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Fair Value Measurement (Tables)

3 Months Ended

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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