Fair Value of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2017

Loans, Loan Servicing Rights, Related Notes and Certificates

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



December 31, 2017	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Loans held for investment	$	—	$	—	$	2,932,325	$	2,932,325
Loans held for investment by the Company	—		—		361,230		361,230
Loans held for sale by the Company	—		—		235,825		235,825
Securities available for sale:
Asset-backed senior securities related to Company-sponsored securitizations	—		37,020		—		37,020
Certificates of deposit	—		24,758		—		24,758
Corporate debt securities	—		16,258		—		16,258
Asset-backed securities	—		14,843		—		14,843
Commercial paper	—		14,665		—		14,665
Asset-backed subordinated residual certificates related to Company-sponsored securitizations and CLUB Certificate transactions	—		—		10,029		10,029
Total securities available for sale	—		107,544		10,029		117,573
Servicing assets	—		—		33,676		33,676
Total assets	$	—	$	107,544	$	3,573,085	$	3,680,629

Liabilities:
Notes, certificates and secured borrowings	—		—		2,954,768		2,954,768
Payable to securitization residual certificate holders	—		—		1,479		1,479
Servicing liabilities	—		—		833		833
Loan trailing fee liability	—		—		8,432		8,432
Total liabilities	$	—	$	—	$	2,965,512	$	2,965,512



December 31, 2016	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Loans held for investment	$	—	$	—	$	4,295,121	$	4,295,121
Loans held for investment by the Company	—		—		16,863		16,863
Loans held for sale by the Company	—		—		9,048		9,048
Securities available for sale:
Corporate debt securities	—		181,223		—		181,223
Certificates of deposit	—		27,501		—		27,501
Asset-backed securities	—		25,364		—		25,364
Commercial paper	—		20,164		—		20,164
U.S. agency securities	—		19,623		—		19,623
U.S. Treasury securities	—		2,496		—		2,496
Other securities	—		10,766		—		10,766
Total securities available for sale	—		287,137		—		287,137
Servicing assets	—		—		21,398		21,398
Total assets	$	—	$	287,137	$	4,342,430	$	4,629,567

Liabilities:
Notes and certificates	$	—	$	—	$	4,320,895	$	4,320,895
Loan trailing fee liability	—		—		4,913		4,913
Servicing liabilities	—		—		2,846		2,846
Total liabilities	$	—	$	—	$	4,328,654	$	4,328,654

Quantitative Information about Significant Unobservable Inputs Used for Fair Value Measurements

The following tables present quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements at December 31, 2017 and 2016:



							December 31, 2017
							Loans Held for Investment, Loans Held for Sale, Notes, Certificates and Secured Borrowings ⁽¹⁾						Asset-Backed Securities Related to Consolidated VIEs
							Minimum		Maximum		Weighted Average		Minimum		Maximum		Weighted Average
Discount rates							1.7	%	17.2	%	8.5	%	5.8	%	15.0	%	9.5	%
Net cumulative expected loss rates⁽²⁾⁽⁴⁾							0.4	%	41.8	%	13.8	%	10.9	%	37.2	%	19.7	%
Cumulative expected prepayment rates ⁽²⁾⁽⁴⁾							11.3	%	51.0	%	31.6	%	28.3	%	33.7	%	30.5	%

							December 31, 2017
							Servicing Assets/Liabilities						Loan Trailing Fee Liability
							Minimum		Maximum		Weighted Average		Minimum		Maximum		Weighted Average
Discount rates							1.9	%	17.1	%	8.8	%	1.9	%	17.1	%	8.9	%
Net cumulative expected loss rates⁽²⁾							0.4	%	41.8	%	12.4	%	0.8	%	41.8	%	13.2	%
Cumulative expected prepayment rates ⁽²⁾							11.3	%	51.0	%	31.7	%	11.3	%	51.0	%	31.4	%
Total market servicing rates (% per annum on outstanding principal balance) ⁽³⁾							0.66	%	0.90	%	0.66	%	N/A		N/A		N/A

	December 31, 2016
	Loans Held for Investment, Loans Held for Sale, Notes and Certificates ⁽¹⁾						Servicing Assets/Liabilities						Loan Trailing Fee Liability
	Minimum		Maximum		Weighted Average		Minimum		Maximum		Weighted Average		Minimum		Maximum		Weighted Average
Discount rates	1.2	%	16.6	%	7.2	%	3.4	%	15.1	%	7.8	%	3.4	%	15	%	7.7	%
Net cumulative expected loss rates ⁽²⁾	0.3	%	33.9	%	14.6	%	0.3	%	33.9	%	12.8	%	0.3	%	33.9	%	13.5	%
Cumulative expected prepayment rates ⁽²⁾	8.0	%	42.7	%	30.7	%	8.0	%	42.7	%	29.3	%	8.0	%	42.7	%	28.3	%
Total market servicing rates (% per annum on outstanding principal balance) ⁽³⁾	N/A		N/A		N/A		0.63	%	0.90	%	0.63	%	N/A		N/A		N/A

N/A Not applicable


⁽¹⁾	Loans held for investment and loans held for sale include loans invested in by the Company.


⁽²⁾	Expressed as a percentage of the original principal balance of the loan, note, certificate or secured borrowing, except for asset-backed securities.


⁽³⁾	Includes collection fees estimated to be paid to a hypothetical third-party servicer.


⁽⁴⁾	For asset-backed securities, expressed as a percentage of the outstanding collateral balance.

Additional Information about Level 3 Measured at Fair Value on Recurring Basis

The following table presents additional information about Level 3 loans held for investment, loans held for sale, and notes, certificates and secured borrowings measured at fair value on a recurring basis for the years ended December 31, 2017 and 2016:



	Loans Held For Investment									Loans Held for Sale										Notes, Certificates and Secured Borrowings
	Outstanding Principal Balance			Valuation Adjustment			Fair Value			Outstanding Principal Balance				Valuation Adjustment			Fair Value			Outstanding Principal Balance			Valuation Adjustment			Fair Value
Balance at December 31, 2015	$	4,678,209		$	(125,586	)	$	4,552,623		$	—			$	—		$	—		$	4,697,169		$	(125,586	)	$	4,571,583
Purchases	2,653,589			—			2,653,589			4,638,436				—			4,638,436			—			—			—
Transfers (to) from loans held for investment (from) to loans held for sale	20,573			—			20,573			(20,573		)	—	—			(20,573		)	—			—			—
Issuances	—			—			—			—				—			—			2,681,109			—			2,681,109
Sales	—			—			—			(4,617,863		)		—			(4,617,863		)	—			—			—
Principal payments and retirements	(2,385,102		)	—			(2,385,102		)	—				—			—			(2,385,234		)	—			(2,385,234		)
Charge-offs	(420,131		)	420,131			—			—				—			—			(420,132		)	420,132			—
Recoveries	—			(36,784		)	(36,784		)	—				—			—			—			(36,785		)	(36,785		)
Change in fair value recorded in earnings	—			(509,778		)	(509,778		)	—				—			—			—			(509,778		)	(509,778		)
Balance at December 31, 2016	$	4,547,138		$	(252,017	)	$	4,295,121		$	—			$	—		$	—		$	4,572,912		$	(252,017	)	$	4,320,895
Purchases	1,720,343			5			1,720,348			5,232,503				6,420			5,238,923			—			—			—
Transfers (to) from loans held for investment (from) to loans held for sale	(253,124		)	(4,112		)	(257,236		)	253,124				4,112			257,236			—			—			—
Issuances	—			—			—			—				—			—			2,019,316			(17,937		)	2,001,379
Sales	—			—			—			(5,483,146		)		8,067			(5,475,079		)	—			—			—
Principal payments and retirements	(2,383,510		)	—			(2,383,510		)	(2,481		)		—			(2,481		)	(2,941,692		)	31,606			(2,910,086		)
Charge-offs	(489,456		)	489,456			—			—				—			—			(489,456		)	489,456			—
Recoveries	—			(47,913		)	(47,913		)	—				—			—			—			(47,914		)	(47,914		)
Change in fair value recorded in earnings	—			(394,485		)	(394,485		)	—				(18,599		)	(18,599		)	—			(409,506		)	(409,506		)
Balance at December 31, 2017	$	3,141,391		$	(209,066	)	$	2,932,325		$	—			$	—		$	—		$	3,161,080		$	(206,312	)	$	2,954,768

Fair Value Assets And Liabilities Measured On Recurring Basis Unobservable Input Reconciliation Table

The following table presents additional information about Level 3 loans invested in by the Company measured at fair value on a recurring basis for the years ended December 31, 2017 and 2016:



	Loans Held For Investment by the Company									Loans Held For Sale by the Company									Total Loans Invested in by the Company
	Outstanding Principal Balance			Valuation Adjustment			Fair Value			Outstanding Principal Balance			Valuation Adjustment			Fair Value			Outstanding Principal Balance			Valuation Adjustment			Fair Value
Balance at December 31, 2015	$	3,462		$	(4	)	$	3,458		$	—		$	—		$	—		$	3,462		$	(4	)	$	3,458
Purchases	79,736			(656		)	79,080			104,102			—			104,102			183,838			(656		)	183,182
Transfers (to) from loans held for investment (from) to loans held for sale	(55,984		)	—			(55,984		)	55,984			—			55,984			—			—			—
Sales	—			—			—			(144,655		)	—			(144,655		)	(144,655		)	—			(144,655		)
Principal payments	(6,705		)	—			(6,705		)	(5,927		)	—			(5,927		)	(12,632		)	—			(12,632		)
Charge-offs	(1,994		)	1,994			—			(159		)	159			—			(2,153		)	2,153			—
Recoveries	—			(493		)	(493		)	—			—			—			—			(493		)	(493		)
Change in fair value recorded in earnings	—			(2,493		)	(2,493		)	—			(456		)	(456		)	—			(2,949		)	(2,949		)
Balance at December 31, 2016	$	18,515		$	(1,652	)	$	16,863		$	9,345		$	(297	)	$	9,048		$	27,860		(1,949		)	$	25,911
Purchases	19,069			(707		)	18,362			1,629,228			(192		)	1,629,036			1,648,297			(899		)	1,647,398
Transfers (to) from loans held for investment (from) to loans held for sale	354,410			4,112			358,522			(354,410		)	(4,112		)	(358,522		)	—			—			—
Sales	—			—			—			(990,267		)	5,871			(984,396		)	(990,267		)	5,871			(984,396		)
Principal payments	(16,433		)	—			(16,433		)	(49,248		)	—			(49,248		)	(65,681		)	—			(65,681		)
Charge-offs	(4,182		)	4,182			—			(2,375		)	2,375			—			(6,557		)	6,557			—
Recoveries	—			(343		)	(343		)	—			—			—			—			(343		)	(343		)
Change in fair value recorded in earnings	—			(15,741		)	(15,741		)	—			(10,093		)	(10,093		)	—			(25,834		)	(25,834		)
Balance at December 31, 2017	$	371,379		$	(10,149	)	$	361,230		$	242,273		$	(6,448	)	$	235,825		$	613,652		(16,597		)	$	597,055

The following table presents additional information about Level 3 servicing assets and liabilities measured at fair value on a recurring basis for the years ended December 31, 2017 and 2016:



	Servicing Assets			Servicing Liabilities
Fair value at December 31, 2015	$	10,250		$	3,973
Issuances ⁽¹⁾	16,546			3,371
Changes in fair value, included in investor fees	(5,403		)	(4,498		)
Other net changes included in deferred revenue	5			—
Fair value at December 31, 2016	$	21,398		$	2,846
Issuances ⁽¹⁾	34,950			333
Changes in fair value, included in investor fees	(23,172		)	(2,346		)
Other net changes included in deferred revenue	500			—
Fair value at December 31, 2017	$	33,676		$	833


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

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

The following table presents additional information about the Level 3 loan trailing fee liability measured at fair value on a recurring basis for the years ended December 31, 2017 and 2016:



Year Ended December 31,	2017			2016
Fair value at beginning of period	$	4,913		$	—
Issuances	7,470			5,843
Cash payment of loan trailing fee	(4,358		)	(1,174		)
Change in fair value, included in origination and servicing	407			244
Fair value at end of period	$	8,432		$	4,913

Schedule of Fair Value Sensitivity of Loans

The fair value sensitivity of loans invested in by the Company to adverse changes in key assumptions as of December 31, 2017, are as follows:



	December 31, 2017
Fair value of loans invested in by the Company	$	597,055
Expected weighted-average life (in years)	1.5
Discount rates
100 basis point increase	$	(7,449	)
200 basis point increase	$	(14,715	)
Expected credit loss rates on underlying loans
10% adverse change	$	(10,090	)
20% adverse change	$	(18,935	)
Expected prepayment rates
10% adverse change	$	(3,548	)
20% adverse change	$	(5,894	)

The sensitivities related to market servicing rates and prepayment rates

The table below shows the impact on the estimated fair value of servicing assets and liabilities, calculated using different market servicing rate assumptions as of December 31, 2017 and 2016:



	December 31, 2017						December 31, 2016
	Servicing Assets			Servicing Liabilities			Servicing Assets			Servicing Liabilities
Weighted-average market servicing rate assumptions	0.66		%	0.66		%	0.63		%	0.63		%
Change in fair value from:
Servicing rate increase by 0.10%	$	(7,749	)	$	233		$	(5,673	)	$	964
Servicing rate decrease by 0.10%	$	7,760		$	(222	)	$	5,812		$	(825	)

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:



December 31, 2017	Carrying Amount		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Cash and cash equivalents ⁽¹⁾	$	401,719	—		$	401,719	$	—	$	401,719
Restricted cash	242,570		—		242,570		—		242,570
Servicer reserve receivable	13,685		—		13,685		—		13,685
Deposits	855		—		855		—		855
Total assets	$	658,829	—		$	658,829	$	—	$	658,829
Liabilities:
Accrued expenses and other liabilities	$	13,856	$	—	$	—	$	13,856	$	13,856
Accounts payable	11,151		—		11,151		—		11,151
Payable to investors	143,310		—		143,310		—		143,310
Payable to securitization note holders	310,644		—		310,644		—		310,644
Warehouse notes payable	32,100		—		—		32,100		32,100
Total liabilities	$	511,061	$	—	$	465,105	$	45,956	$	511,061


⁽¹⁾	Carrying amount approximates fair value due to the short maturity of these financial instruments.



December 31, 2016	Carrying Amount		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Cash and cash equivalents ⁽¹⁾	$	515,602	$	—	$	515,602	$	—	$	515,602
Restricted cash	177,810		—		177,810		—		177,810
Servicer reserve receivable	4,938		—		4,938		—		4,938
Deposits	855		—		855		—		855
Total assets	$	699,205	$	—	$	699,205	$	—	$	699,205
Liabilities:
Accrued expenses and other liabilities	$	10,981	$	—	$	—	$	10,981	$	10,981
Accounts payable	10,889		—		10,889		—		10,889
Payable to investors	125,884		—		125,884		—		125,884
Total liabilities	$	147,754	$	—	$	136,773	$	10,981	$	147,754


⁽¹⁾	Carrying amount approximates fair value due to the short maturity of these financial instruments.

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are 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. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details