Fair Value Measurement (Tables)
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9 Months Ended |
Sep. 30, 2021 |
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| Fair Value Disclosures [Abstract] |
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| Assets And Liabilities Measured At Fair Value |
The following table presents assets and liabilities measured at fair value and categorized as Level 3 in the fair value hierarchy: | | | | | | | | | | | | | | | | | December 31, | | September 30, | | | 2020 | | 2021 | | Assets | | | | | | Loans | | $ | 78,460 | | | $ | 129,625 | | | Notes receivable and residual certificates | | 19,074 | | | 10,489 | | | Loan servicing assets | | 6,831 | | | 12,380 | | | Total assets | | $ | 104,365 | | | $ | 152,494 | | | Liabilities | | | | | | Loan servicing liabilities | | $ | 8,254 | | | $ | 7,188 | | | Trailing fee liabilities | | 1,276 | | | 3,334 | | | Total liabilities | | $ | 9,530 | | | $ | 10,522 | |
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| Fair Value Of Classes of Loans Held |
The following table presents the fair value of classes of loans held by the Company: | | | | | | | | | | | | | December 31, | | September 30, | | 2020 | | 2021 | | Loans held-for-sale | $ | 60,232 | | | $ | 31,208 | | | Loans held-for-investment | 18,228 | | | 98,417 | | | | | | | Total | $ | 78,460 | | | $ | 129,625 | |
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| Significant Unobservable Inputs |
The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements for loans held-for-investment and held-for-sale: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2020 | | September 30, 2021 | | Minimum | | Maximum | | Weighted-Average (2) | | Minimum | | Maximum | | Weighted-Average (2) | | Discount rate | 6.80 | % | | 16.99 | % | | 7.44 | % | | 3.39 | % | | 17.26 | % | | 7.13 | % | Credit risk rate (1) | 0.36 | % | | 52.31 | % | | 19.82 | % | | 0.08 | % | | 50.85 | % | | 17.65 | % | Prepayment rate (1) | 11.64 | % | | 78.36 | % | | 31.03 | % | | 10.24 | % | | 84.76 | % | | 40.40 | % |
(1)Expressed as a percentage of the original principal balance of the loans (2)Unobservable inputs were weighted by relative fair value The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements of assets related to securitization transactions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2020 | | September 30, 2021 | | Minimum | | Maximum | | Weighted-Average (2) | | Minimum | | Maximum | | Weighted-Average (2) | | Notes receivable and residual certificates | | | | | | | | | | | | | Discount rate | 3.01 | % | | 14.00 | % | | 5.84 | % | | 5.80 | % | | 15.70 | % | | 6.54 | % | Credit risk rate (1) | 0.04 | % | | 50.69 | % | | 17.12 | % | | 0.04 | % | | 50.69 | % | | 18.22 | % | Prepayment rate (1) | 15.60 | % | | 36.88 | % | | 27.63 | % | | 15.60 | % | | 36.16 | % | | 27.75 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
_________(1)Expressed as a percentage of the original principal balance of the loans underlying the financial instruments (2)Unobservable inputs were weighted by relative fair value
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| Sensitivity Analysis of Fair Value |
The below table presents the sensitivity of the loans held-for-sale and held-for-investment to adverse changes in key assumptions used in the valuation model as of December 31, 2020 and September 30, 2021, respectively. The estimated fair value of these loans is not sensitive to adverse changes in expected prepayment rates as such changes would not result in a significant impact on the fair value in either periods.
| | | | | | | | | | | | | December 31, | | September 30, | | 2020 | | 2021 | | Fair value of loans | $ | 78,460 | | | $ | 129,625 | | | Discount rates | | | | | 100 basis point increase | (979) | | | (1,760) | | | 200 basis point increase | (1,939) | | | (3,482) | | | Expected credit loss rates on underlying loans | | | | | 10% adverse change | (1,303) | | | (1,964) | | | 20% adverse change | (2,611) | | | (3,929) | | | | | | | | | | | | | |
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| Rollforward Of Level 3 Assets |
The following tables include a rollforward of the loans classified within Level 3 of the fair value hierarchy: | | | | | | | | | | | | | | | | | | | | | | | | | Loans Held-for-
Sale | | Loans Held-for-Investment | | Loans Held-for-
Investment (Securitized) | | Total | | Fair value at June 30, 2020 | $ | 108,108 | | | $ | 15,190 | | | $ | — | | | $ | 123,298 | | | | | | | | | | | Purchases of loans | 10,512 | | | 980 | | | — | | | 11,492 | | | | | | | | | | | Purchase of loans for immediate resale | 639,471 | | | — | | | — | | | 639,471 | | | Immediate resale | (639,471) | | | — | | | — | | | (639,471) | | | Repayments received | (9,036) | | | (1,496) | | | — | | | (10,532) | | | Changes in fair value recorded in earnings | (1,458) | | | (104) | | | — | | | (1,562) | | | Other changes | 20 | | | (8) | | | — | | | 12 | | | | | | | | | | | Fair value at September 30, 2020 | $ | 108,146 | | | $ | 14,562 | | | $ | — | | | $ | 122,708 | |
| | | | | | | | | | | | | | | | | | | | | | | | | Loans Held-for-
Sale | | Loans Held-for-Investment | | Loans Held-for-
Investment (Securitized) | | Total | | Fair value at December 31, 2019 | $ | — | | | $ | 141,555 | | | $ | 90,750 | | | $ | 232,305 | | | Reclassification of loans from HFI to HFS | 125,297 | | | (125,297) | | | — | | | — | | | Purchases of loans | 109,113 | | | 3,774 | | | — | | | 112,887 | | | Sale of loans | (94,949) | | | — | | | — | | | (94,949) | | | Purchase of loans for immediate resale | 1,554,705 | | | — | | | — | | | 1,554,705 | | | Immediate resale | (1,554,705) | | | — | | | — | | | (1,554,705) | | | Repayments received | (23,390) | | | (4,124) | | | (24,018) | | | (51,532) | | | Changes in fair value recorded in earnings | (7,940) | | | (1,352) | | | (9,508) | | | (18,800) | | | Other changes | 15 | | | 6 | | | (2) | | | 19 | | | Changes due to deconsolidation | — | | | — | | | (57,222) | | | (57,222) | | | Fair value at September 30, 2020 | $ | 108,146 | | | $ | 14,562 | | | $ | — | | | $ | 122,708 | |
| | | | | | | | | | | | | | | | | | | | | | | | | Loans Held-for-
Sale | | Loans Held-for-Investment | | Loans Held-for-
Investment (Securitized) | | Total | | Fair value at June 30, 2021 | $ | 26,741 | | | $ | 55,570 | | | $ | — | | | $ | 82,311 | | | | | | | | | | | Purchases of loans | 41,994 | | | 50,190 | | | — | | | 92,184 | | | Sale of loans | (34,429) | | | — | | | — | | | (34,429) | | | Purchase of loans for immediate resale | 2,458,757 | | | — | | | — | | | 2,458,757 | | | Immediate resale | (2,458,757) | | | — | | | — | | | (2,458,757) | | | Repayments received | (1,831) | | | (6,125) | | | — | | | (7,956) | | | Changes in fair value recorded in earnings | (1,313) | | | (1,576) | | | — | | | (2,889) | | | Other changes | 46 | | | 358 | | | — | | | 404 | | | | | | | | | | | Fair value at September 30, 2021 | $ | 31,208 | | | $ | 98,417 | | | $ | — | | | $ | 129,625 | |
| | | | | | | | | | | | | | | | | | | | | | | | | Loans Held-for-
Sale | | Loans Held-for-Investment | | Loans Held-for-
Investment (Securitized) | | Total | | Fair value at December 31, 2020 | $ | 60,232 | | | $ | 18,228 | | | $ | — | | | $ | 78,460 | | | Reclassification of loans from HFI to HFS | (26) | | | 26 | | | — | | | — | | | Purchases of loans | 80,305 | | | 92,738 | | | — | | | 173,043 | | | Sale of loans | (101,330) | | | — | | | — | | | (101,330) | | | Purchase of loans for immediate resale | 5,872,988 | | | — | | | — | | | 5,872,988 | | | Immediate resale | (5,872,988) | | | — | | | — | | | (5,872,988) | | | Repayments received | (6,867) | | | (12,253) | | | — | | | (19,120) | | | Changes in fair value recorded in earnings | (961) | | | (960) | | | — | | | (1,921) | | | Other changes | (145) | | | 638 | | | — | | | 493 | | | | | | | | | | | Fair value at September 30, 2021 | $ | 31,208 | | | $ | 98,417 | | | $ | — | | | $ | 129,625 | |
The following tables include a rollforward of the notes receivable and residual certificates related to securitization transactions classified by the Company within Level 3 of the fair value hierarchy: | | | | | | | | | Notes Receivable and Residual Certificates | | | | Fair value at June 30, 2020 | $ | 24,840 | | | | | | | | | Repayments and settlements | (3,690) | | | | | Changes in fair value recorded in earnings | 903 | | | | | | | | | Fair value at September 30, 2020 | $ | 22,053 | | | |
| | | | | | | | | Notes Receivable and Residual Certificates | | | | Fair value at December 31, 2019 | $ | 34,116 | | | | | Purchases and issuances of securitization notes and residual certificates | 4 | | | | | Repayments and settlements | (11,306) | | | | | Changes in fair value recorded in earnings | (761) | | | | | | | | | Fair value at September 30, 2020 | $ | 22,053 | | | |
| | | | | | | | | Notes Receivable and Residual Certificates | | | | Fair value at June 30, 2021 | $ | 12,995 | | | | | | | | | Repayments and settlements | (2,766) | | | | | Changes in fair value recorded in earnings | 260 | | | | | | | | | Fair value at September 30, 2021 | $ | 10,489 | | | |
| | | | | | | | | Notes Receivable and Residual Certificates | | | | Fair value at December 31, 2020 | $ | 19,074 | | | | | | | | | Repayments and settlements | (9,115) | | | | | Changes in fair value recorded in earnings | 530 | | | | | | | | | Fair value at September 30, 2021 | $ | 10,489 | | | |
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| Level 3 Fair Value Assumptions for Loan Servicing Assets and Liabilities |
The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements for loan servicing assets and liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2020 | | September 30, 2021 | | Minimum | | Maximum | | Weighted-Average (2) | | Minimum | | Maximum | | Weighted-Average (2) | | Discount rate | 15.00 | % | | 35.00 | % | | 22.69 | % | | 13.00 | % | | 20.00 | % | | 17.73 | % | Credit risk rate (1) | 0.03 | % | | 52.78 | % | | 17.19 | % | | 0.03 | % | | 52.78 | % | | 18.29 | % | Market-servicing rate (3)(4) | 0.75 | % | | 0.75 | % | | 0.75 | % | | 0.62 | % | | 0.62 | % | | 0.62 | % | Prepayment rate (1) | 9.07 | % | | 89.01 | % | | 31.62 | % | | 5.99 | % | | 92.60 | % | | 34.37 | % |
_________(1)Expressed as a percentage of the original principal balance of the loans underlying the servicing arrangement (2)Unobservable inputs were weighted by relative fair value (3)Excludes ancillary fees that would be passed on to a third-party servicer (4)Expressed as a percentage of the outstanding principal balance of the loan
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| Fair Value Sensitivity of Loan Servicing Assets And Liabilities to Adverse Changes in Key Assumptions |
The table below presents the fair value sensitivity of loan servicing assets and liabilities to adverse changes in key assumptions. The fair value of loan servicing assets and liabilities is not sensitive to adverse changes in discount rates as such changes would not result in a significant impact on the fair value as of December 31, 2020 and September 30, 2021, respectively. | | | | | | | | | | | | | December 31, | | September 30, | | 2020 | | 2021 | | Fair value of loan servicing assets | $ | 6,831 | | | $ | 12,380 | | | Expected market-servicing rates | | | | | 10% market-servicing rates increase | (19,013) | | | (3,724) | | | 20% market-servicing rates increase | (38,027) | | | (7,354) | | | Expected prepayment rates | | | | | 10% adverse change | (2,061) | | | (169) | | | 20% adverse change | (4,212) | | | (337) | | | | | | | | | | | | | |
| | | | | | | | | | | | | December 31, | | September 30, | | 2020 | | 2021 | | Fair value of loan servicing liabilities | $ | 8,254 | | | $ | 7,188 | | | Expected market-servicing rates | | | | | 10% market-servicing rates increase | 22,974 | | | 4,939 | | | 20% market-servicing rates increase | 45,948 | | | 9,972 | | | Expected prepayment rates | | | | | 10% adverse change | 2,491 | | | 109 | | | 20% adverse change | 5,089 | | | 216 | | | | | | | | | | | | | |
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| Servicing Liabilities at Fair Value Rollforward |
The following tables present a rollforward of the loan servicing assets and liabilities classified by the Company within Level 3 of the fair value hierarchy: | | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at June 30, 2020 | $ | 5,880 | | | $ | 6,615 | | | Sale of loans | 1,833 | | | 1,766 | | | Changes in fair value recorded in earnings | (1,155) | | | (1,032) | | | Fair value at September 30, 2020 | $ | 6,558 | | | $ | 7,349 | |
| | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at December 31, 2019 | $ | 4,725 | | | $ | 5,140 | | | Sale of loans | 5,003 | | | 3,256 | | | Changes in fair value recorded in earnings | (3,170) | | | (1,047) | | | Fair value at September 30, 2020 | $ | 6,558 | | | $ | 7,349 | |
| | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at June 30, 2021 | $ | 15,450 | | | $ | 11,883 | | | Sale of loans | 4,904 | | | 2,783 | | | Changes in fair value recorded in earnings | (7,974) | | | (7,478) | | | Fair value at September 30, 2021 | $ | 12,380 | | | $ | 7,188 | |
| | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at December 31, 2020 | $ | 6,831 | | | $ | 8,254 | | | Sale of loans | 14,833 | | | 10,610 | | | Changes in fair value recorded in earnings | (9,284) | | | (11,676) | | | Fair value at September 30, 2021 | $ | 12,380 | | | $ | 7,188 | |
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| Servicing Assets at Fair Value Rollforward |
The following tables present a rollforward of the loan servicing assets and liabilities classified by the Company within Level 3 of the fair value hierarchy: | | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at June 30, 2020 | $ | 5,880 | | | $ | 6,615 | | | Sale of loans | 1,833 | | | 1,766 | | | Changes in fair value recorded in earnings | (1,155) | | | (1,032) | | | Fair value at September 30, 2020 | $ | 6,558 | | | $ | 7,349 | |
| | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at December 31, 2019 | $ | 4,725 | | | $ | 5,140 | | | Sale of loans | 5,003 | | | 3,256 | | | Changes in fair value recorded in earnings | (3,170) | | | (1,047) | | | Fair value at September 30, 2020 | $ | 6,558 | | | $ | 7,349 | |
| | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at June 30, 2021 | $ | 15,450 | | | $ | 11,883 | | | Sale of loans | 4,904 | | | 2,783 | | | Changes in fair value recorded in earnings | (7,974) | | | (7,478) | | | Fair value at September 30, 2021 | $ | 12,380 | | | $ | 7,188 | |
| | | | | | | | | | | | | Loan Servicing Assets | | Loan Servicing Liabilities | | Fair value at December 31, 2020 | $ | 6,831 | | | $ | 8,254 | | | Sale of loans | 14,833 | | | 10,610 | | | Changes in fair value recorded in earnings | (9,284) | | | (11,676) | | | Fair value at September 30, 2021 | $ | 12,380 | | | $ | 7,188 | |
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| Rollforward of Level 3 Liabilities |
The following tables include a rollforward of trailing fee liabilities classified by the Company within Level 3 of the fair value hierarchy: | | | | | | | Trailing Fee Liabilities | | Fair value at June 30, 2020 | $ | 720 | | | Issuances | 263 | | | Repayments and settlements | (89) | | | | | | | | | Fair value at September 30, 2020 | $ | 894 | |
| | | | | | | Trailing Fee Liabilities | | Fair value at December 31, 2019 | $ | 504 | | | Issuances | 632 | | | Repayments and settlements | (219) | | | Changes in fair value recorded in earnings | (23) | | | | | | | Fair value at September 30, 2020 | $ | 894 | |
| | | | | | | Trailing Fee Liabilities | | Fair value at June 30, 2021 | $ | 2,513 | | | Issuances | 1,148 | | | Repayments and settlements | (350) | | | Changes in fair value recorded in earnings | 23 | | | | | Fair value at September 30, 2021 | $ | 3,334 | |
| | | | | | | Trailing Fee Liabilities | | Fair value at December 31, 2020 | $ | 1,276 | | | Issuances | 2,753 | | | Repayments and settlements | (766) | | | Changes in fair value recorded in earnings | 71 | | | | | Fair value at September 30, 2021 | $ | 3,334 | |
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