Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2018

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 at March 31, 2018 and December 31, 2017:



March 31, 2018	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Loans held for investment	$	—	$	—	$	2,635,413	$	2,635,413
Loans held for investment by the Company	—		—		317,458		317,458
Loans held for sale by the Company	—		—		248,344		248,344
Securities available for sale:
Asset-backed senior securities related to Company-sponsored securitizations	—		45,881		—		45,881
Certificates of deposit	—		20,303		—		20,303
Corporate debt securities	—		19,840		—		19,840
Asset-backed securities	—		14,586		—		14,586
Commercial paper	—		7,685		—		7,685
Asset-backed subordinated residual certificates related to Company-sponsored securitizations and CLUB Certificate transactions	—		—		20,129		20,129
Total securities available for sale	—		108,295		20,129		128,424
Servicing assets	—		—		40,884		40,884
Total assets	$	—	$	108,295	$	3,262,228	$	3,370,523

Liabilities:
Notes, certificates and secured borrowings	$	—	$	—	$	2,655,417	$	2,655,417
Payable to securitization residual certificate holders	—		—		1,354		1,354
Servicing liabilities	—		—		475		475
Loan trailing fee liability	—		—		8,824		8,824
Total liabilities	$	—	$	—	$	2,666,070	$	2,666,070



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

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 March 31, 2018 and December 31, 2017:



	March 31, 2018
	Loans Held for Investment, Loans Held for Sale, Notes, Certificates and Secured Borrowings ⁽¹⁾						Asset-Backed Securities Related to Consolidated VIE
	Minimum		Maximum		Weighted Average		Minimum		Maximum		Weighted Average
Discount rates	2.7	%	16.7	%	8.9	%	3.2	%	15.0	%	7.4	%
Net cumulative expected loss rates⁽²⁾⁽⁴⁾	0.4	%	42.1	%	13.8	%	5.2	%	38.7	%	13.3	%
Cumulative expected prepayment rates ⁽²⁾⁽⁴⁾	11.3	%	52.3	%	31.3	%	25.7	%	34.2	%	30.3	%

	March 31, 2018
	Servicing Assets/Liabilities						Loan Trailing Fee Liability
	Minimum		Maximum		Weighted Average		Minimum		Maximum		Weighted Average
Discount rates	3.4	%	16.5	%	8.9	%	3.4	%	16.5	%	9.2	%
Net cumulative expected loss rates⁽²⁾	0.4	%	42.1	%	12.3	%	0.8	%	42.1	%	13.1	%
Cumulative expected prepayment rates ⁽²⁾	11.3	%	52.3	%	32.0	%	11.3	%	52.3	%	31.6	%
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, 2017
	Loans Held for Investment, Loans Held for Sale, Notes, Certificates and Secured Borrowings ⁽¹⁾						Asset-Backed Securities Related to Consolidated VIE
	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

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 or certificate, 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.

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

The following tables present 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 first quarters of 2018 and 2017:



	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, 2017	$	3,141,391		$	(209,066	)	$	2,932,325		$	—		$	—		$	—		$	3,161,080		$	(206,312	)	$	2,954,768
Purchases	292,114			9			292,123			1,133,277			(1,772		)	1,131,505			—			—			—
Issuances	—			—			—			—			—			—			292,461			—			292,461
Sales	—			—			—			(1,133,277		)	835			(1,132,442		)	—			—			—
Principal payments and retirements	(500,949		)	—			(500,949		)	—			—			—			(503,710		)	8			(503,702		)
Charge-offs	(102,791		)	102,791			—			—			—			—			(102,791		)	102,791			—
Recoveries	—			(17,459		)	(17,459		)	—			—			—			—			(17,459		)	(17,459		)
Change in fair value recorded in earnings	—			(70,627		)	(70,627		)	—			937			937			—			(70,651		)	(70,651		)
Balance at March 31, 2018	$	2,829,765		$	(194,352	)	$	2,635,413		$	—		$	—		$	—		$	2,847,040		$	(191,623	)	$	2,655,417



	Loans Held For Investment									Loans Held For Sale									Notes and Certificates
	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, 2016	$	4,547,138		$	(252,017	)	$	4,295,121		$	—		$	—		$	—		$	4,572,912		$	(252,017	)	$	4,320,895
Purchases	523,235			2			523,237			1,170,207			—			1,170,207			—			—			—
Issuances	—			—			—			—			—			—			523,305			—			523,305
Sales	—			—			—			(1,170,207		)	—			(1,170,207		)	—			—			—
Principal payments and retirements	(638,235		)	—			(638,235		)	—			—			—			(641,105		)	2			(641,103		)
Charge-offs	(136,810		)	136,810			—			—			—			—			(136,810		)	136,810			—
Recoveries	—			(10,790		)	(10,790		)	—			—			—			—			(10,790		)	(10,790		)
Change in fair value recorded in earnings	—			(157,950		)	(157,950		)	—			—			—			—			(157,950		)	(157,950		)
Balance at March 31, 2017	$	4,295,328		$	(283,945	)	$	4,011,383		$	—		$	—		$	—		$	4,318,302		$	(283,945	)	$	4,034,357

The following tables present additional information about Level 3 loans invested in by the Company measured at fair value on a recurring basis for the first quarters of 2018 and 2017:



	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, 2017	$	371,379		$	(10,149	)	$	361,230		$	242,273		$	(6,448	)	$	235,825		$	613,652		$	(16,597	)	$	597,055
Purchases	1,496			(160		)	1,336			791,675			(280		)	791,395			793,171			(440		)	792,731
Transfers (to) from loans held for investment (from) to loans held for sale	106			—			106			(106		)	—			(106		)	—			—			—
Sales	—			—			—			(742,732		)	10,048			(732,684		)	(742,732		)	10,048			(732,684		)
Principal payments and retirements	(32,194		)	—			(32,194		)	(30,418		)	—			(30,418		)	(62,612		)	—			(62,612		)
Charge-offs	(1,172		)	1,172			—			(2,215		)	2,215			—			(3,387		)	3,387			—
Recoveries	—			(199		)	(199		)	—			(12		)	(12		)	—			(211		)	(211		)
Change in fair value recorded in earnings	—			(12,821		)	(12,821		)	—			(15,656		)	(15,656		)	—			(28,477		)	(28,477		)
Balance at March 31, 2018	$	339,615		$	(22,157	)	$	317,458		$	258,477		$	(10,133	)	$	248,344		$	598,092		$	(32,290	)	$	565,802



	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, 2016	$	18,515		$	(1,652	)	$	16,863		$	9,345		$	(297	)	$	9,048		$	27,860		$	(1,949	)	$	25,911
Purchases	1,181			(6		)	1,175			5,948			(1		)	5,947			7,129			(7		)	7,122
Sales	—			—			—			(4,229		)	157			(4,072		)	(4,229		)	157			(4,072		)
Principal payments and retirements	(1,484		)	—			(1,484		)	(1,180		)	—			(1,180		)	(2,664		)	—			(2,664		)
Charge-offs	(1,288		)	1,288			—			(160		)	160			—			(1,448		)	1,448			—
Recoveries	—			(99		)	(99		)	—			—			—			—			(99		)	(99		)
Change in fair value recorded in earnings	—			(1,083		)	(1,083		)	—			(334		)	(334		)	—			(1,417		)	(1,417		)
Balance at March 31, 2017	$	16,924		$	(1,552	)	$	15,372		$	9,724		$	(315	)	$	9,409		$	26,648		$	(1,867	)	$	24,781

The following tables present additional information about Level 3 servicing assets and liabilities measured at fair value on a recurring basis for the first quarters of 2018 and 2017:



	Three Months Ended March 31, 2018						Three Months Ended March 31, 2017
	Servicing Assets			Servicing Liabilities			Servicing Assets			Servicing Liabilities
Fair value at beginning of period	$	33,676		$	833		$	21,398		$	2,846
Issuances ⁽¹⁾	11,980			—			5,317			274
Change in fair value, included in investor fees	(5,606		)	(358		)	(4,047		)	(809		)
Other net changes included in deferred revenue	834			—			(308		)	—
Fair value at end of period	$	40,884		$	475		$	22,360		$	2,311


⁽¹⁾	Represents the gains or losses on sales of the related loans, recorded in other revenue.

Fair Value, Liabilities Measured on Recurring Basis

The following table presents additional information about Level 3 loan trailing fee liability measured at fair value on a recurring basis for the first quarters of 2018 and 2017:



	Three Months Ended March 31,
	2018			2017
Fair value at beginning of period	$	8,432		$	4,913
Issuances	1,775			1,663
Cash payment of loan trailing fee	(1,554		)	(826		)
Change in fair value, included in origination and servicing	171			64
Fair value at end of period	$	8,824		$	5,814

Fair Value Sensitivity of Loans

The fair value sensitivity of loans invested in by the Company to adverse changes in key assumptions as of March 31, 2018 and December 31, 2017 are as follows:



	March 31, 2018			December 31, 2017
Fair value of loans invested in by the Company	$	565,802		$	597,055
Expected weighted-average life (in years)	1.5			1.5
Discount rates
100 basis point increase	$	(6,708	)	$	(7,449	)
200 basis point increase	$	(13,258	)	$	(14,715	)
Expected credit loss rates on underlying loans
10% adverse change	$	(9,249	)	$	(10,090	)
20% adverse change	$	(18,356	)	$	(18,935	)
Expected prepayment rates
10% adverse change	$	(2,355	)	$	(3,548	)
20% adverse change	$	(4,616	)	$	(5,894	)

Fair Value Disclosure And Measurement

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 March 31, 2018 and December 31, 2017:



	March 31, 2018						December 31, 2017
	Servicing Assets			Servicing Liabilities			Servicing Assets			Servicing Liabilities
Weighted-average market servicing rate assumptions	0.66		%	0.66		%	0.66		%	0.66		%
Change in fair value from:
Servicing rate increase by 0.10%	$	(8,340	)	$	154		$	(7,749	)	$	233
Servicing rate decrease by 0.10%	$	8,343		$	(151	)	$	7,760		$	(222	)

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 at March 31, 2018 and December 31, 2017:



March 31, 2018	Carrying Amount		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Cash and cash equivalents ⁽¹⁾	$	405,078	$	—	$	405,078	$	—	$	405,078
Restricted cash	226,818		—		226,818		—		226,818
Servicer reserve receivable	5,895		—		5,895		—		5,895
Deposits	855		—		855		—		855
Total assets	$	638,646	$	—	$	638,646	$	—	$	638,646
Liabilities:
Accrued expenses and other liabilities	$	14,014	$	—	$	—	$	14,014	$	14,014
Accounts payable	3,389		—		3,389		—		3,389
Payables to investors	108,247		—		108,247		—		108,247
Payable to securitization note holders	279,561		—		279,561		—		279,561
Payable to revolving credit facilities	74,000		—		—		74,000		74,000
Total liabilities	$	479,211	$	—	$	391,197	$	88,014	$	479,211


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



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
Payables to investors	143,310		—		143,310		—		143,310
Payable to securitization note holders	310,644		—		310,644		—		310,644
Payable to revolving credit facilities	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.

- 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.

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