Securitizations and Variable Interest Entities (Tables)

9 Months Ended

Sep. 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 September 30, 2018 and December 31, 2017:



September 30, 2018	Consolidated VIEs		Unconsolidated VIEs		Total
Assets
Restricted cash	$	31,855	$	—	$	31,855
Securities available for sale at fair value	—		109,679		109,679
Loans held for investment at fair value	770,901		—		770,901
Loans held for sale by Company at fair value	307,828		—		307,828
Accrued interest receivable	9,596		1,053		10,649
Other assets	2,456		27,867		30,323
Total assets	$	1,122,636	$	138,599	$	1,261,235
Liabilities
Accrued interest payable	$	8,804	$	—	$	8,804
Accrued expenses and other liabilities	1,214		—		1,214
Notes, certificates and secured borrowings at fair value	776,403		—		776,403
Credit facilities and securities sold under repurchase agreements	185,752		24,584		210,336
Total liabilities	972,173		24,584		996,757
Total net assets	$	150,463	$	114,015	$	264,478



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 third quarters and first nine months of 2018 and 2017:



	Three Months Ended September 30, 2018				Three Months Ended September 30, 2017
	Personal Whole Loan Securitizations		Personal Whole Loan CLUB Certificates		Personal Whole Loan Securitizations
Principal derecognized from loans securitized or sold	$	299,348	$	309,037	$	350,854
Net gains (losses) recognized from loans securitized or sold	$	530	$	3,013	$	772
Fair value of senior securities and subordinated certificates retained upon settlement ⁽¹⁾	$	14,869	$	15,481	$	18,529
Cash proceeds from loans securitized or sold	$	277,509	$	297,386	$	308,614
Cash proceeds from servicing and other administrative fees on loans securitized or sold	$	4,040	$	1,029	$	870
Cash proceeds for interest received on senior securities and subordinated certificates	$	742	$	441	$	102


⁽¹⁾	For personal whole loan securitizations, the Company retained senior securities of $13.5 million and $16.1 million for the third quarters of 2018 and 2017, respectively, and subordinated certificates of $1.4 million and $2.4 million for the third quarters of 2018 and 2017, respectively.



	Nine Months Ended September 30, 2018				Nine Months Ended September 30, 2017
	Personal Whole Loan Securitizations		Personal Whole Loan CLUB Certificates		Personal Whole Loan Securitizations
Principal derecognized from loans securitized or sold	$	1,300,838	$	667,582	$	687,512
Net gains (losses) recognized from loans securitized or sold	$	6,039	$	6,050	$	2,511
Fair value of senior securities and subordinated certificates retained upon settlement ⁽¹⁾	$	65,653	$	33,307	$	36,065
Cash proceeds from loans securitized or sold	$	867,875	$	638,191	$	569,443
Cash proceeds from servicing and other administrative fees on loans securitized or sold	$	9,533	$	1,736	$	940
Cash proceeds for interest received on senior securities and subordinated certificates	$	2,044	$	852	$	102


⁽¹⁾	For personal whole loan securitizations, the Company retained senior securities of $57.3 million and $30.1 million and subordinated certificates of $8.4 million and $6.0 million, for the first nine months of 2018 and 2017, respectively.

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 September 30, 2018 and December 31, 2017:



September 30, 2018	Assets		Liabilities			Net Assets
Trust certificates	$	790,736	$	(785,338	)	$	5,398
Warehouse credit facilities	331,900		(186,835		)	145,065
Total consolidated VIEs	$	1,122,636	$	(972,173	)	$	150,463



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 September 30, 2018 and December 31, 2017:



September 30, 2018			Carrying Value
	Total VIE Assets		Securities Available for Sale		Accrued Interest Receivable		Other Assets		Accrued Expenses and Other Liabilities		Securities Sold Under Repurchase Agreements			Net Assets
Securitizations	$	1,603,675	$	80,632	$	912	$	14,114	$	—	$	(24,584	)	$	71,074
CLUB Certificates	577,608		29,047		141		5,268		—		—			34,456
Investment Fund	35,901		—		—		8,485		—		—			8,485
Total unconsolidated VIEs	$	2,217,184	$	109,679	$	1,053	$	27,867	$	—	$	(24,584	)	$	114,015



September 30, 2018	Maximum Exposure to Loss
	Securities Available for Sale		Accrued Interest Receivable		Other Assets		Accrued Expenses and Other Liabilities		Securities Sold Under Repurchase Agreements		Total Exposure
Securitizations	$	80,632	$	912	$	14,114	$	—	$	—	$	95,658
CLUB Certificates	29,047		141		5,268		—		—		34,456
Investment Fund	—		—		8,485		—		—		8,485
Total unconsolidated VIEs	$	109,679	$	1,053	$	27,867	$	—	$	—	$	138,599



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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