v3.23.2

Fair Value of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures [Abstract]

Fair Value Hierarchy of Assets and Liabilities Measured on a Recurring Basis

The following tables present the fair value hierarchy for assets and liabilities measured at fair value:

June 30, 2023			Level 1 Inputs						Level 2 Inputs						Level 3 Inputs						Balance at Fair Value
Assets:
Loans held for sale at fair value			$	—					$	—					$	250,361					$	250,361
Loans held for investment at fair value			—						—						404,119						404,119
Retail and certificate loans held for investment at fair value			—						—						26,837						26,837
Securities available for sale:
U.S. agency residential mortgage-backed securities			—						214,516						—						214,516
Senior asset-backed securities related to Structured Program transactions			—						1,139						142,785						143,924
U.S. agency securities			—						79,040						—						79,040
Mortgage-backed securities			—						38,143						—						38,143
Other asset-backed securities			—						28,466						—						28,466
Other asset-backed securities related to Structured Program transactions			—						—						16,980						16,980
Municipal securities			—						2,510						—						2,510
Total securities available for sale			—						363,814						159,765						523,579
Servicing assets			—						—						85,387						85,387
Other assets			—						4,726						—						4,726
Total assets			$	—					$	368,540					$	926,469					$	1,295,009
Liabilities:
Borrowings			$	—					$	—					$	4,460					$	4,460
Retail notes, certificates and secured borrowings			—						—						26,837						26,837
Other liabilities			—						4,726						2,570						7,296
Total liabilities			$	—					$	4,726					$	33,867					$	38,593

December 31, 2022			Level 1 Inputs						Level 2 Inputs						Level 3 Inputs						Balance at Fair Value
Assets:
Loans held for sale at fair value			$	—					$	—					$	110,400					$	110,400
Loans held for investment at fair value			—						—						925,938						925,938
Retail and certificate loans held for investment at fair value			—						—						55,425						55,425
Securities available for sale:
U.S. agency residential mortgage-backed securities			—						214,427						—						214,427
U.S. agency securities			—						74,394						—						74,394
Mortgaged-backed securities			—						22,518						—						22,518
Other asset-backed securities			—						14,203						—						14,203
Asset-backed securities related to Structured Program transactions			—						5,248						12,469						17,717
Municipal securities			—						2,443						—						2,443
Total securities available for sale			—						333,233						12,469						345,702
Servicing assets			—						—						84,308						84,308
Other assets			—						—						5,099						5,099
Total assets			$	—					$	333,233					$	1,193,639					$	1,526,872
Liabilities:
Borrowings			$	—					$	—					$	8,085					8,085
Retail notes, certificates and secured borrowings			—						—						55,425						55,425
Other liabilities			—						—						8,583						8,583
Total liabilities			$	—					$	—					$	72,093					$	72,093

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present additional information about Level 3 loans HFS on a recurring basis:

			Three Months Ended June 30,												Six Months Ended June 30,
			2023						2022						2023						2022
Fair value at beginning of period			$	44,647					$	156,730					$	110,400					$	142,370
Originations and purchases			1,272,118						2,728,499						2,477,147						4,999,424
Sales			(1,238,252)						(2,811,843)						(2,485,498)						(5,069,544)
Principal payments			(5,135)						(8,524)						(11,600)						(21,860)
Transfers			191,807						(11,888)						191,807						(11,888)
Fair value adjustments recorded in earnings			(14,824)						9,837						(31,895)						24,309
Fair value at end of period			$	250,361					$	62,811					$	250,361					$	62,811

The following table presents additional information about Level 3 loans HFI at fair value on a recurring basis:

			Three Months Ended June 30,												Six Months Ended June 30,
			2023						2022						2023						2022
Fair value at beginning of period			$	748,618					$	15,384					$	925,938					$	21,240
Purchases			—						—						4,037						14
Principal payments			(156,287)						(5,724)						(342,738)						(11,747)
Transfers			(191,634)						11,966						(191,634)						11,966
Interest income accretion and fair value adjustments recorded in earnings			3,422						(1,043)						8,516						(890)
Fair value at end of period			$	404,119					$	20,583					$	404,119					$	20,583

The following table presents additional information about Level 3 senior asset-backed securities related to Structured Program transactions measured at fair value on a recurring basis:

			Three and Six Months Ended
			June 30, 2023
Fair value at beginning of period			$	—
Additions			144,680
Cash received			(1,290)
Change in unrealized loss			(605)
Fair value at end of period			$	142,785

The following table presents additional information about Level 3 other asset-backed securities related to Structured Program transactions measured at fair value on a recurring basis:

			Three Months Ended						Six Months Ended
			June 30, 2023
Fair value at beginning of period			$	10,397					$	12,469
Additions			8,667						8,780
Cash received			(2,084)						(4,269)
Fair value at end of period			$	16,980					$	16,980

The following table presents additional information about Level 3 servicing assets measured at fair value on a recurring basis:

			Three Months Ended June 30,												Six Months Ended June 30,
			2023						2022						2023						2022
Fair value at beginning of period			$	89,241					$	72,112					$	84,308					$	67,726
Issuances (1)			13,576						29,090						27,701						51,455
Change in fair value, included in Marketplace revenue			(17,074)						(21,034)						(29,650)						(38,013)
Other net changes			(356)						(741)						3,028						(1,741)
Fair value at end of period			$	85,387					$	79,427					$	85,387					$	79,427

(1)    Represents the gains or losses on sales of the related loans.

Quantitative Information about Significant Unobservable Inputs Used for Fair Value Measurements

The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 loans HFI at fair value:

																					June 30, 2023																		December 31, 2022
																					Minimum						Maximum						Weighted- Average						Minimum						Maximum						Weighted- Average
Discount rates																					8.6		%				16.7		%				12.7		%				8.8		%				17.1		%				12.7		%
Net cumulative expected loss rates (1)																					2.2		%				10.2		%				6.3		%				2.1		%				9.8		%				5.7		%
Cumulative expected prepayment rates (1)																					22.0		%				30.7		%				27.3		%				26.2		%				35.3		%				30.8		%

(1)    Expressed as a percentage of the acquired principal balance of the loan.

The following table presents quantitative information about the significant unobservable inputs used for the

Company’s Level 3 fair value measurements for other asset-backed securities related to Structured Program transactions:

																					June 30, 2023
																					Minimum						Maximum						Weighted- Average
Discount rates																					5.5		%				6.6		%				5.8		%
Net cumulative expected loss rates (1)																					7.2		%				9.1		%				8.3		%
Cumulative expected prepayment rates (1)																					33.0		%				34.0		%				33.4		%

(1)    Expressed as a percentage of the outstanding collateral balance.

The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements for servicing assets relating to loans sold to investors:

																					June 30, 2023																		December 31, 2022
																					Minimum						Maximum						Weighted- Average						Minimum						Maximum						Weighted- Average
Discount rates																					7.5		%				16.4		%				9.9		%				7.5		%				16.4		%				10.1		%
Net cumulative expected loss rates (1)																					2.0		%				36.4		%				15.4		%				2.1		%				36.7		%				15.6		%
Cumulative expected prepayment rates (1)																					17.0		%				47.7		%				32.9		%				15.8		%				47.2		%				35.9		%
Total market servicing rates (% per annum on outstanding principal balance) (2)																					0.62		%				0.62		%				0.62		%				0.62		%				0.62		%				0.62		%

(1)    Expressed as a percentage of the original principal balance of the loan.

(2)    Includes collection fees estimated to be paid to a hypothetical third-party servicer.

Schedule of Fair Value Sensitivity of Loans

The sensitivity of loans HFI at fair value to adverse changes in key assumptions are as follows:

			June 30, 2023						December 31, 2022
Loans held for investment at fair value			$	404,119					$	925,938
Expected weighted-average life (in years)			1.0						0.9
Discount rates:
100 basis point increase			$	(3,057)					$	(7,471)
200 basis point increase			$	(6,071)					$	(14,830)
Expected credit loss rates on underlying loans:
10% increase			$	(2,454)					$	(5,574)
20% increase			$	(5,006)					$	(11,307)
Expected prepayment rates:
10% increase			$	(2,146)					$	(4,311)
20% increase			$	(4,157)					$	(7,480)

Schedule of Sensitivity Analysis of Debt Securities Available-for-Sale

The following tables present adverse changes to the fair value sensitivity of Level 3 other asset-backed securities related to Structured Program transactions to changes in key assumptions:

			June 30, 2023
Fair value of interests held			$	16,980
Expected weighted-average life (in years)			1.6
Discount rates
100 basis point increase			$	(193)
200 basis point increase			$	(388)
Expected loss rates
10% increase			$	(390)
20% increase			$	(798)
Expected prepayment rates
10% increase			$	(216)
20% increase			$	(496)

Fair Value Disclosure And Measurement

The table below shows the impact on the estimated fair value of servicing assets, calculated using different market servicing rate assumptions:

			June 30, 2023						December 31, 2022
Weighted-average market servicing rate assumptions			0.62		%				0.62		%
Change in fair value from:
Servicing rate increase by 0.10%			$	(9,923)					$	(10,505)
Servicing rate decrease by 0.10%			$	9,923					$	10,505

Fair Value Sensitivity of Servicing Assets

The following table presents the fair value sensitivity of servicing assets to adverse changes in key assumptions:

			June 30, 2023						December 31, 2022
Fair value of servicing assets			$	85,387					$	84,308
Discount rates
100 basis point increase			$	(726)					$	(726)
200 basis point increase			$	(1,453)					$	(1,451)
Expected loss rates
10% increase			$	(1,069)					$	(1,037)
20% increase			$	(2,137)					$	(2,074)
Expected prepayment rates
10% increase			$	(1,790)					$	(1,994)
20% increase			$	(3,581)					$	(3,989)

Fair Value, by Balance Sheet Grouping

The following tables present the fair value hierarchy for financial instruments, assets, and liabilities not recorded at fair value:

June 30, 2023			Carrying Amount						Level 1 Inputs						Level 2 Inputs						Level 3 Inputs						Balance at Fair Value
Assets:
Loans and leases held for investment, net			$	5,178,186					$	—					$	—					$	5,408,746					$	5,408,746
Other assets			37,375						—						36,393						1,359						37,752
Total assets			$	5,215,561					$	—					$	36,393					$	5,410,105					$	5,446,498
Liabilities:
Deposits (1)			$	829,798					$	—					$	—					$	826,478					$	826,478
Borrowings			11,215						—						561						10,654						11,215
Other liabilities			59,342						—						28,260						31,082						59,342
Total liabilities			$	900,355					$	—					$	28,821					$	868,214					$	897,035

December 31, 2022			Carrying Amount						Level 1 Inputs						Level 2 Inputs						Level 3 Inputs						Balance at Fair Value
Assets:
Loans and leases held for investment, net			$	4,705,302					$	—					$	—					$	4,941,825					$	4,941,825
Other assets			36,646						—						35,300						1,397						36,697
Total assets			$	4,741,948					$	—					$	35,300					$	4,943,222					$	4,978,522
Liabilities:
Deposits (1)			$	860,808					$	—					$	—					$	860,808					$	860,808
Borrowings			66,773						—						2,619						64,154						66,773
Other liabilities			62,247						—						30,311						31,936						62,247
Total liabilities			$	989,828					$	—					$	32,930					$	956,898					$	989,828

(1)    Excludes deposit liabilities with no defined or contractual maturities.

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