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Fair Value Measurement (Tables) | 3 Months Ended
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Mar. 31, 2021
Fair Value Disclosures [Abstract] |
Assets And Liabilities Measure At Fair Value | The following table presents assets and liabilities measured at fair value and categorized as Level 3 in the fair value hierarchy:
|  | December 31, |  | March 31,
|  | 2020 |  | 2021
Assets |  |  |  |
Loans |  | $ | 78,460 |  |  | $ | 57,189 |
Notes receivable and residual certificates |  | 19,074 |  |  | 16,033 |
Loan servicing assets |  | 6,831 |  |  | 8,734 |
Total assets |  | $ | 104,365 |  |  | $ | 81,956 |
Liabilities |  |  |  |
Loan servicing liabilities |  | $ | 8,254 |  |  | $ | 10,853 |
Trailing fee liabilities |  | 1,276 |  |  | 1,775 |
Total liabilities |  | $ | 9,530 |  |  | $ | 12,628 |
Fair Value Of Classes of Loans Held | The following table presents the fair value of classes of loans held by the Company:
| December 31, |  | March 31,
| 2020 |  | 2021
Loans held-for-sale | $ | 60,232 |  |  | $ | 28,794 |
Loans held-for-investment | 18,228 |  |  | 28,395 |
Total | $ | 78,460 |  |  | $ | 57,189 |
Significant Unobservable Inputs | The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements for loans held-for-investment and held-for-sale:
| December 31, 2020 |  | March 31, 2021
| Minimum |  | Maximum |  | Weighted-Average (2) |  | Minimum |  | Maximum |  | Weighted-Average (2)
Discount rate | 6.80 | % |  | 16.99 | % |  | 7.44 | % |  | 3.52 | % |  | 16.60 | % |  | 6.74 | %
Credit risk rate (1) | 0.36 | % |  | 52.31 | % |  | 19.82 | % |  | 0.21 | % |  | 52.31 | % |  | 23.09 | %
Prepayment rate (1) | 11.64 | % |  | 78.36 | % |  | 31.03 | % |  | 12.69 | % |  | 78.53 | % |  | 33.68 | %
(1)Expressed as a percentage of the original principal balance of the loans (2)Unobservable inputs were weighted by relative fair value The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements of assets related to securitization transactions:
| December 31, 2020 |  | March 31, 2021
| Minimum |  | Maximum |  | Weighted-Average (2) |  | Minimum |  | Maximum |  | Weighted-Average (2)
Notes receivable and residual certificates |  |  |  |  |  |  |  |  |  |  |
Discount rate | 3.01 | % |  | 14.00 | % |  | 5.84 | % |  | 3.01 | % |  | 14.00 | % |  | 5.83 | %
Credit risk rate (1) | 0.04 | % |  | 50.69 | % |  | 17.12 | % |  | 0.04 | % |  | 50.69 | % |  | 17.40 | %
Prepayment rate (1) | 15.60 | % |  | 36.88 | % |  | 27.63 | % |  | 15.60 | % |  | 36.88 | % |  | 27.67 | %
(1)Expressed as a percentage of the original principal balance of the loans underlying the financial instruments (2)Unobservable inputs were weighted by relative fair value
Sensitivity Analysis of Fair Value | The below table presents the sensitivity of the loans held-for-sale and held-for-investment to adverse changes in key assumptions used in the valuation model as of December 31, 2020 and March 31, 2021, respectively. The estimated fair value of these loans is not sensitive to adverse changes in expected prepayment rates as such changes would not result in a significant impact on the fair value in either periods.
| December 31, |  | March 31,
| 2020 |  | 2021
Fair value of loans | $ | 78,460 |  |  | $ | 57,189 |
Discount rates |  |  |
100 basis point increase | (979) |  |  | (714) |
200 basis point increase | (1,939) |  |  | (1,415) |
Expected credit loss rates on underlying loans |  |  |
10% adverse change | (1,303) |  |  | (1,087) |
20% adverse change | (2,611) |  |  | (2,126) |
Rollforward Of Level 3 Assets | The following tables include a rollforward of the loans classified within Level 3 of the fair value hierarchy:
| Loans Held-for- Sale |  | Loans Held-for-Investment |  | Loans Held-for- Investment (Securitized) |  | Total
Fair value at December 31, 2019 | $ | — |  |  | $ | 141,555 |  |  | $ | 90,750 |  |  | $ | 232,305 |
Reclassification of loans from HFI to HFS | 125,297 |  |  | (125,297) |  |  | — |  |  | — |
Purchases of loans | 97,924 |  |  | 2,755 |  |  | — |  |  | 100,679 |
Sale of loans | (94,949) |  |  | — |  |  | — |  |  | (94,949) |
Purchase of loans for immediate resale to investors | 848,540 |  |  | — |  |  | — |  |  | 848,540 |
Immediate resale to investors | (848,540) |  |  | — |  |  | — |  |  | (848,540) |
Repayments received | (6,446) |  |  | (1,311) |  |  | (15,273) |  |  | (23,030) |
Changes in fair value recorded in earnings | (5,281) |  |  | (1,019) |  |  | (8,143) |  |  | (14,443) |
Other changes | (34) |  |  | 75 |  |  | (2) |  |  | 39 |
Fair value at March 31, 2020 | $ | 116,511 |  |  | $ | 16,758 |  |  | $ | 67,332 |  |  | $ | 200,601 |
| Loans Held-for- Sale |  | Loans Held-for-Investment |  | Loans Held-for- Investment (Securitized) |  | Total
Fair value at December 31, 2020 | $ | 60,232 |  |  | $ | 18,228 |  |  | $ | — |  |  | $ | 78,460 |
Reclassification of loans from HFI to HFS | (26) |  |  | 26 |  |  | — |  |  | — |
Purchases of loans | 18,240 |  |  | 12,947 |  |  | — |  |  | 31,187 |
Sale of loans | (46,469) |  |  | — |  |  | — |  |  | (46,469) |
Purchase of loans for immediate resale to investors | 1,294,634 |  |  | — |  |  | — |  |  | 1,294,634 |
Immediate resale to investors | (1,294,634) |  |  | — |  |  | — |  |  | (1,294,634) |
Repayments received | (3,310) |  |  | (2,329) |  |  | — |  |  | (5,639) |
Changes in fair value recorded in earnings | 357 |  |  | (558) |  |  | — |  |  | (201) |
Other changes | (230) |  |  | 81 |  |  | — |  |  | (149) |
Fair value at March 31, 2021 | $ | 28,794 |  |  | $ | 28,395 |  |  | $ | — |  |  | $ | 57,189 |
The following tables include a rollforward of the notes receivable and residual certificates related to securitization transactions classified by the Company within Level 3 of the fair value hierarchy:
| Notes Receivable and Residual Certificates |  |
Fair value at December 31, 2019 | $ | 34,116 |  |  |
Purchases and issuances of securitization notes and residual certificates | 4 |  |  |
Repayments and settlements | (4,028) |  |  |
Changes in fair value recorded in earnings | (3,196) |  |  |
Fair value at March 31, 2020 | $ | 26,896 |  |  |
| Notes Receivable and Residual Certificates |  |
Fair value at December 31, 2020 | $ | 19,074 |  |  |
Repayments and settlements | (3,119) |  |  |
Changes in fair value recorded in earnings | 78 |  |  |
Fair value at March 31, 2021 | $ | 16,033 |  |  |
Level 3 Fair Value Assumptions for Loan Servicing Assets and Liabilities | The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements for loan servicing assets and liabilities:
| December 31, 2020 |  | March 31, 2021
| Minimum |  | Maximum |  | Weighted-Average (2) |  | Minimum |  | Maximum |  | Weighted-Average (2)
Discount rate | 15.00 | % |  | 35.00 | % |  | 22.69 | % |  | 15.00 | % |  | 35.00 | % |  | 22.88 | %
Credit risk rate (1) | 0.03 | % |  | 52.78 | % |  | 17.19 | % |  | 0.03 | % |  | 52.78 | % |  | 17.73 | %
Market-servicing rate (3)(4) | 0.75 | % |  | 0.75 | % |  | 0.75 | % |  | 0.75 | % |  | 0.75 | % |  | 0.75 | %
Prepayment rate (1) | 9.07 | % |  | 89.01 | % |  | 31.62 | % |  | 8.61 | % |  | 88.79 | % |  | 32.43 | %
(1)Expressed as a percentage of the original principal balance of the loans underlying the servicing arrangement (2)Unobservable inputs were weighted by relative fair value (3)Excludes ancillary fees that would be passed on to a third-party servicer (4)Expressed as a percentage of the outstanding principal balance of the loan
Fair Value Sensitivity of Loan Servicing Assets And Liabilities to Adverse Changes in Key Assumptions | The table below presents the fair value sensitivity of loan servicing assets and liabilities to adverse changes in key assumptions. The fair value of loan servicing assets and liabilities is not sensitive to adverse changes in discount rates as such changes would not result in a significant impact on the fair value as of December 31, 2020 and March 31, 2021, respectively.
| December 31, |  | March 31,
| 2020 |  | 2021
Fair value of loan servicing assets | $ | 6,831 |  |  | $ | 8,734 |
Expected market-servicing rates |  |  |
10% market-servicing rates increase | (19,013) |  |  | (20,061) |
20% market-servicing rates increase | (38,027) |  |  | (40,122) |
Expected prepayment rates |  |  |
10% adverse change | (2,061) |  |  | (4,646) |
20% adverse change | (4,212) |  |  | (2,273) |
| December 31, |  | March 31,
| 2020 |  | 2021
Fair value of loan servicing liabilities | $ | 8,254 |  |  | $ | 10,853 |
Expected market-servicing rates |  |  |
10% market-servicing rates increase | 22,974 |  |  | 24,928 |
20% market-servicing rates increase | 45,948 |  |  | 49,857 |
Expected prepayment rates |  |  |
10% adverse change | 2,491 |  |  | 5,773 |
20% adverse change | 5,089 |  |  | 2,825 |
Servicing Liabilities at Fair Value Rollforward | The following table presents a rollforward of the loan servicing assets and liabilities classified by the Company within Level 3 of the fair value hierarchy:
| Loan Servicing Assets |  | Loan Servicing Liabilities
Fair value at December 31, 2019 | $ | 4,725 |  |  | $ | 5,140 |
Sale of loans | 2,705 |  |  | 1,246 |
Changes in fair value recorded in earnings | (808) |  |  | (480) |
Fair value at March 31, 2020 | $ | 6,622 |  |  | $ | 5,906 |
| Loan Servicing Assets |  | Loan Servicing Liabilities
Fair value at December 31, 2020 | $ | 6,831 |  |  | $ | 8,254 |
Sale of loans | 3,452 |  |  | 3,519 |
Changes in fair value recorded in earnings | (1,549) |  |  | (920) |
Fair value at March 31, 2021 | $ | 8,734 |  |  | $ | 10,853 |
Servicing Assets at Fair Value Rollforward | The following table presents a rollforward of the loan servicing assets and liabilities classified by the Company within Level 3 of the fair value hierarchy:
| Loan Servicing Assets |  | Loan Servicing Liabilities
Fair value at December 31, 2019 | $ | 4,725 |  |  | $ | 5,140 |
Sale of loans | 2,705 |  |  | 1,246 |
Changes in fair value recorded in earnings | (808) |  |  | (480) |
Fair value at March 31, 2020 | $ | 6,622 |  |  | $ | 5,906 |
| Loan Servicing Assets |  | Loan Servicing Liabilities
Fair value at December 31, 2020 | $ | 6,831 |  |  | $ | 8,254 |
Sale of loans | 3,452 |  |  | 3,519 |
Changes in fair value recorded in earnings | (1,549) |  |  | (920) |
Fair value at March 31, 2021 | $ | 8,734 |  |  | $ | 10,853 |
Rollforward of Level 3 Liabilities | The following tables include a rollforward of trailing fee liabilities classified by the Company within Level 3 of the fair value hierarchy:
| Trailing Fee Liabilities
Fair value at December 31, 2019 | $ | 504 |
Issuances | 312 |
Repayments and settlements | (54) |
Fair value at March 31, 2020 | $ | 762 |
| Trailing Fee Liabilities
Fair value at December 31, 2020 | $ | 1,276 |
Issuances | 669 |
Repayments and settlements | (170) |
Fair value at March 31, 2021 | $ | 1,775 |

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- Definition Tabular disclosure of assets measured at fair value measured on a recurring or nonrecurring basis. Includes, but is not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period 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 asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class 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). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of all information related to the key inputs and assumptions (including, at a minimum, but not limited to, and if applicable, quantitative information about discount rates, expected prepayments including the expected weighted-average life of prepayable financial assets, and anticipated credit losses) used in measuring the fair value of assets or liabilities that relate to the transferor's continuing involvement with transferred financial assets, as of the balance sheet date. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition 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. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 20 -Section 50 -Paragraph 4 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=121570589&loc=d3e107314-111719 + Details
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- Definition 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. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 3 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=116651436&loc=d3e122625-111746 + Details
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- Definition 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. + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Publisher FASB -Name Accounting Standards Codification -Topic 860 -SubTopic 50 -Section 50 -Paragraph 3 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=116651436&loc=d3e122625-111746 + Details
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