XML 50 R39.htm IDEA: XBRL DOCUMENT v3.21.2
Fair Value of Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2021
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 at June 30, 2021 and December 31, 2020:
June 30, 2021Level 1 InputsLevel 2 InputsLevel 3 InputsBalance at
Fair Value
Assets:
Loans held for sale at fair value$— $— $180,061 $180,061 
Retail and certificate loans held for investment at fair value— — 391,362 391,362 
Other loans held for investment at fair value— — 34,523 34,523 
Securities available for sale:
U.S. agency residential mortgage-backed securities— 93,018 — 93,018 
Asset-backed senior securities and subordinated securities— 49,555 13,761 63,316 
CLUB Certificate asset-backed securities— — 32,157 32,157 
Commercial mortgage-backed securities— 31,191 — 31,191 
Other asset-backed securities— 28,846 — 28,846 
U.S. agency securities— 25,473 — 25,473 
Municipal securities— 3,304 — 3,304 
Other securities— 200 — 200 
Total securities available for sale— 231,587 45,918 277,505 
Servicing assets— — 58,728 58,728 
Other assets— 4,048 5,992 10,040 
Total assets$— $235,635 $716,584 $952,219 
Liabilities:
Retail notes, certificates and secured borrowings$— $— $391,384 $391,384 
Payable on Structured Program borrowings— — 110,871 110,871 
Other liabilities— — 21,324 21,324 
Total liabilities$— $— $523,579 $523,579 
December 31, 2020Level 1 InputsLevel 2 InputsLevel 3 InputsBalance at
Fair Value
Assets:
Loans held for sale at fair value$— $— $121,902 $121,902 
Retail and certificate loans held for investment at fair value— — 636,686 636,686 
Other loans held for investment at fair value— — 49,954 49,954 
Securities available for sale:
Asset-backed senior securities and subordinated securities
— 75,37216,515 91,887
CLUB Certificate asset-backed securities
— — 50,139 50,139
Other securities— 200— 200
Total securities available for sale— 75,57266,654 142,226
Servicing assets— — 56,347 56,347
Total assets$— $75,572 $931,543 $1,007,115 
Liabilities:
Retail notes, certificates and secured borrowings$— $— $636,774 $636,774 
Payable on Structured Program borrowings— — 152,808 152,808
Other liabilities— — 12,270 12,270
Total liabilities$— $— $801,852 $801,852 
Fair Value Inputs Assets and Liabilities Quantitative Information
The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 loans held for sale at fair value at June 30, 2021 and December 31, 2020:
Loans Held for Sale at Fair Value
June 30, 2021December 31, 2020
MinimumMaximumWeighted-
Average		MinimumMaximumWeighted-
Average
Discount rates5.3 %11.8 %9.5 %7.6 %16.0 %8.5 %
Net cumulative expected loss rates (1)
2.4 %22.6 %10.3 %5.0 %28.0 %8.2 %
Cumulative expected prepayment rates (1)
29.8 %47.0 %35.6 %27.2 %41.2 %30.4 %
(1)     Expressed as a percentage of the original principal balance of the loan.
The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 other loans held for investment at fair value at June 30, 2021 and December 31, 2020:
Other Loans Held for Investment at Fair Value
June 30, 2021December 31, 2020
MinimumMaximumWeighted-
Average		MinimumMaximumWeighted-
Average
Discount rates7.7 %10.8 %9.3 %7.5 %16.1 %8.8 %
Net cumulative expected loss rates (1)
3.7 %13.7 %8.1 %5.0 %26.3 %10.3 %
Cumulative expected prepayment rates (1)
29.8 %38.5 %33.5 %26.8 %39.7 %30.7 %
(1)     Expressed as a percentage of the original principal balance of the loan.
Schedule Of Fair Value Sensitivity Of Loans
The sensitivity of loans held for sale at fair value to adverse changes in key assumptions as of June 30, 2021 and December 31, 2020, are as follows:
June 30, 2021December 31, 2020
Loans held for sale at fair value$180,061 $121,902 
Expected weighted-average life (in years)1.21.1
Discount rates
100 basis point increase$(1,886)$(1,151)
200 basis point increase$(3,741)$(2,282)
Expected credit loss rates on underlying loans
10% adverse change$(2,204)$(1,099)
20% adverse change$(4,479)$(2,220)
Expected prepayment rates
10% adverse change$(835)$(273)
20% adverse change$(1,725)$(556)
The sensitivity of other loans held for investment at fair value to adverse changes in key assumptions as of June 30, 2021 and December 31, 2020, are as follows:
June 30, 2021December 31, 2020
Other loans held for investment at fair value$34,523 $49,954 
Expected weighted-average life (in years)1.01.1
Discount rates
100 basis point increase$(316)$(541)
200 basis point increase$(628)$(1,073)
Expected credit loss rates on underlying loans
10% adverse change$(334)$(640)
20% adverse change$(680)$(1,295)
Expected prepayment rates
10% adverse change$(164)$(181)
20% adverse change$(339)$(368)
Fair Value of Assets Measured on a Recurring Basis
The following tables present additional information about Level 3 loans held for sale at fair value on a recurring basis for the second quarters and first halves of 2021 and 2020:
Loans Held for Sale at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at March 31, 2021
$174,130 $(7,507)$166,623 
Originations and purchases2,038,450 — 2,038,450 
Transfers from loans and leases held for investment at amortized cost (1)
1,244 — 1,244 
Sales
(1,996,154)3,616 (1,992,538)
Principal payments and retirements
(28,914)— (28,914)
Charge-offs, net of recoveries
(1,768)734 (1,034)
Change in fair value recorded in earnings
— (3,770)(3,770)
Balance at June 30, 2021
$186,988 $(6,927)$180,061 
Loans Held for Sale at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at March 31, 2020
$835,557 $(93,853)$741,704 
Purchases
23,363 — 23,363 
Transfers (to) from loans held for investment and/or loans held for sale (1)
(36)— (36)
Sales
(112,527)10,947 (101,580)
Principal payments and retirements
(71,588)— (71,588)
Charge-offs, net of recoveries
(6,507)6,018 (489)
Change in fair value recorded in earnings
— (4,281)(4,281)
Balance at June 30, 2020
$668,262 $(81,169)$587,093 

Loans Held for Sale at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at December 31, 2020
$132,600 $(10,698)$121,902 
Originations and purchases2,980,395 (1,629)2,978,766 
Transfers from loans and leases held for investment at amortized cost (1)
1,181 — 1,181 
Sales(2,869,826)10,653 (2,859,173)
Principal payments and retirements(51,735)— (51,735)
Charge-offs, net of recoveries(5,627)3,920 (1,707)
Change in fair value recorded in earnings— (9,173)(9,173)
Balance at June 30, 2021
186,988 (6,927)180,061 
Loans Held for Sale at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at December 31, 2019
$747,394 $(25,039)$722,355 
Purchases1,402,457 — 1,402,457 
Transfers (to) from loans held for investment and/or loans held for sale (1)
(43,159)— (43,159)
Sales(1,283,934)30,856 (1,253,078)
Principal payments and retirements(141,691)— (141,691)
Charge-offs, net of recoveries(12,805)11,797 (1,008)
Change in fair value recorded in earnings— (98,783)(98,783)
Balance at June 30, 2020
668,262 (81,169)587,093 
(1)    Represents non-cash activity.
The following tables present additional information about Level 3 retail and certificate loans held for investment at fair value and retail notes, certificates and secured borrowings measured at fair value on a recurring basis for the second quarters and first halves of 2021 and 2020:
Retail and Certificate Loans Held for
 Investment at Fair Value		Retail Notes, Certificates and Secured Borrowings
Outstanding Principal BalanceValuation AdjustmentFair ValueOutstanding Principal BalanceValuation AdjustmentFair Value
Balance at March 31, 2021
$536,875 $(29,718)$507,157 $536,875 $(29,672)$507,203 
Principal payments and retirements
(114,739)— (114,739)(114,739)— (114,739)
Charge-offs, net of recoveries
(8,201)2,443 (5,758)(8,201)2,398 (5,803)
Change in fair value recorded in earnings
— 4,702 4,702 — 4,723 4,723 
Balance at June 30, 2021
$413,935 $(22,573)$391,362 $413,935 $(22,551)$391,384 
Retail and Certificate Loans Held for
 Investment at Fair Value		Retail Notes, Certificates and Secured Borrowings
Outstanding Principal BalanceValuation AdjustmentFair ValueOutstanding Principal BalanceValuation AdjustmentFair Value
Balance at March 31, 2020
$990,662 $(105,249)$885,413 $990,662 $(103,822)$886,840 
Purchases
55,274 — 55,274 — — — 
Transfers (to) from retail and certificate loans held for investment and/or loans held for sale (1)
(101)— (101)— — — 
Issuances
— — — 55,274 — 55,274 
Principal payments and retirements
(171,541)— (171,541)(171,642)— (171,642)
Charge-offs, net of recoveries
(22,818)14,202 (8,616)(22,818)13,556 (9,262)
Change in fair value recorded in earnings
— 24,799 24,799 — 24,718 24,718 
Balance at June 30, 2020
$851,476 $(66,248)$785,228 $851,476 $(65,548)$785,928 

Retail and Certificate Loans Held for
 Investment at Fair Value		Retail Notes, Certificates and Secured Borrowings
Outstanding Principal BalanceValuation AdjustmentFair ValueOutstanding Principal BalanceValuation AdjustmentFair Value
Balance at December 31, 2020
$679,903 $(43,217)$636,686 $679,903 $(43,129)$636,774 
Principal payments and retirements
(245,759)— (245,759)(245,759)— (245,759)
Charge-offs, net of recoveries
(20,209)7,183 (13,026)(20,209)7,050 (13,159)
Change in fair value recorded in earnings
— 13,461 13,461 — 13,528 13,528 
Balance at June 30, 2021
$413,935 $(22,573)$391,362 $413,935 $(22,551)$391,384 
Retail and Certificate Loans Held for
 Investment at Fair Value		Retail Notes, Certificates and Secured Borrowings
Outstanding Principal BalanceValuation AdjustmentFair ValueOutstanding Principal BalanceValuation AdjustmentFair Value
Balance at December 31, 2019
$1,148,888 $(69,573)$1,079,315 $1,148,888 $(67,422)$1,081,466 
Purchases
159,894 — 159,894 — — — 
Transfers (to) from retail and certificate loans held for investment and/or loans held for sale (1)
(17,579)— (17,579)— — — 
Issuances
— — — 159,894 — 159,894 
Principal payments and retirements
(387,289)— (387,289)(404,868)— (404,868)
Charge-offs, net of recoveries
(52,438)31,513 (20,925)(52,438)29,987 (22,451)
Change in fair value recorded in earnings
— (28,188)(28,188)— (28,113)(28,113)
Balance at June 30, 2020
$851,476 $(66,248)$785,228 $851,476 $(65,548)$785,928 
(1)    Represents non-cash activity.
The following tables present additional information about Level 3 other loans held for investment at fair value on a recurring basis for the second quarters and first halves of 2021 and 2020:
Other Loans Held for Investment at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at March 31, 2021
$47,155 $(4,670)$42,485 
Purchases
39 27 66 
Principal payments and retirements
(8,246)— (8,246)
Charge-offs, net of recoveries
(811)755 (56)
Change in fair value recorded in earnings
— 274 274 
Balance at June 30, 2021
$38,137 $(3,614)$34,523 
Other Loans Held for Investment at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at March 31, 2020
$83,650 $(12,647)$71,003 
Purchases
386 (312)74 
Transfers (to) from other loans held for investment and/or loans held for sale (1)
137 — 137 
Principal payments and retirements
(7,949)— (7,949)
Charge-offs, net of recoveries
(1,065)377 (688)
Change in fair value recorded in earnings
— 2,980 2,980 
Balance at June 30, 2020
$75,159 $(9,602)$65,557 

Other Loans Held for Investment at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at December 31, 2020
$56,388 $(6,434)$49,954 
Purchases
155 (71)84 
Principal payments and retirements
(16,570)— (16,570)
Charge-offs, net of recoveries
(1,836)1,329 (507)
Change in fair value recorded in earnings
— 1,562 1,562 
Balance at June 30, 2021
$38,137 $(3,614)$34,523 
Other Loans Held for Investment at Fair Value
Outstanding Principal BalanceValuation AdjustmentFair Value
Balance at December 31, 2019
$47,042 $(3,349)$43,693 
Purchases
1,113 (1,005)108 
Transfers (to) from other loans held for investment and/or loans held for sale (1)
43,325 — 43,325 
Principal payments and retirements
(13,633)— (13,633)
Charge-offs, net of recoveries
(2,688)511 (2,177)
Change in fair value recorded in earnings
— (5,759)(5,759)
Balance at June 30, 2020
$75,159 $(9,602)$65,557 
(1)    Represents non-cash activity.
The following table presents additional information about Level 3 servicing assets measured at fair value on a recurring basis for the second quarters and first halves of 2021 and 2020:
Three Months Ended
June 30,		Six Months Ended
June 30,
2021202020212020
Fair value at beginning of period$54,113 $92,825 $56,347 $89,680 
Issuances (1)
17,968 1,755 25,203 19,336 
Change in fair value, included in Marketplace revenue(12,763)(25,062)(24,600)(34,670)
Other net changes included in Deferred revenue(590)(4,003)1,778 (8,831)
Fair value at end of period$58,728 $65,515 $58,728 $65,515 
(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 fair value measurements for retail and certificate loans held for investment at fair value and the related retail notes, certificates and secured borrowings at June 30, 2021 and December 31, 2020:
Retail and Certificate Loans Held for Investment at Fair Value,
and Retail Notes, Certificates and Secured Borrowings
June 30, 2021December 31, 2020
MinimumMaximumWeighted-
Average		MinimumMaximumWeighted-
Average
Discount rates7.6 %15.3 %9.8 %7.6 %15.0 %9.4 %
Net cumulative expected loss rates (1)
3.5 %19.9 %9.4 %4.3 %28.1 %11.2 %
Cumulative expected prepayment rates (1)
29.7 %38.1 %33.1 %27.3 %35.7 %30.4 %
(1)     Expressed as a percentage of the original principal balance of the loan, note, certificate or secured borrowing.
The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements for asset-backed securities related to Structured Program transactions at June 30, 2021 and December 31, 2020:
Asset-Backed Securities Related to Structured Program Transactions
June 30, 2021December 31, 2020
MinimumMaximumWeighted-
Average		MinimumMaximumWeighted-
Average
Discount rates6.0 %38.0 %23.2 %2.2 %25.1 %8.4 %
Net cumulative expected loss rates (1)
4.7 %23.8 %14.3 %5.4 %28.9 %18.8 %
Cumulative expected prepayment rates (1)
6.8 %35.2 %29.2 %6.3 %30.5 %24.8 %
(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 at June 30, 2021 and December 31, 2020:
Servicing Assets
June 30, 2021December 31, 2020
MinimumMaximumWeighted-
Average		MinimumMaximumWeighted-
Average
Discount rates7.5 %15.1 %9.9 %4.8 %16.4 %9.9 %
Net cumulative expected loss rates (1)
2.4 %25.4 %10.3 %4.5 %26.3 %12.5 %
Cumulative expected prepayment rates (1)
29.5 %46.8 %34.7 %27.0 %38.9 %31.2 %
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.
Fair Value Sensitivity of Loans
The following tables present adverse changes to the fair value sensitivity of Level 2 and Level 3 asset-backed securities related to Structured Program transactions to changes in key assumptions at June 30, 2021 and December 31, 2020:
June 30, 2021
Asset-Backed Securities Related to
Structured Program Transactions
Senior SecuritiesSubordinated SecuritiesCLUB Certificates
Fair value of interests held$49,555 $13,761 $32,157 
Expected weighted-average life (in years)0.81.30.9
Discount rates
100 basis point increase$(339)$(127)$(249)
200 basis point increase$(671)$(271)$(492)
Expected credit loss rates on underlying loans
10% adverse change$— $(550)$(780)
20% adverse change$— $(2,035)$(1,601)
Expected prepayment rates
10% adverse change$— $(551)$(430)
20% adverse change$— $(1,289)$(895)
December 31, 2020
Asset-Backed Securities Related to
Structured Program Transactions
Senior SecuritiesSubordinated SecuritiesCLUB Certificates
Fair value of interests held$75,372 $16,515 $50,139 
Expected weighted-average life (in years)0.91.40.9
Discount rates
100 basis point increase$(579)$(161)$(405)
200 basis point increase$(1,145)$(343)$(800)
Expected credit loss rates on underlying loans
10% adverse change$— $(1,831)$(1,528)
20% adverse change$— $(3,718)$(3,095)
Expected prepayment rates
10% adverse change$— $(791)$(659)
20% adverse change$— $(1,736)$(1,343)
Fair Value, Liabilities Measured on Recurring Basis
The following table presents additional information about Level 3 asset-backed securities related to Structured Program transactions measured at fair value on a recurring basis for the second quarters and first halves of 2021 and 2020:
Three Months Ended
June 30,		Six Months Ended
June 30,
2021202020212020
Fair value at beginning of period$59,754 $103,511 $66,654 $110,796 
Additions379 2,427 957 26,012 
Redemptions(2,224)(376)(2,224)(376)
Cash received(15,620)(17,808)(29,814)(34,074)
Change in unrealized gain (loss)1,733 2,131 4,858 (3,125)
Accrued interest1,574 2,194 2,695 3,826 
Reversal of (impairment on) securities available for sale322 3,511 2,792 (7,469)
Fair value at end of period$45,918 $95,590 $45,918 $95,590 
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 as of June 30, 2021 and December 31, 2020:
Servicing Assets
June 30, 2021December 31, 2020
Weighted-average market servicing rate assumptions
0.62 %0.62 %
Change in fair value from:
Servicing rate increase by 0.10%
$(8,204)$(7,379)
Servicing rate decrease by 0.10%
$8,204 $7,379 
Fair Value Sensitivity of Servicing Assets
The following table presents the fair value sensitivity of servicing assets to adverse changes in key assumptions as of June 30, 2021 and December 31, 2020:
Servicing Assets
June 30, 2021December 31, 2020
Fair value of servicing assets$58,728 $56,347 
Discount rates
100 basis point increase$(484)$(455)
200 basis point increase$(967)$(911)
Expected loss rates
10% adverse change$(270)$(346)
20% adverse change$(540)$(691)
Expected prepayment rates
10% adverse change$(1,452)$(1,596)
20% adverse change$(2,903)$(3,192)
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 June 30, 2021 and December 31, 2020:
June 30, 2021Carrying AmountLevel 1 InputsLevel 2 InputsLevel 3 InputsBalance at
Fair Value
Assets:
Loans and leases held for investment, net$2,299,045 $— $— $2,396,529 $2,396,529 
Loans held for sale46,267 — — 46,961 46,961 
Other assets12,495 — 10,220 3,038 13,258 
Total assets$2,357,807 $— $10,220 $2,446,528 $2,456,748 
Liabilities:
Deposits$63,236 $— $— $63,236 $63,236 
Short-term borrowings68,781 — 37,554 31,227 68,781 
Advances from PPPLF195,481 — — 195,481 195,481 
Other long-term debt15,650 — — 15,650 15,650 
Other liabilities50,056 — 30,475 19,581 50,056 
Total liabilities$393,204 $— $68,029 $325,175 $393,204 

December 31, 2020Carrying AmountLevel 1 InputsLevel 2 InputsLevel 3 InputsBalance at
Fair Value
Assets:
Total cash and cash equivalents (1)
$524,963 $— $524,963 $— $524,963 
Restricted cash (1)
103,522 — 103,522 — 103,522 
Other assets914 — 914 — 914 
Total assets$629,399 $— $629,399 $— $629,399 
Liabilities:
Short-term borrowings$104,989 $— $65,121 $39,868 $104,989 
Other liabilities57,536 — 43,984 13,552 57,536 
Total liabilities$162,525 $— $109,105 $53,420 $162,525 
(1)    Carrying amount approximates fair value due to the short maturity of these financial instruments.