Securitizations and Variable Interest Entities (Tables)

6 Months Ended

Jun. 30, 2018

Variable Interest Entity [Line Items]

Summary of Select Information Related to VIEs

The following tables provide the classifications of assets and liabilities on the Company’s Condensed Consolidated Balance Sheets for its transactions with VIEs at June 30, 2018 and December 31, 2017:



June 30, 2018	Consolidated VIEs		Unconsolidated VIEs		Total
Assets
Cash and cash equivalents	$	29,479	$	—	$	29,479
Restricted cash	37,311		—		37,311
Securities available for sale at fair value	—		93,714		93,714
Loans held for investment at fair value	893,282		—		893,282
Loans held for sale by Company at fair value	389,491		—		389,491
Accrued interest receivable	11,941		939		12,880
Other assets	2,936		22,773		25,709
Total assets	$	1,364,440	$	117,426	$	1,481,866
Liabilities
Accrued interest payable	$	9,806	$	—	$	9,806
Accrued expenses and other liabilities	1,227		—		1,227
Notes, certificates and secured borrowings at fair value	899,250		—		899,250
Payable to credit facilities	249,232		—		249,232
Total liabilities	1,159,515		—		1,159,515
Total net assets	$	204,925	$	117,426	$	322,351



December 31, 2017	Consolidated VIEs		Unconsolidated VIEs		Total
Assets
Restricted cash	$	34,370	$	—	$	34,370
Securities available for sale at fair value	—		47,049		47,049
Loans held for investment at fair value	1,202,260		—		1,202,260
Loans held for investment by the Company at fair value	350,699		—		350,699
Loans held for sale by Company at fair value	60,812		—		60,812
Accrued interest receivable	15,602		407		16,009
Other assets	6,324		15,779		22,103
Total assets	$	1,670,067	$	63,235	$	1,733,302
Liabilities
Accrued interest payable	$	14,789	$	—	$	14,789
Accrued expenses and other liabilities	52		300		352
Notes, certificates and secured borrowings at fair value	1,210,349		—		1,210,349
Payable to securitization note and residual certificate holders	312,123		—		312,123
Payable to revolving credit facilities	32,100		—		32,100
Total liabilities	1,569,413		300		1,569,713
Total net assets	$	100,654	$	62,935	$	163,589

Summary of Activity Related to Personal Whole Loan Securitizations

The following tables summarize activity related to the unconsolidated personal whole loan securitizations and personal whole loan CLUB Certificates with the transfers accounted for as a sale on the Company’s condensed consolidated financial statements for the second quarters and first halves of 2018 and 2017:



	Three Months Ended June 30, 2018				Three Months Ended June 30, 2017
	Personal Whole Loan Securitizations		Personal Whole Loan CLUB Certificates		Personal Whole Loan Securitizations
Principal derecognized from loans securitized or sold	$	646,242	$	196,670	$	336,658
Net gains (losses) recognized from loans securitized or sold	$	2,412	$	1,580	$	1,739
Fair value of senior securities and subordinated certificates retained upon settlement ⁽¹⁾	$	32,291	$	9,724	$	17,536
Cash proceeds from loans securitized or sold	$	307,094	$	185,966	$	260,829
Cash proceeds from servicing and other administrative fees on loans securitized or sold	$	3,143	$	572	$	70
Cash proceeds for interest received on senior securities and subordinated certificates	$	1,006	$	329	$	—


⁽¹⁾	For personal whole loan securitizations, the Company retained senior securities of $28.7 million and $14.0 million for the second quarters of 2018 and 2017, respectively, and subordinated certificates of $3.6 million for both the second quarters of 2018 and 2017.



	Six Months Ended June 30, 2018				Six Months Ended June 30, 2017
	Personal Whole Loan Securitizations		Personal Whole Loan CLUB Certificates		Personal Whole Loan Securitizations
Principal derecognized from loans securitized or sold	$	1,001,490	$	358,545	$	336,658
Net gains (losses) recognized from loans securitized or sold	$	5,509	$	3,037	$	1,739
Fair value of senior securities and subordinated certificates retained upon settlement ⁽¹⁾	$	50,784	$	17,826	$	17,536
Cash proceeds from loans securitized or sold	$	590,366	$	340,805	$	260,829
Cash proceeds from servicing and other administrative fees on loans securitized or sold	$	5,493	$	707	$	70
Cash proceeds for interest received on senior securities and subordinated certificates	$	1,302	$	411	$	—


⁽¹⁾	For personal whole loan securitizations, the Company retained senior securities of $43.8 million and $14.0 million and subordinated certificates of $7.0 million and $3.6 million, for the first halves of 2018 and 2017, respectively.

Sensitivity Analysis of Fair Value, Securities and Certificates

The following tables provide adverse changes to the fair value sensitivity of the senior securities, subordinated residual certificates and CLUB Certificates to changes in key assumptions at June 30, 2018 and December 31, 2017:



	June 30, 2018
	Asset-Backed Securities Related to Company-Sponsored Securitizations and CLUB Certificate Transactions
	Senior Securities			Subordinated Residual Certificates			CLUB Certificates
Fair value of interests held	$	64,987		$	12,764		$	15,963
Expected weighted-average life (in years)	0.9			1.6			1.2
Discount rates
100 basis point increase	$	(667	)	$	(172	)	$	(228	)
200 basis point increase	$	(1,318	)	$	(338	)	$	(449	)
Expected credit loss rates on underlying loans
10% adverse change	$	—		$	(1,741	)	$	(311	)
20% adverse change	$	—		$	(3,466	)	$	(615	)
Expected prepayment rates
10% adverse change	$	—		$	(629	)	$	(105	)
20% adverse change	$	—		$	(1,247	)	$	(205	)



	December 31, 2017
	Asset-Backed Securities Related to Company-Sponsored Securitizations and CLUB Certificate Transactions
	Senior Securities			Subordinated Residual Certificates			CLUB Certificates
Fair value of interests held	$	37,020		$	8,236		$	1,793
Expected weighted-average life (in years)	1.0			1.5			1.4
Discount rates
100 basis point increase	$	(326	)	$	(105	)	$	(41	)
200 basis point increase	$	(644	)	$	(208	)	$	(76	)
Expected credit loss rates on underlying loans
10% adverse change	$	(1	)	$	(1,060	)	$	(15	)
20% adverse change	$	(2	)	$	(2,118	)	$	(25	)
Expected prepayment rates
10% adverse change	$	(1	)	$	(265	)	$	(21	)
20% adverse change	$	(3	)	$	(513	)	$	(42	)

Consolidated VIEs

Variable Interest Entity [Line Items]

Summary of Select Information Related to VIEs

The following table presents a summary of financial assets and liabilities from the Company’s involvement with consolidated VIEs at June 30, 2018 and December 31, 2017:



June 30, 2018	Assets		Liabilities			Net Assets
Trust Certificates	$	913,387	$	(909,215	)	$	4,172
Warehouse Credit Facilities	451,053		(250,300		)	200,753
Total consolidated VIEs	$	1,364,440	$	(1,159,515	)	$	204,925



December 31, 2017	Assets		Liabilities			Net Assets
Trust Certificates	$	1,226,957	$	(1,224,473	)	$	2,484
Securitizations	375,607		(312,832		)	62,775
Warehouse Credit Facility	67,503		(32,108		)	35,395
Total consolidated VIEs	$	1,670,067	$	(1,569,413	)	$	100,654

Unconsolidated VIEs

Variable Interest Entity [Line Items]

Summary of Select Information Related to VIEs

The following tables summarize unconsolidated VIEs with which the Company has significant continuing involvement, but is not the primary beneficiary at June 30, 2018 and December 31, 2017:



June 30, 2018			Carrying Value
	Total VIE Assets		Securities Available for Sale		Accrued Interest Receivable		Other Assets		Accrued Expenses and Other Liabilities		Net Assets
Securitizations	$	1,538,229	$	77,751	$	828	$	11,500	$	—	$	90,079
CLUB Certificates	321,077		15,963		111		2,784		—		18,858
Investment Fund	35,901		—		—		8,489		—		8,489
Total unconsolidated VIEs	$	1,895,207	$	93,714	$	939	$	22,773	$	—	$	117,426



June 30, 2018	Maximum Exposure to Loss
	Securities Available for Sale		Accrued Interest Receivable		Other Assets		Accrued Expenses and Other Liabilities		Total Exposure
Securitizations	$	77,751	$	828	$	11,500	$	—	$	90,079
CLUB Certificates	15,963		111		2,784		—		18,858
Investment Fund	—		—		8,489		—		8,489
Total unconsolidated VIEs	$	93,714	$	939	$	22,773	$	—	$	117,426



December 31, 2017			Carrying Value
	Total VIE Assets		Securities Available for Sale		Accrued Interest Receivable		Other Assets		Accrued Expenses and Other Liabilities			Net Assets
Securitizations	$	863,589	$	45,256	$	391	$	5,446	$	(300	)	$	50,793
CLUB Certificates	36,833		1,793		16		315		—			2,124
Investment Fund	40,494		—		—		10,018		—			10,018
Total unconsolidated VIEs	$	940,916	$	47,049	$	407	$	15,779	$	(300	)	$	62,935



December 31, 2017	Maximum Exposure to Loss
	Securities Available for Sale		Accrued Interest Receivable		Other Assets		Accrued Expenses and Other Liabilities		Total Exposure
Securitizations	$	45,256	$	391	$	5,446	$	300	$	51,393
CLUB Certificates	1,793		16		315		—		2,124
Investment Fund	—		—		10,018		—		10,018
Total unconsolidated VIEs	$	47,049	$	407	$	15,779	$	300	$	63,535

- Definition

Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide.

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