, we used a combination of interest rate cap agreements and interest rate swaps to manage interest costs and the risk associated with variable interest rates. Neither the interest rate caps or the interest rate swaps have been designated as hedging instruments. As of June 30, 2022 and June 30, 2021, the interest rate caps and interest rate swaps are in a net asset position, and classified as Level 2 within the fair value hierarchy, based on prices quoted for similar financial instruments in markets that are not active. The fair values are presented gross within other assets and offsetting collateral received by the counterparty is presented as a liability within accrued expenses and other liabilities on the consolidated balance sheets. Any changes in the fair value of these financial instruments are reflected in other (expense) income, net, on the consolidated statements of operations and comprehensive loss. Assets and Liabilities Measured at Fair Value on a Recurring Basis using Significant Unobservable Inputs (Level 3) We evaluate our financial assets and liabilities subject to fair value measurements on a recurring basis to determine the appropriate level at which to classify them each reporting period. Since our servicing assets and liabilities, performance fee liability, securitization notes and residual trust certificates, contingent consideration, and profit share liability do not trade in an active market with readily observable prices, we use significant unobservable inputs to measure fair value. This determination requires significant judgments to be made. Servicing Assets and Liabilities We sold loans with an unpaid balance of $7,149.0 million, $3,232.9 million, and $2,664.4 million for the years ended June 30, 2022, 2021, and 2020, respectively, for which we retained servicing rights. As of June 30, 2022 and June 30, 2021, we serviced loans which we sold with a remaining unpaid principal balance of $4,504.5 million and $2,453.9 million, respectively. We use discounted cash flow models to arrive at an estimate of fair value. Significant assumptions used in the valuation of our servicing rights are as follows: Adequate Compensation We estimate adequate compensation as the rate a willing market participant would require for servicing loans with similar characteristics as those in the serviced portfolio. Discount Rate Estimated future payments to be received under servicing agreements are discounted as a part of determining the fair value of the servicing rights. For servicing rights on loans, the discount rate reflects the time value of money and a risk premium intended to reflect the amount of compensation market participants would require. Net Default Rate We estimate the timing and probability of early loan payoffs, loan defaults and write-offs, thus affecting the projected unpaid principal balance and expected term of the loan, which are used to project future servicing revenue and expenses. We earned $65.8 million, $24.7 million, and $14.8 million of servicing income for the year ended June 30, 2022, 2021, and 2020, respectively. As of June 30, 2022 and June 30, 2021, the aggregate fair value of the servicing assets was measured at $1.2 million and $2.3 million, respectively, and presented within other assets on the consolidated balance sheets. As of June 30, 2022 and June 30, 2021, the aggregate fair value of the servicing liabilities was measured at $2.7 million and $4.0 million, respectively, and presented within accrued expenses and other liabilities on the consolidated balance sheets. The following table summarizes the activity related to the aggregate fair value of our servicing assets during the years ended June 30, 2022 and June 30, 2021 (in thousands):
|  | Servicing Assets
|  | Year ended June 30,
|  | 2022 |  | 2021
Fair value at beginning of period |  | $ | 2,349 |  |  | $ | 2,132 |
Initial transfers of financial assets |  | 2,899 |  |  | 2,915 |
Subsequent changes in fair value |  | (4,056) |  |  | (2,698) |
Fair value at end of period |  | $ | 1,192 |  |  | $ | 2,349 |
The following table summarizes the activity related to the aggregate fair value of our servicing liabilities during the years ended June 30, 2022 and June 30, 2021 (in thousands):
|  | Servicing Liabilities
|  | Year ended June 30,
|  | 2022 |  | 2021
Fair value at beginning of period |  | $ | 3,961 |  |  | $ | 1,540 |
Initial transfers of financial assets |  | 15,617 |  |  | 8,794 |
Subsequent changes in fair value |  | (16,905) |  |  | (6,373) |
Fair value at end of period |  | $ | 2,673 |  |  | $ | 3,961 |
The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of servicing assets and liabilities as of June 30, 2022:
|  | Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Servicing assets |  | Discount rate |  | 30.00 | % |  | 30.00 | % |  | 30.00 | %
|  | Adequate compensation (1) |  | 0.78 | % |  | 1.85 | % |  | 1.10 | %
|  | Net default rate |  | 0.59 | % |  | 50.59 | % |  | 1.59 | %
Servicing liabilities |  | Discount rate |  | 30.00 | % |  | 30.00 | % |  | 30.00 | %
|  | Adequate compensation (1) |  | 2.13 | % |  | 2.34 | % |  | 2.21 | %
|  | Net default rate |  | 9.03 | % |  | 24.44 | % |  | 13.81 | %
(1)Estimated cost of servicing a loan as a percentage of unpaid principal balance The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of servicing assets and liabilities as of June 30, 2021:
|  | Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Servicing assets |  | Discount rate |  | 30.00 | % |  | 30.00 | % |  | 30.00 | %
|  | Adequate compensation(1) |  | 0.70 | % |  | 0.84 | % |  | 0.81 | %
|  | Net default rate |  | 0.53 | % |  | 0.95 | % |  | 0.64 | %
Servicing liabilities |  | Discount rate |  | 30.00 | % |  | 30.00 | % |  | 30.00 | %
|  | Adequate compensation(1) |  | 1.29 | % |  | 3.70 | % |  | 2.71 | %
|  | Net default rate |  | 0.80 | % |  | 8.42 | % |  | 7.12 | %
(1)Estimated cost of servicing a loan as a percentage of unpaid principal balance The following table summarizes the effect that adverse changes in estimates would have on the fair value of the servicing assets and liabilities given hypothetical changes in significant unobservable inputs (in thousands):
|  | June 30, 2022 |  | June 30, 2021
Servicing assets |  |  |  |
Net default rate assumption: |  |  |  |
Net default rate increase of 25% |  | $ | 11 |  |  | $ | (7) |
Net default rate increase of 50% |  | $ | 22 |  |  | $ | (15) |
Adequate compensation assumption: |  |  |  |
Adequate compensation increase of 25% |  | $ | (3,513) |  |  | $ | (2,006) |
Adequate compensation increase of 50% |  | $ | (7,026) |  |  | $ | (4,011) |
Discount rate assumption: |  |  |  |
Discount rate increase of 25% |  | $ | (57) |  |  | $ | (4) |
Discount rate increase of 50% |  | $ | (109) |  |  | $ | (1) |
Servicing liabilities |  |  |  |
Net default rate assumption: |  |  |  |
Net default rate increase of 25% |  | $ | (10) |  |  | $ | (40) |
Net default rate increase of 50% |  | $ | (21) |  |  | $ | (61) |
Adequate compensation assumption: |  |  |  |
Adequate compensation increase of 25% |  | $ | 6,139 |  |  | $ | 3,060 |
Adequate compensation increase of 50% |  | $ | 12,278 |  |  | $ | 6,119 |
Discount rate assumption: |  |  |  |
Discount rate increase of 25% |  | $ | (50) |  |  | $ | (137) |
Discount rate increase of 50% |  | $ | (98) |  |  | $ | (263) |
Performance Fee Liability In accordance with our agreements with our originating bank partners, we pay a fee for each loan that is fully repaid by the consumer, due at the end of the period in which the loan is fully repaid. We recognize a liability upon the purchase of a loan for the expected future payment of the performance fee. This liability is measured using a discounted cash flow model and recorded at fair value and presented within accrued expenses and other liabilities on the consolidated balance sheets. Any changes in the fair value of the liability are reflected in other (expense) income, net, on the consolidated statements of operations and comprehensive loss. The following table summarizes the activity related to the fair value of the performance fee liability during the years ended June 30, 2022 and June 30, 2021 (in thousands):
|  | Performance Fee Liability
|  | Year ended June 30,
|  | 2022 |  | 2021
Fair value at beginning of period |  | $ | 1,290 |  |  | $ | 875 |
Purchases of loans |  | 1,764 |  |  | 1,372 |
Settlements Paid |  | (418) |  |  | — |
Subsequent changes in fair value |  | (926) |  |  | (957) |
Fair value at end of period |  | $ | 1,710 |  |  | $ | 1,290 |
Significant unobservable inputs used for our Level 3 fair value measurement of the performance fee liability are the discount rate, refund rate, and default rate. Significant increases or decreases in any of the inputs in isolation could result in a significantly lower or higher fair value measurement. The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the performance fee liability as of June 30, 2022:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 10.00% |  | 10.00% |  | 10.00%
Refund rate |  | 4.50% |  | 4.50% |  | 4.50%
Default rate |  | 1.78% |  | 3.10% |  | 2.42%
Level 3 fair value measurement of the performance fee liability as of June 30, 2021:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 10.00% |  | 10.00% |  | 10.00%
Refund rate |  | 4.50% |  | 4.50% |  | 4.50%
Default rate |  | 1.78% |  | 2.83% |  | 1.80%
Residual Trust Certificates Held by Third-Parties in Consolidated VIEs Refer to Note 12. Securitization and Variable Interest Entities for a description of the 2020-Z2 securitization trust. Residual trust certificates held by third-party investor(s) are measured at fair value, using a discounted cash flow model, and presented within accrued expenses and other liabilities on the consolidated balance sheets. Any changes in the fair value of the liability are reflected in other (expense) income, net, on the consolidated statements of operations and comprehensive loss. The following table summarizes the activity related to the fair value of the residual trust certificates held by third-parties during the years ended June 30, 2022 and June 30, 2021 (in thousands):
|  | Year ended June 30,
|  | 2022 |  | 2021
Fair value at beginning of period |  | $ | 914 |  |  | $ | — |
Initial transfer of financial assets |  | — |  |  | 1,622 |
Repayments |  | (908) |  |  | (508) |
Subsequent changes in fair value |  | 371 |  |  | (200) |
Fair value at end of period |  | $ | 377 |  |  | $ | 914 |
Significant unobservable inputs used for our Level 3 fair value measurement of the residual trust certificates held by third-parties are the discount rate, loss rate, and prepayment rate. Significant increases or decreases in any of the inputs in isolation could result in a significantly lower or higher fair value measurement. The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the residual trust certificates held by third-parties as of June 30, 2022 and June 30, 2021:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 10.00% |  | 10.00% |  | 10.00%
Loss rate |  | 0.75% |  | 0.75% |  | 0.75%
Prepayment rate |  | 8.00% |  | 8.00% |  | 8.00%
The following table summarizes the effect that adverse changes in estimates would have on the fair value of the securitization residual certificates held by third-party investor(s) given hypothetical changes in significant unobservable inputs (in thousands):
|  | June 30, 2022 |  | June 30, 2021
Discount rate assumption: |  |  |  |
Discount rate increase of 25% |  | $ | (6) |  |  | $ | (21) |
Discount rate increase of 50% |  | $ | (11) |  |  | $ | (42) |
Loss rate assumption: |  |  |  |
Loss rate increase of 25% |  | $ | (8) |  |  | $ | (28) |
Loss rate increase of 50% |  | $ | (16) |  |  | $ | (56) |
Prepayment rate assumption: |  |  |  |
Prepayment rate decrease of 25% |  | $ | (2) |  |  | $ | (10) |
Prepayment rate decrease of 50% |  | $ | (3) |  |  | $ | (20) |
Retained Beneficial Interests in Unconsolidated VIEs As of June 30, 2022, the Company held notes receivable and residual trust certificates with an aggregate fair value of $51.7 million in connection with th e 2021-Z1, 2021-Z2, 2022-X1, and 2022-Z1 securitizations, which are unconsolidated securitizations. The balances correspond to the 5% economic risk retention the Company is required to maintain as the securitization sponsor. Refer to Note 12. Securitization and Variable Interest Entities for a further description of the 2021-Z1, 2021-Z2, 2022-X1and 2022-Z1 securitization trusts. These assets are measured at fair value using a discounted cash flow model, and presented within securities available for sale at fair value on the consolidated balance sheets. Changes in the fair value, other than declines in fair value due to credit recognized as an allowance, are reflected in other comprehensive income (loss) on the consolidated statements of operations and comprehensive loss. Declines in fair value due to credit are reflected in other (expense) income, net on the consolidated statements of operations and comprehensive loss. The following table summarizes the activity related to the fair value of the notes receivable and residual trust certificates during the years ended June 30, 2022 and June 30, 2021 (in thousands):
|  | Year ended June 30,
|  | 2022 |  | 2021
Fair value at beginning of period |  | $ | 16,170 |  |  | $ | — |
Additions |  | 54,998 |  |  | 16,144 |
Cash received (due to payments or sales) |  | (19,559) |  |  | — |
Change in unrealized gain (loss) |  | (509) |  |  | 29 |
Accrued interest |  | 595 |  |  | — |
Reversal of (impairment on) securities available for sale |  | (17) |  |  | (3) |
Fair value at end of period |  | $ | 51,678 |  |  | $ | 16,170 |
Significant unobservable inputs used for our Level 3 fair value measurement of the notes and residual trust certificates are the discount rate, loss rate, and prepayment rate. Significant increases or decreases in any of the inputs in isolation could result in a significantly lower or higher fair value measurement. The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the residual trust certificates as of June 30, 2022:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 3.68% |  | 22.50% |  | 5.37%
Loss rate |  | 0.61% |  | 10.95% |  | 2.65%
Prepayment rate |  | 5.25% |  | 35.00% |  | 18.48%
The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the residual trust certificates as of June 30, 2021:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 11.46% |  | 11.46% |  | 11.46%
Loss rate |  | 0.61% |  | 0.61% |  | 0.61%
Prepayment rate |  | 10.50% |  | 10.50% |  | 10.50%
The following table summarizes the effect that adverse changes in estimates would have on the fair value of the securitization residual trust certificates given hypothetical changes in significant unobservable inputs (in thousands):
|  | Year ended June 30,
|  | 2022 |  | 2021
Discount rate assumption: |  |  |  |
Discount rate increase of 25% |  | $ | (1,410) |  |  | $ | (22) |
Discount rate increase of 50% |  | $ | (2,295) |  |  | $ | (44) |
Loss rate assumption: |  |  |  |
Loss rate increase of 25% |  | $ | (729) |  |  | $ | (24) |
Loss rate increase of 50% |  | $ | (964) |  |  | $ | (48) |
Prepayment rate assumption: |  |  |  |
Prepayment rate decrease of 25% |  | $ | (545) |  |  | $ | (13) |
Prepayment rate decrease of 50% |  | $ | (519) |  |  | $ | (27) |
Contingent Consideration Our acquisition of PayBright included consideration transferred and shares held in escrow, contingent upon the achievement of future milestones. We classified the contingent consideration as a liability. The acquisition date fair value of the contingent consideration liability was estimated using a Monte Carlo simulation in which the fair value is equal to the estimated number of shares to be released from escrow, which are determined based on simulated revenue, multiplied by the simulated share price, discounted at the risk-free rate. The liability is remeasured to its fair value at each reporting date, utilizing a Monte Carlo simulation for periods in which actual revenues are unknown, until the contingency is resolved. During the year ended June 30, 2022 one of these milestones was achieved and a portion of the shares were released from escrow, resulting in a reduction to the contingent liability. The change in fair value of the contingent consideration at each reporting date is recognized as a component of other (expense) income, net in the consolidated statements of operations and comprehensive loss for the respective period. The following table summarizes the activity related to the fair value of the PayBright contingent consideration during the years ended June 30, 2022 and June 30, 2021 (in thousands):
|  | Year ended June 30,
|  | 2022 |  | 2021
Fair value at beginning of period |  | $ | 153,447 |  |  | $ | — |
Subsequent changes in fair value |  | (89,313) |  |  | 150,135 |
Fair value of shares released from escrow |  | (32,110) |  |  | — |
Effect of foreign currency translation |  | (8,676) |  |  | 3,312 |
Fair value at end of period |  | $ | 23,348 |  |  | $ | 153,447 |
Significant unobservable inputs used for our Level 3 fair value measurement of the PayBright contingent consideration are the discount rate, equity volatility, and revenue volatility. Significant increases or decreases in any of the inputs in isolation could result in a significantly lower or higher fair value measurement. The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the contingent consideration as of June 30, 2022:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 15.00% |  | 15.00% |  | 15.00%
Equity volatility |  | 36.00% |  | 139.00% |  | 116.00%
Revenue volatility |  | 11.00% |  | 144.00% |  | 34.00%
Level 3 fair value measurement of the contingent consideration as of June 30, 2021:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 12.00% |  | 12.00% |  | 12.00%
Equity volatility |  | 37.00% |  | 97.00% |  | 62.00%
Revenue volatility |  | 8.00% |  | 98.00% |  | 37.00%
The Kite acquisition included $9.0 million of cash held in escrow, the release of which is determined based on employee retention. The acquisition date fair value of the contingent consideration of $1.2 million was estimated using a probability-weighted approach in which the likelihoods of potential employee retention outcomes were applied to the respective payout amounts and discounted to present value. The contingent consideration asset is remeasured to fair value at each reporting date based on the remaining amount held in escrow, passage of time, and any changes in expectations regarding employee retention outcomes until the contingency is resolved. The change in fair value of the contingent consideration asset at each reporting date is recognized as a component of other (expense) income, net in the consolidated statements of operations and comprehensive loss for the respective period. During the year ended June 30, 2022, the contingency was resolved and the fair value of the contingent consideration asset was reduced to zero. For the years ended June 30, 2022 and 2021, respectively, the change in fair value of the contingent consideration asset was not material. Profit Share Liability During the fiscal year ended June 30, 2021, we entered into a commercial agreement with an enterprise partner, in which we are obligated to share in the profitability of transactions facilitated by our platform. Upon capture of a loan under this program, we record a liability associated with the estimated future profit to be shared over the life of the loan based on estimated program profitability levels. This liability is measured using a discounted cash flow model and recorded at fair value and presented within accrued expenses and other liabilities on the consolidated balance sheets. The following table summarizes the activity related to the fair value of the profit share liability during the years ended June 30, 2022 and June 30, 2021 (in thousands):
|  | Year ended June 30,
|  | 2022 |  | 2021
Fair value at beginning of period |  | $ | 2,464 |  |  | $ | — |
Facilitation of loans |  | 5,955 |  |  | 4,206 |
Actual performance |  | (7,642) |  |  | (1,661) |
Subsequent changes in fair value |  | 1,210 |  |  | (81) |
Fair value at end of period |  | $ | 1,987 |  |  | $ | 2,464 |
Significant unobservable inputs used for our Level 3 fair value measurement of the profit share liability are the discount rate and estimated program profitability. Significant increases or decreases in any of the inputs in isolation could result in a significantly lower or higher fair value measurement. The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the profit sharing liability as of June 30, 2022:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 30.00% |  | 30.00% |  | 30.00%
Program profitability |  | 1.25% |  | 3.54% |  | 1.28%
The following table presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the profit sharing liability as of June 30, 2021:
Unobservable Input |  | Minimum |  | Maximum |  | Weighted Average
Discount rate |  | 30.00% |  | 30.00% |  | 30.00%
Program profitability |  | 1.79% |  | 3.75% |  | 3.75%
Financial Assets and Liabilities Not Recorded at Fair Value The following table presents the fair value hierarchy for financial assets and liabilities not recorded at fair value as of June 30, 2022 (in thousands):
|  | Carrying Amount |  | Level 1 |  | Level 2 |  | Level 3 |  | Balance at Fair Value
Assets: |  |  |  |  |  |  |  |  |  |
Loans held for sale |  | $ | 2,670 |  |  | $ | — |  |  | $ | 2,670 |  |  | $ | — |  |  | $ | 2,670 |
Loans held for investment, net |  | 2,348,169 |  |  | — |  |  | — |  |  | 2,412,871 |  |  | 2,412,871 |
Other assets |  | 12,661 |  |  | — |  |  | 12,661 |  |  | — |  |  | 12,661 |
Total assets |  | $ | 2,363,500 |  |  | $ | — |  |  | $ | 15,331 |  |  | $ | 2,412,871 |  |  | $ | 2,428,202 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Convertible senior notes, net (1) |  | $ | 1,706,668 |  |  | $ | — |  |  | $ | 984,285 |  |  | $ | — |  |  | $ | 984,285 |
Notes issued by securitization trusts |  | 1,627,580 |  |  | — |  |  | — |  |  | 1,529,401 |  |  | 1,529,401 |
Funding debt(2) |  | 683,395 |  |  | — |  |  | — |  |  | 683,388 |  |  | 683,388 |
Total liabilities |  | $ | 4,017,643 |  |  | $ | — |  |  | $ | 984,285 |  |  | $ | 2,212,789 |  |  | $ | 3,197,074 |
(1)The estimated fair value of the convertible senior notes is determined based on a market approach, using the estimated or actual bids and offers of the notes in an over-the-counter market on the last business day of the period. (2)As of June 30, 2022, debt issuance costs in the amount of $10.8 million, was included within funding debt. The following table presents the fair value hierarchy for financial assets and liabilities not recorded at fair value as of June 30, 2021 (in thousands):
|  | Carrying Amount |  | Level 1 |  | Level 2 |  | Level 3 |  | Balance at Fair Value
Assets: |  |  |  |  |  |  |  |  |  |
Loans held for sale |  | $ | 13,030 |  |  | $ | — |  |  | $ | 13,030 |  |  | $ | — |  |  | $ | 13,030 |
Loans held for investment, net |  | 1,904,560 |  |  | — |  |  | — |  |  | 1,883,364 |  |  | 1,883,364 |
Accounts receivable, net |  | 91,575 |  |  | — |  |  | 91,575 |  |  | — |  |  | 91,575 |
Other assets |  | 171,250 |  |  | — |  |  | 171,250 |  |  | — |  |  | 171,250 |
Total assets |  | $ | 2,180,415 |  |  | $ | — |  |  | $ | 275,855 |  |  | $ | 1,883,364 |  |  | $ | 2,159,219 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Accounts payable |  | $ | 57,758 |  |  | $ | — |  |  | $ | 57,758 |  |  | $ | — |  |  | $ | 57,758 |
Payable to third-party loan owners |  | 50,079 |  |  | — |  |  | 50,079 |  |  | — |  |  | 50,079 |
Accrued interest payable |  | 2,751 |  |  | — |  |  | 2,751 |  |  | — |  |  | 2,751 |
Accrued expenses and other liabilities |  | 161,502 |  |  | — |  |  | 159,387 |  |  | 2,115 |  |  | 161,502 |
Notes issued by securitization trusts |  | 1,176,673 |  |  | — |  |  | — |  |  | 1,184,663 |  |  | 1,184,663 |
Funding debt |  | 689,356 |  |  | — |  |  | — |  |  | 689,356 |  |  | 689,356 |
Total liabilities |  | $ | 2,138,119 |  |  | $ | — |  |  | $ | 269,975 |  |  | $ | 1,876,134 |  |  | $ | 2,146,109 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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