Fair Value of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2016

Loans, Loan Servicing Rights, Related Notes and Certificates

The following tables present the fair value hierarchy for assets and liabilities measured at fair value:



March 31, 2016	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Loans	$	—	$	—	$	4,716,156	$	4,716,156
Securities available for sale:
Corporate debt securities	—		209,171		—		209,171
Asset-backed securities	—		48,079		—		48,079
U.S. agency securities	—		16,583		—		16,583
U.S. Treasury securities	—		3,516		—		3,516
Other securities	—		6,951		—		6,951
Total securities available for sale	—		284,300		—		284,300
Servicing assets	—		—		16,964		16,964
Total assets	$	—	$	284,300	$	4,733,120	$	5,017,420

Liabilities:
Notes and certificates	$	—	$	—	$	4,713,449	$	4,713,449
Servicing liabilities	—		—		2,827		2,827
Total liabilities	$	—	$	—	$	4,716,276	$	4,716,276



December 31, 2015	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Loans	$	—	$	—	$	4,556,081	$	4,556,081
Securities available for sale:
Corporate debt securities	—		215,751		—		215,751
Asset-backed securities	—		54,409		—		54,409
U.S. agency securities	—		16,578		—		16,578
U.S. Treasury securities	—		3,485		—		3,485
Other securities	—		6,988		—		6,988
Total securities available for sale	—		297,211		—		297,211
Servicing assets	—		—		10,250		10,250
Total assets	$	—	$	297,211	$	4,566,331	$	4,863,542

Liabilities:
Notes and certificates	$	—	$	—	$	4,571,583	$	4,571,583
Servicing liabilities	—		—		3,973		3,973
Total liabilities	$	—	$	—	$	4,575,556	$	4,575,556

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, 2016 and December 31, 2015:



		March 31, 2016
		Range of Inputs
Financial Instrument	Unobservable Input	Minimum		Maximum		Weighted- Average
Loans, notes and certificates	Discount rates	3.0	%	22.7	%	8.1	%
	Net cumulative expected loss rates⁽¹⁾	0.3	%	27.5	%	11.6	%
	Cumulative prepayment rates⁽¹⁾	8.0	%	44.3	%	32.6	%

Servicing asset/liability	Discount rates	3.5	%	21.6	%	9.0	%
	Net cumulative expected loss rates⁽¹⁾	0.3	%	27.5	%	9.7	%
	Cumulative prepayment rates⁽¹⁾	8.0	%	44.3	%	36.6	%
	Total market servicing rates (% per annum on unpaid principal balance)⁽²⁾	0.57	%	0.90	%	0.57	%

		December 31, 2015
		Range of Inputs
Financial Instrument	Unobservable Input	Minimum		Maximum		Weighted- Average
Loans, notes and certificates	Discount rates	2.9	%	17.5	%	9.0	%
	Net cumulative expected loss rates⁽¹⁾	0.3	%	22.0	%	9.9	%
	Cumulative prepayment rates⁽¹⁾	23.4	%	36.4	%	30.8	%

Servicing asset/liability	Discount rates	3.5	%	16.3	%	9.4	%
	Net cumulative expected loss rates⁽¹⁾	0.3	%	22.0	%	8.8	%
	Cumulative prepayment rates⁽¹⁾	8.0	%	36.4	%	30.5	%
	Base market servicing rates (% per annum on unpaid principal balance)⁽³⁾	0.50	%	0.75	%	0.50	%


⁽¹⁾	Expressed as a percentage of the original principal balance of the loan, note or certificate.


⁽²⁾	Includes ancillary fees estimated to be paid to a hypothetical third-party servicer.


⁽³⁾	Excludes ancillary fees that would be passed on to a hypothetical third-party servicer. As of December 31, 2015, the market rate for ancillary fees was assumed to be 7 basis points for a weighted-average total market servicing rate of 57 basis points.

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, 2016 and December 31, 2015:



	March 31, 2016						December 31, 2015
	Servicing Assets			Servicing Liabilities			Servicing Assets			Servicing Liabilities
Weighted-average market servicing rate assumptions⁽¹⁾	0.57		%	0.57		%	0.50		%	0.50		%
Change in fair value from:
Servicing rate increase by 0.10%	$	(4,852	)	$	1,235		$	(3,504	)	$	1,589
Servicing rate decrease by 0.10%	$	4,960		$	(1,127	)	$	3,610		$	(1,483	)


⁽¹⁾	Represents total market servicing rates, which include ancillary fees, at March 31, 2016, and base market servicing rates, which exclude ancillary fees, at December 31, 2015. As of December 31, 2015, the market rate for ancillary fees was assumed to be 7 basis points for a weighted-average total market servicing rate of 57 basis points.

Fair Value, by Balance Sheet Grouping

The following tables present the fair value hierarchy for financial instruments not recorded at fair value:



March 31, 2016	Carrying Amount		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Cash and cash equivalents	$	583,842	$	—	$	583,842	$	—	$	583,842
Restricted cash	104,485		—		104,485		—		104,485
Deposits	872		—		872		—		872
Total assets	$	689,199	$	—	$	689,199	$	—	$	689,199
Liabilities:
Accrued expenses and other liabilities	$	1,699	$	—	$	—	$	1,699	$	1,699
Accounts payable	$	5,860	$	—	$	5,860	$	—	$	5,860
Payables to investors	71,917		—		71,917		—		71,917
Total liabilities	$	79,476	$	—	$	77,777	$	1,699	$	79,476



December 31, 2015	Carrying Amount		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Balance at Fair Value
Assets:
Cash and cash equivalents	$	623,531	$	—	$	623,531	$	—	$	623,531
Restricted cash	80,733		—		80,733		—		80,733
Deposits	871		—		871		—		871
Total assets	$	705,135	$	—	$	705,135	$	—	$	705,135
Liabilities:
Accounts payable	$	5,542	$	—	$	5,542	$	—	$	5,542
Payables to investors	73,162		—		73,162		—		73,162
Total liabilities	$	78,704	$	—	$	78,704	$	—	$	78,704

Loans, Notes and Certificates

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

The following tables present additional information about Level 3 loans, notes and certificates measured at fair value on a recurring basis for the first quarters of 2016 and 2015:



	Loans									Notes and Certificates
	Outstanding Principal Balance			Valuation Adjustment			Fair Value			Outstanding Principal Balance			Valuation Adjustment			Fair Value
Beginning balance at December 31, 2015	$	4,681,671		$	(125,590	)	$	4,556,081		$	4,697,169		$	(125,586	)	$	4,571,583
Purchases of loans	2,230,288			—			2,230,288			—			—			—
Issuances of notes and certificates	—			—			—			901,258			—			901,258
Whole loan sales	(1,308,463		)	—			(1,308,463		)	—			—			—
Principal payments	(586,159		)	—			(586,159		)	(583,982		)	—			(583,982		)
Charge-offs	(84,991		)	84,991			—			(84,977		)	84,977			—
Recoveries	—			(10,191		)	(10,191		)	—			(10,177		)	(10,177		)
Change in fair value recorded in earnings	—			(165,400		)	(165,400		)	—			(165,233		)	(165,233		)
Ending balance at March 31, 2016	$	4,932,346		$	(216,190	)	$	4,716,156		$	4,929,468		$	(216,019	)	$	4,713,449

	Loans									Notes and Certificates
	Outstanding Principal Balance			Valuation Adjustment			Fair Value			Outstanding Principal Balance			Valuation Adjustment			Fair Value
Beginning balance at December 31, 2014	$	2,836,729		$	(38,224	)	$	2,798,505		$	2,851,837		$	(38,219	)	$	2,813,618
Purchases of loans	1,474,972			—			1,474,972			—			—			—
Issuances of notes and certificates	—			—			—			852,715			—			852,715
Whole loan sales	(622,145		)	—			(622,145		)	—			—			—
Principal payments	(369,379		)	—			(369,379		)	(365,711		)	—			(365,711		)
Charge-offs	(43,821		)	43,821			—			(43,807		)	43,807			—
Recoveries	—			(3,472		)	(3,472		)	—			(3,461		)	(3,461		)
Change in fair value recorded in earnings	—			(47,820		)	(47,820		)	—			(47,815		)	(47,815		)
Ending balance at March 31, 2015	$	3,276,356		$	(45,695	)	$	3,230,661		$	3,295,034		$	(45,688	)	$	3,249,346

Servicing asset/liability

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

The following table presents additional information about Level 3 servicing assets and liabilities measured at fair value on a recurring basis for the first quarters of 2016 and 2015:



	Three Months Ended March 31, 2016					Three Months Ended March 31, 2015
	Servicing Assets		Servicing Liabilities			Servicing Assets			Servicing Liabilities
Fair value at beginning of period	$	10,250	$	(3,973	)	$	2,181		$	(3,973	)
Issuances ⁽¹⁾	5,631		(932		)	1,508			(1,412		)
Changes in fair value, included in servicing fees	232		2,078			(491		)	988
Additions, included in deferred revenue	851		—			298			—
Fair value at end of period	$	16,964	$	(2,827	)	$	3,496		$	(4,397	)


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