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Fair Value Measurement (Tables)
3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value
The following table presents assets and liabilities measured at fair value and categorized in accordance with the fair value hierarchy:
December 31,March 31,
Level 20222023
Assets
Loans3$1,010,421 $982,229 
Notes receivable and residual certificates36,181 5,009 
Loan servicing assets336,467 34,650 
Interest rate cap(1)
2— 4,437 
Total assets$1,053,069 $1,026,325 
Liabilities
Loan servicing liabilities3$3,968 $3,142 
Trailing fee liabilities34,852 4,449 
Total liabilities$8,820 $7,591 
(1)The terms and fair value considerations of the interest rate cap agreement can be found in “Note 4. Derivative Financial Instruments
Schedule of 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, 2022March 31, 2023
MinimumMaximum
Weighted-Average (2)
MinimumMaximum
Weighted-Average (2)
Discount rate6.36 %22.28 %11.87 %6.36 %22.67 %11.78 %
Credit risk rate (1)
0.01 %93.09 %16.93 %0.01 %93.05 %16.97 %
Prepayment rate (1)
0.08 %93.43 %40.49 %0.05 %93.43 %40.65 %
(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, 2022March 31, 2023
MinimumMaximum
Weighted-Average (2)
MinimumMaximum
Weighted-Average (2)
Notes receivable and residual certificates
Discount rate8.42 %22.27 %12.79 %8.98 %22.66 %12.79 %
Credit risk rate (1)
0.59 %50.69 %18.43 %0.59 %50.69 %18.21 %
Prepayment rate (1)
10.90 %88.73 %42.66 %10.90 %87.53 %43.13 %
_________
(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
Schedule of Sensitivity Analysis of Fair Value The following 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, 2022 and March 31, 2023, respectively.
December 31,March 31,
20222023
Fair value of loans$1,010,421 $982,229 
Discount rates
100 basis point increase(11,979)(11,508)
200 basis point increase(23,720)(22,790)
Expected credit loss rates on underlying loans
10% adverse change(11,927)(11,686)
20% adverse change(23,852)(23,375)
Expected prepayment rates
10% adverse change(2,284)(2,238)
20% adverse change(4,530)(4,435)
Schedule of 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-InvestmentTotal
Fair value at December 31, 2021$142,685 $109,792 $252,477 
Reclassification of loans from HFI to HFS109,792 (109,792)— 
Purchases of loans443,190 — 443,190 
Sale of loans(50,764)— (50,764)
Purchase of loans for immediate resale3,014,594 — 3,014,594 
Immediate resale of loans(3,014,594)— (3,014,594)
Repayments received(29,726)— (29,726)
Changes in fair value recorded in earnings(19,511)— (19,511)
Other changes2,315 — 2,315 
Fair value at March 31, 2022$597,981 $— $597,981 
Loans Held-for-
Sale
Loans Held-for-InvestmentTotal
Fair value at December 31, 2022$882,810 $127,611 $1,010,421 
Purchases of loans120,615 47,201 167,816 
Sale of loans(67,532)— (67,532)
Purchase of loans for immediate resale389,389 — 389,389 
Immediate resale of loans(389,389)— (389,389)
Repayments received(61,501)(20,872)(82,373)
Changes in fair value recorded in earnings(35,430)(12,731)(48,161)
Other changes520 1,538 2,058 
Fair value at March 31, 2023$839,482 $142,747 $982,229 
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 December 31, 2021$8,288 
Repayments and settlements(2,067)
Changes in fair value recorded in earnings163 
Fair value at March 31, 2022$6,384 
Notes Receivable and Residual Certificates
Fair value at December 31, 2022$6,181 
Repayments and settlements(1,566)
Changes in fair value recorded in earnings394 
Fair value at March 31, 2023$5,009 
Schedule of Aggregate Fair Value and Principal Outstanding of All Loans And Loans 90 Days or More Past Due
The following table presents the aggregate fair value and aggregate principal outstanding of all loans and loans that were 90 days or more past due included in the condensed consolidated balance sheets:
LoansLoans > 90 Days Past Due
December 31,March 31,December 31,March 31,
2022202320222023
Outstanding principal balance$1,047,714 $1,040,562 $9,006 $11,341 
Net fair value and accrued interest adjustments(37,293)(58,333)(7,006)(9,864)
Fair value(1)
$1,010,421 $982,229 $2,000 $1,477 
_________
(1)     Includes $397.7 million and $401.1 million of auto loans as of December 31, 2022 and March 31, 2023, respectively, of which an immaterial amount is 90 days or more past due for each period presented.
Schedule of 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, 2022March 31, 2023
MinimumMaximum
Weighted-Average (2)
MinimumMaximum
Weighted-Average (2)
Discount rate13.00 %20.00 %17.20 %13.00 %20.00 %17.08 %
Credit risk rate (1)
0.03 %91.76 %16.22 %0.04 %65.36 %15.73 %
Market-servicing rate (3)(4)(5)
0.62 %3.72 %0.62 %0.62 %3.72 %0.62 %
Prepayment rate (1)
0.53 %91.99 %41.19 %4.62 %96.90 %41.50 %
_________
(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
(5)Includes personal loans and auto loans
Schedule of 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 and prepayment rates as such changes would not result in a significant impact on the fair value as of December 31, 2022 and March 31, 2023, respectively.
December 31,March 31,
20222023
Fair value of loan servicing assets$36,467 $34,650 
Expected market-servicing rates
10% market-servicing rates increase(9,989)(9,090)
20% market-servicing rates increase(19,950)(18,508)
December 31,March 31,
20222023
Fair value of loan servicing liabilities$3,968 $3,142 
Expected market-servicing rates
10% market-servicing rates increase2,303 1,936 
20% market-servicing rates increase4,640 3,821 
Schedule of 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 AssetsLoan Servicing Liabilities
Fair value at December 31, 2021$18,388 $8,780 
Sale of loans10,610 1,905 
Changes in fair value recorded in earnings(1,038)(2,395)
Fair value at March 31, 2022$27,960 $8,290 
Loan Servicing AssetsLoan Servicing Liabilities
Fair value at December 31, 2022$36,467 $3,968 
Sale of loans3,662 49 
Changes in fair value recorded in earnings(5,479)(875)
Fair value at March 31, 2023$34,650 $3,142 
Schedule of 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 AssetsLoan Servicing Liabilities
Fair value at December 31, 2021$18,388 $8,780 
Sale of loans10,610 1,905 
Changes in fair value recorded in earnings(1,038)(2,395)
Fair value at March 31, 2022$27,960 $8,290 
Loan Servicing AssetsLoan Servicing Liabilities
Fair value at December 31, 2022$36,467 $3,968 
Sale of loans3,662 49 
Changes in fair value recorded in earnings(5,479)(875)
Fair value at March 31, 2023$34,650 $3,142 
Schedule of 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 December 31, 2021$4,315 
Issuances1,667 
Repayments and settlements(629)
Changes in fair value recorded in earnings(112)
Fair value at March 31, 2022$5,241 
Trailing Fee Liabilities
Fair value at December 31, 2022$4,852 
Issuances318 
Repayments and settlements(747)
Changes in fair value recorded in earnings26 
Fair value at March 31, 2023$4,449