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Fair Value of Assets and Liabilities (Tables)

9 Months Ended

Sep. 30, 2021

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 September 30, 2021 and December 31, 2020:


September 30, 2021	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Loans held for sale at fair value	$	—	$	—	$	152,160	$	152,160
Retail and certificate loans held for investment at fair value	—		—		298,541		298,541
Other loans held for investment at fair value	—		—		27,229		27,229
Securities available for sale:
U.S. agency residential mortgage-backed securities	—		113,894		—		113,894
Asset-backed senior securities and subordinated securities	—		37,708		11,810		49,518
Commercial mortgage-backed securities	—		28,644		—		28,644
Other asset-backed securities	—		27,846		—		27,846
U.S. agency securities	—		27,410		—		27,410
CLUB Certificate asset-backed securities	—		—		24,176		24,176
Municipal securities	—		3,242		—		3,242
Other securities	—		200		—		200
Total securities available for sale	—		238,944		35,986		274,930
Servicing assets	—		—		63,573		63,573
Other assets	—		3,235		5,357		8,592
Total assets	$	—	$	242,179	$	582,846	$	825,025

Liabilities:
Retail notes, certificates and secured borrowings	$	—	$	—	$	298,541	$	298,541
Payable on Structured Program borrowings	—		—		89,252		89,252
Other liabilities	—		—		17,941		17,941
Total liabilities	$	—	$	—	$	405,734	$	405,734


December 31, 2020	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance 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	—		75,372		16,515		91,887
CLUB Certificate asset-backed securities	—		—		50,139		50,139





Other securities	—		200		—		200
Total securities available for sale	—		75,572		66,654		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 September 30, 2021 and December 31, 2020:


	Loans Held for Sale at Fair Value
	September 30, 2021						December 31, 2020
	Minimum		Maximum		Weighted- Average		Minimum		Maximum		Weighted- Average
Discount rates	5.2	%	11.6	%	9.1	%	7.6	%	16.0	%	8.5	%
Net cumulative expected loss rates (1)	2.5	%	25.6	%	9.8	%	5.0	%	28.0	%	8.2	%
Cumulative expected prepayment rates (1)	30.6	%	44.8	%	36.0	%	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 September 30, 2021 and December 31, 2020:


	Other Loans Held for Investment at Fair Value
	September 30, 2021						December 31, 2020
	Minimum		Maximum		Weighted- Average		Minimum		Maximum		Weighted- Average
Discount rates	7.7	%	11.0	%	9.4	%	7.5	%	16.1	%	8.8	%
Net cumulative expected loss rates (1)	2.9	%	12.3	%	7.3	%	5.0	%	26.3	%	10.3	%
Cumulative expected prepayment rates (1)	30.6	%	40.2	%	35.2	%	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 September 30, 2021 and December 31, 2020, are as follows:


	September 30, 2021		December 31, 2020
Loans held for sale at fair value	$	152,160	$	121,902
Expected weighted-average life (in years)	1.2		1.1
Discount rates
100 basis point increase	$	(1,572)	$	(1,151)
200 basis point increase	$	(3,119)	$	(2,282)
Expected credit loss rates on underlying loans
10% adverse change	$	(675)	$	(1,099)
20% adverse change	$	(1,371)	$	(2,220)
Expected prepayment rates
10% adverse change	$	(1,568)	$	(273)
20% adverse change	$	(3,242)	$	(556)

The sensitivity of other loans held for investment at fair value to adverse changes in key assumptions as of September 30, 2021 and December 31, 2020, are as follows:


	September 30, 2021		December 31, 2020
Other loans held for investment at fair value	$	27,229	$	49,954
Expected weighted-average life (in years)	1.0		1.1
Discount rates
100 basis point increase	$	(229)	$	(541)
200 basis point increase	$	(453)	$	(1,073)
Expected credit loss rates on underlying loans
10% adverse change	$	(135)	$	(640)
20% adverse change	$	(275)	$	(1,295)
Expected prepayment rates
10% adverse change	$	(223)	$	(181)
20% adverse change	$	(461)	$	(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 third quarters and first nine months of 2021 and 2020:


	Loans Held for Sale at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at June 30, 2021		$	186,988	$	(6,927)	$	180,061
Originations and purchases		2,339,869		—		2,339,869


Sales		(2,342,158)		(85)		(2,342,243)
Principal payments and retirements		(27,211)		—		(27,211)
Charge-offs, net of recoveries		(1,138)		(209)		(1,347)
Change in fair value recorded in earnings		—		3,031		3,031
Balance at September 30, 2021		$	156,350	$	(4,190)	$	152,160




	Loans Held for Sale at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at June 30, 2020		$	668,262	$	(81,169)	$	587,093
Purchases		27,756		(6)		27,750

Transfers from loans held for investment and/or loans held for sale (1)		479		—		479
Sales		(442,744)		51,220		(391,524)
Principal payments and retirements		(44,439)		—		(44,439)
Charge-offs, net of recoveries		(6,565)		6,148		(417)
Change in fair value recorded in earnings		—		1,859		1,859
Balance at September 30, 2020		$	202,749	$	(21,948)	$	180,801


	Loans Held for Sale at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at December 31, 2020		$	132,600	$	(10,698)	$	121,902
Originations and purchases		5,320,264		(1,629)		5,318,635
Transfers from loans and leases held for investment at amortized cost (1)		1,181		—		1,181
Sales		(5,211,984)		10,568		(5,201,416)
Principal payments and retirements		(78,946)		—		(78,946)
Charge-offs, net of recoveries		(6,765)		3,711		(3,054)
Change in fair value recorded in earnings		—		(6,142)		(6,142)
Balance at September 30, 2021		$	156,350	$	(4,190)	$	152,160




	Loans Held for Sale at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at December 31, 2019		$	747,394	$	(25,039)	$	722,355
Purchases		1,430,213		(6)		1,430,207
Transfers to loans held for investment and/or loans held for sale (1)		(42,680)		—		(42,680)
Sales		(1,726,678)		82,076		(1,644,602)
Principal payments and retirements		(186,130)		—		(186,130)
Charge-offs, net of recoveries		(19,370)		17,945		(1,425)
Change in fair value recorded in earnings		—		(96,924)		(96,924)
Balance at September 30, 2020		$	202,749	$	(21,948)	$	180,801

(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 third quarters and first nine months of 2021 and 2020:


	Retail and Certificate Loans Held for Investment at Fair Value						Retail Notes, Certificates and Secured Borrowings
	Outstanding Principal Balance		Valuation Adjustment		Fair Value			Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at June 30, 2021	$	413,935	$	(22,573)	$	391,362		$	413,935	$	(22,551)	$	391,384




Principal payments and retirements	(94,152)		—		(94,152)			(94,152)		—		(94,152)
Charge-offs, net of recoveries	(5,775)		(3,293)		(9,068)			(5,775)		(3,315)		(9,090)
Change in fair value recorded in earnings	—		10,399		10,399			—		10,399		10,399
Balance at September 30, 2021	$	314,008	$	(15,467)	$	298,541		$	314,008	$	(15,467)	$	298,541

















	Retail and Certificate Loans Held for Investment at Fair Value						Retail Notes, Certificates and Secured Borrowings
	Outstanding Principal Balance		Valuation Adjustment		Fair Value		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at June 30, 2020	$	851,476	$	(66,248)	$	785,228	$	851,476	$	(65,548)	$	785,928
Purchases	77,389		—		77,389		—		—		—
Transfers to retail and certificate loans held for investment and/or loans held for sale (1)	(324)		—		(324)		—		—		—
Issuances	—		—		—		77,389		—		77,389
Principal payments and retirements	(159,753)		—		(159,753)		(160,077)		—		(160,077)
Charge-offs, net of recoveries	(12,218)		2,049		(10,169)		(12,218)		1,358		(10,860)
Change in fair value recorded in earnings	—		15,903		15,903		—		16,217		16,217
Balance at September 30, 2020	$	756,570	$	(48,296)	$	708,274	$	756,570	$	(47,973)	$	708,597


	Retail and Certificate Loans Held for Investment at Fair Value						Retail Notes, Certificates and Secured Borrowings
	Outstanding Principal Balance		Valuation Adjustment		Fair Value			Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at December 31, 2020	$	679,903	$	(43,217)	$	636,686		$	679,903	$	(43,129)	$	636,774
Principal payments and retirements	(339,911)		—		(339,911)			(339,911)		—		(339,911)
Charge-offs, net of recoveries	(25,984)		3,890		(22,094)			(25,984)		3,735		(22,249)
Change in fair value recorded in earnings	—		23,860		23,860			—		23,927		23,927
Balance at September 30, 2021	$	314,008	$	(15,467)	$	298,541		$	314,008	$	(15,467)	$	298,541

















	Retail and Certificate Loans Held for Investment at Fair Value						Retail Notes, Certificates and Secured Borrowings
	Outstanding Principal Balance		Valuation Adjustment		Fair Value		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at December 31, 2019	$	1,148,888	$	(69,573)	$	1,079,315	$	1,148,888	$	(67,422)	$	1,081,466
Purchases	237,283		—		237,283		—		—		—
Transfers to retail and certificate loans held for investment and/or loans held for sale (1)	(17,903)		—		(17,903)		—		—		—
Issuances	—		—		—		237,283		—		237,283

Principal payments and retirements	(547,042)		—		(547,042)		(564,945)		—		(564,945)
Charge-offs, net of recoveries	(64,656)		33,562		(31,094)		(64,656)		31,345		(33,311)
Change in fair value recorded in earnings	—		(12,285)		(12,285)		—		(11,896)		(11,896)
Balance at September 30, 2020	$	756,570	$	(48,296)	$	708,274	$	756,570	$	(47,973)	$	708,597

(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 third quarters and first nine months of 2021 and 2020:


	Other Loans Held for Investment at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at June 30, 2021		$	38,137	$	(3,614)	$	34,523
Purchases		6		2		8



Principal payments and retirements		(7,654)		—		(7,654)
Charge-offs, net of recoveries		(395)		324		(71)
Change in fair value recorded in earnings		—		423		423
Balance at September 30, 2021		$	30,094	$	(2,865)	$	27,229


	Other Loans Held for Investment at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at June 30, 2020		$	75,159	$	(9,602)	$	65,557
Purchases		201		(189)		12
Transfers to other loans held for investment and/or loans held for sale (1)		(155)		—		(155)


Principal payments and retirements		(8,205)		—		(8,205)
Charge-offs, net of recoveries		(768)		245		(523)
Change in fair value recorded in earnings		—		2,413		2,413
Balance at September 30, 2020		$	66,232	$	(7,133)	$	59,099


	Other Loans Held for Investment at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at December 31, 2020		$	56,388	$	(6,434)	$	49,954
Purchases		161		(69)		92



Principal payments and retirements		(24,224)		—		(24,224)
Charge-offs, net of recoveries		(2,231)		1,653		(578)
Change in fair value recorded in earnings		—		1,985		1,985
Balance at September 30, 2021		$	30,094	$	(2,865)	$	27,229


	Other Loans Held for Investment at Fair Value
		Outstanding Principal Balance		Valuation Adjustment		Fair Value
Balance at December 31, 2019		$	47,042	$	(3,349)	$	43,693
Purchases		1,314		(1,194)		120
Transfers from other loans held for investment and/or loans held for sale (1)		43,170		—		43,170


Principal payments and retirements		(21,838)		—		(21,838)
Charge-offs, net of recoveries		(3,456)		756		(2,700)
Change in fair value recorded in earnings		—		(3,346)		(3,346)
Balance at September 30, 2020		$	66,232	$	(7,133)	$	59,099

(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 third quarters and first nine months of 2021 and 2020:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Fair value at beginning of period	$	58,728	$	65,515	$	56,347	$	89,680
Issuances (1)	21,071		7,783		46,274		27,119
Change in fair value, included in Marketplace revenue	(14,984)		(13,376)		(39,584)		(48,046)
Other net changes included in Deferred revenue	(1,242)		(384)		536		(9,215)
Fair value at end of period	$	63,573	$	59,538	$	63,573	$	59,538

(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 September 30, 2021 and December 31, 2020:


	Retail and Certificate Loans Held for Investment at Fair Value, and Retail Notes, Certificates and Secured Borrowings
	September 30, 2021						December 31, 2020
	Minimum		Maximum		Weighted- Average		Minimum		Maximum		Weighted- Average
Discount rates	7.9	%	15.8	%	10.0	%	7.6	%	15.0	%	9.4	%
Net cumulative expected loss rates (1)	3.0	%	18.7	%	8.7	%	4.3	%	28.1	%	11.2	%
Cumulative expected prepayment rates (1)	32.0	%	41.0	%	37.5	%	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 September 30, 2021 and December 31, 2020:


	Asset-Backed Securities Related to Structured Program Transactions
	September 30, 2021						December 31, 2020
	Minimum		Maximum		Weighted- Average		Minimum		Maximum		Weighted- Average
Discount rates	6.0	%	38.0	%	25.0	%	2.2	%	25.1	%	8.4	%
Net cumulative expected loss rates (1)	3.3	%	19.2	%	12.0	%	5.4	%	28.9	%	18.8	%
Cumulative expected prepayment rates (1)	15.4	%	35.1	%	28.9	%	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 September 30, 2021 and December 31, 2020:


	Servicing Assets
	September 30, 2021						December 31, 2020
	Minimum		Maximum		Weighted- Average		Minimum		Maximum		Weighted- Average
Discount rates	7.5	%	15.1	%	10.0	%	4.8	%	16.4	%	9.9	%
Net cumulative expected loss rates (1)	2.5	%	25.5	%	10.0	%	4.5	%	26.3	%	12.5	%
Cumulative expected prepayment rates (1)	32.3	%	45.5	%	37.1	%	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 September 30, 2021 and December 31, 2020:


	September 30, 2021
	Asset-Backed Securities Related to Structured Program Transactions
	Senior Securities		Subordinated Securities		CLUB Certificates
Fair value of interests held	$	37,708	$	11,810	$	24,176
Expected weighted-average life (in years)	0.7		1.3		0.8
Discount rates
100 basis point increase	$	(260)	$	(109)	$	(187)
200 basis point increase	$	(515)	$	(232)	$	(370)
Expected credit loss rates on underlying loans
10% adverse change	$	—	$	(854)	$	(587)
20% adverse change	$	—	$	(1,746)	$	(1,204)
Expected prepayment rates
10% adverse change	$	—	$	(473)	$	(323)
20% adverse change	$	—	$	(1,106)	$	(673)


	December 31, 2020
	Asset-Backed Securities Related to Structured Program Transactions
	Senior Securities		Subordinated Securities		CLUB Certificates
Fair value of interests held	$	75,372	$	16,515	$	50,139
Expected weighted-average life (in years)	0.9		1.4		0.9
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 third quarters and first nine months of 2021 and 2020:


	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Fair value at beginning of period	$	45,918	$	95,590	$	66,654	$	110,796
Additions	488		446		1,445		26,458
Redemptions	(1,525)		(426)		(3,749)		(802)
Transfers	—		(517)		—		(517)
Cash received	(12,869)		(20,297)		(42,683)		(54,371)
Change in unrealized gain	2,110		3,413		6,968		288
Accrued interest	1,369		1,823		4,064		5,649
Reversal of (impairment on) securities available for sale	495		3,669		3,287		(3,800)

Fair value at end of period	$	35,986	$	83,701	$	35,986	$	83,701

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 September 30, 2021 and December 31, 2020:


	Servicing Assets
	September 30, 2021			December 31, 2020
Weighted-average market servicing rate assumptions	0.62		%	0.62		%
Change in fair value from:
Servicing rate increase by 0.10%	$	(8,904)		$	(7,379)
Servicing rate decrease by 0.10%	$	8,904		$	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 September 30, 2021 and December 31, 2020:


	Servicing Assets
	September 30, 2021		December 31, 2020
Fair value of servicing assets	$	63,573	$	56,347
Discount rates
100 basis point increase	$	(523)	$	(455)
200 basis point increase	$	(1,047)	$	(911)
Expected loss rates
10% adverse change	$	(442)	$	(346)
20% adverse change	$	(884)	$	(691)
Expected prepayment rates
10% adverse change	$	(2,681)	$	(1,596)
20% adverse change	$	(5,362)	$	(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 September 30, 2021 and December 31, 2020:


September 30, 2021	Carrying Amount		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Loans and leases held for investment, net	$	2,603,256	$	—	$	—	$	2,741,859	$	2,741,859


Other assets	2,717		—		12,246		2,717		14,963
Total assets	$	2,605,973	$	—	$	12,246	$	2,744,576	$	2,756,822
Liabilities:
Deposits	$	73,065	$	—	$	—	$	73,065	$	73,065




Short-term borrowings	46,110		—		25,563		20,547		46,110
Advances from PPPLF	391,945		—		—		391,945		391,945
Other long-term debt	15,563		—		—		15,563		15,563


Other liabilities	45,457		—		20,910		24,547		45,457
Total liabilities	$	572,140	$	—	$	46,473	$	525,667	$	572,140


December 31, 2020	Carrying Amount		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance 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 assets	914		—		914		—		914

Total assets	$	629,399	$	—	$	629,399	$	—	$	629,399
Liabilities:



Short-term borrowings	$	104,989	$	—	$	65,121	$	39,868	$	104,989
Other liabilities	57,536		—		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.