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Fair Value of Financial Assets and Liabilities (Tables)

9 Months Ended

Mar. 31, 2023

Fair Value Disclosures [Abstract]

Summary of Assets and Liabilities Fair Value Measured on Recurring Basis

The following tables present information about our assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2023 and June 30, 2022 (in thousands):

						March 31, 2023
						Level 1						Level 2						Level 3						Total
Assets:
Cash and cash equivalents:
Money market funds						$	204,449					$	—					$	—					$	204,449
Commercial paper						—						156,887						—						156,887
Government bonds - U.S.						—						193,175						—						193,175
Securities available for sale:
Certificate of deposit						—						145,528						—						145,528
Corporate bonds						—						292,726						—						292,726
Commercial paper						—						186,143						—						186,143
Agency bonds						—						35,194						—						35,194
Government bonds:
Non-U.S.						—						6,108						—						6,108
U.S.						—						367,081						—						367,081
Securitization notes receivable and residual trust certificates						—						—						25,235						25,235
Other						—						—						1,016						1,016
Servicing assets						—						—						771						771
Derivative instruments						—						49,459						—						49,459
Total assets						$	204,449					$	1,432,301					$	27,022					$	1,663,772
Liabilities:
Servicing liabilities						$	—					$	—					$	3,674					$	3,674
Performance fee liability						—						—						1,697						1,697
Residual trust certificates, held by third-parties						—						—						178						178
Contingent consideration						—						—						14,580						14,580
Profit share liability						—						—						2,190						2,190
Derivative instruments						—						284						—						284
Total liabilities						$	—					$	284					$	22,319					$	22,603

						June 30, 2022
						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
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
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

Schedule of Servicing Assets at Fair Value

The following table summarizes the activity related to the aggregate fair value of our servicing assets (in thousands):

						Three Months Ended March 31,												Nine Months Ended March 31,
						2023						2022						2023						2022
Fair value at beginning of period						$	1,093					$	2,178					$	1,192					$	2,349
Initial transfers of financial assets						—						1,991						433						3,105
Subsequent changes in fair value						(322)						451						(854)						(834)
Fair value at end of period						$	771					$	4,620					$	771					$	4,620

Schedule of Servicing Liabilities at Fair Value

The following table summarizes the activity related to the aggregate fair value of our servicing liabilities (in thousands):

						Three Months Ended March 31,												Nine Months Ended March 31,
						2023						2022						2023						2022
Fair value at beginning of period						$	3,680					$	8,626					$	2,673					$	3,961
Initial transfers of financial assets						1,954						2,940						6,149						13,826
Subsequent changes in fair value						(1,960)						(5,960)						(5,148)						(12,181)
Fair value at end of period						$	3,674					$	5,606					$	3,674					$	5,606

Schedule of Significant Unobservable Inputs for Level 3 Fair Value Measurement

The following tables presents quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of servicing assets and liabilities as of March 31, 2023 and June 30, 2022:

												March 31, 2023
						Unobservable Input						Minimum						Maximum						Weighted Average
Servicing assets						Discount rate						30.00		%				30.00		%				30.00		%
						Adequate compensation (1)						0.75		%				3.00		%				0.97		%
						Gross default rate (2)						1.90		%				10.64		%				3.73		%
Servicing liabilities						Discount rate						30.00		%				30.00		%				30.00		%
						Adequate compensation (1)						0.75		%				3.00		%				2.23		%
						Gross default rate (2)						10.25		%				27.14		%				13.35		%

												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		%
						Gross default rate (2)						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		%
						Gross default rate (2)						9.03		%				24.44		%				13.81		%

(1)Estimated annual cost of servicing a loan as a percentage of unpaid principal balance 

(2)Annualized estimated gross charge-offs as a percentage of unpaid principal balance

The following tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the performance fee liability as of March 31, 2023 and June 30, 2022:

						March 31, 2023
Unobservable Input						Minimum						Maximum						Weighted Average
Discount rate						10.00%						10.00%						10.00%
Refund rate						1.50%						1.50%						1.50%
Default rate						1.78%						3.34%						2.77%

						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%

The following table present 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 March 31, 2023 and June 30, 2022:

						March 31, 2023
Unobservable Input						Minimum						Maximum						Weighted Average
Discount rate						10.00%						15.00%						10.00%
Loss rate						0.75%						1.13%						0.75%
Prepayment rate						4.00%						8.00%						8.00%

						June 30, 2022
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 tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the residual trust certificates as of March 31, 2023 and June 30, 2022:

						March 31, 2023
Unobservable Input						Minimum						Maximum						Weighted Average
Discount rate						4.45%						29.84%						6.96%
Loss rate						1.16%						17.39%						3.58%
Prepayment rate						7.00%						30.30%						19.72%

						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 tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the profit sharing liability as of March 31, 2023 and June 30, 2022:

						March 31, 2023
Unobservable Input						Minimum						Maximum						Weighted Average
Discount rate						30.00%						30.00%						30.00%
Program profitability						0.07%						1.81%						1.30%

						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%

Schedule of Sensitivity Analysis of Fair Value, Servicing Assets and Liabilities

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):

						March 31, 2023						June 30, 2022
Servicing assets
Gross default rate assumption:
Gross default rate increase of 25%						$	—					$	11
Gross default rate increase of 50%						$	(1)					$	22
Adequate compensation assumption:
Adequate compensation increase of 10%						$	(578)					$	—
Adequate compensation increase of 20%						$	(1,156)					$	—
Adequate compensation increase of 25%						$	—					$	(3,513)
Adequate compensation increase of 50%						$	—					$	(7,026)
Discount rate assumption:
Discount rate increase of 25%						$	(26)					$	(57)
Discount rate increase of 50%						$	(51)					$	(109)
Servicing liabilities
Gross default rate assumption:
Gross default rate increase of 25%						$	(14)					$	(10)
Gross default rate increase of 50%						$	(28)					$	(21)
Adequate compensation assumption:
Adequate compensation increase of 10%						$	3,104					$	—
Adequate compensation increase of 20%						$	6,207					$	—
Adequate compensation increase of 25%						$	—					$	6,139
Adequate compensation increase of 50%						$	—					$	12,278
Discount rate assumption:
Discount rate increase of 25%						$	(77)					$	(50)
Discount rate increase of 50%						$	(149)					$	(98)

Summary of Activity for Liabilities With Significant Unobservable Inputs for Fair Value

The following table summarizes the activity related to the fair value of the performance fee liability (in thousands):

						Three Months Ended March 31,												Nine Months Ended March 31,
						2023						2022						2023						2022
Fair value at beginning of period						$	1,876					$	1,530					$	1,710					$	1,290
Purchases of loans						337						432						1,388						1,265
Settlements Paid						(997)						(418)						(1,498)						(418)
Subsequent changes in fair value						481						40						97						(553)
Fair value at end of period						$	1,697					$	1,584					$	1,697					$	1,584

The following table summarizes the activity related to the fair value of the residual trust certificates held by third-parties (in thousands):

						Three Months Ended March 31,												Nine Months Ended March 31,
						2023						2022						2023						2022
Fair value at beginning of period						$	242					$	619					$	377					$	914
Repayments						(71)						(146)						(248)						(549)
Subsequent changes in fair value						7						16						49						124
Fair value at end of period						$	178					$	489					$	178					$	489

The following table summarizes the activity related to the fair value of the notes and residual trust certificates (in thousands):

						Three Months Ended March 31,												Nine Months Ended March 31,
						2023						2022						2023						2022
Fair value at beginning of period						$	32,766					$	25,319					$	51,678					$	16,170
Additions						—						22,067						—						35,762
Cash received (due to payments or sales)						(8,012)						(4,414)						(26,847)						(8,798)
Change in unrealized gain (loss)						374						(402)						(136)						(586)
Accrued interest						249						215						997						285
Reversal of (impairment on) securities available for sale						(143)						(78)						(458)						(126)
Fair value at end of period						$	25,235					$	42,707					$	25,235					$	42,707

The following table summarizes the activity related to the fair value of the PayBright contingent consideration (in thousands):

						Three Months Ended March 31,												Nine Months Ended March 31,
						2023						2022						2023						2022
Fair value at beginning of period						$	12,510					$	253,750					$	23,348					$	153,447
Subsequent changes in fair value						2,109						(136,248)						(7,193)						(28,682)
Effect of foreign currency translation						(39)						1,506						(1,575)						(5,757)
Fair value at end of period						$	14,580					$	119,008					$	14,580					$	119,008

The following table summarizes the activity related to the fair value of the profit share liability (in thousands):

						Three Months Ended March 31,												Nine Months Ended March 31,
						2023						2022						2023						2022
Fair value at beginning of period						$	3,697					$	2,053					$	1,987					$	2,465
Facilitation of loans						1,045						1,098						4,520						4,672
Actual performance						(3,890)						(2,918)						(6,154)						(3,929)
Subsequent changes in fair value						1,338						1,645						1,837						(1,330)
Fair value at end of period						$	2,190					$	1,878					$	2,190					$	1,878

Schedule Sensitivity Analysis of Fair Value, Residual Trust Certificates

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):

						March 31, 2023						June 30, 2022
Discount rate assumption:
Discount rate increase of 25%						$	(288)					$	(1,410)
Discount rate increase of 50%						$	(566)					$	(2,295)
Loss rate assumption:
Loss rate increase of 25%						$	(243)					$	(729)
Loss rate increase of 50%						$	(368)					$	(964)
Prepayment rate assumption:
Prepayment rate decrease of 25%						$	(45)					$	(545)
Prepayment rate decrease of 50%						$	(91)					$	(519)

Fair Value Hierarchy for Financial Assets and Liabilities Not Recorded at Fair Value

The following tables present the fair value hierarchy for financial assets and liabilities not recorded at fair value as of March 31, 2023 and June 30, 2022 (in thousands):

						March 31, 2023
						Carrying Amount						Level 1						Level 2						Level 3						Balance at Fair Value
Assets:
Loans held for sale						$	122					$	—					$	122					$	—					$	122
Loans held for investment, net						3,599,206						—						—						3,816,941						3,816,941
Other assets						9,637						—						9,637						—						9,637
Total assets						$	3,608,965					$	—					$	9,759					$	3,816,941					$	3,826,700
Liabilities:
Convertible senior notes, net (1)						$	1,413,345					$	—					$	923,270					$	—					$	923,270
Notes issued by securitization trusts						1,788,853						—						—						1,743,862						1,743,862
Funding debt (2)						1,527,919						—						—						1,527,869						1,527,869
Total liabilities						$	4,730,117					$	—					$	923,270					$	3,271,731					$	4,195,001

						June 30, 2022
						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 March 31, 2023 and June 30, 2022, debt issuance costs in the amount of $13.8 million and $10.8 million, respectively, was included within funding debt.

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Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of information about fair value of asset and liability not measured at fair value.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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Tabular disclosure of a sensitivity analysis or stress test showing the hypothetical effect on the fair value of the transferor's interests in transferred financial assets (including any servicing assets or servicing liabilities) of two or more unfavorable variations from the expected levels for each key assumption that is reported, independently determined from any change in another key assumption, and a description of the objectives, methodology, and limitations of the sensitivity analysis or stress test.

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Tabular disclosure of the activity in the balance of servicing assets (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (for instance, through purchases of servicing assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value along with a description of those changes, and other changes that affect the balance along with a description of those changes.

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Tabular disclosure of the activity in the balance of servicing liabilities subsequently measured at fair value (including a description of where changes in fair value are reported in the statement of income for each period for which results of operations are presented), including but not limited to, the following: beginning and ending balances, additions (through assumptions of servicing obligations, and servicing obligations that result from transfers of financial assets), disposals, changes in fair value during the period resulting from changes in inputs or assumptions used in the valuation model, other changes in fair value and a description of those changes, and other changes that affect the balance and a description of those changes.

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