Fair Value of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2018

Fair Value Disclosures [Abstract]

Charged-Off Receivable transfers

The following table presents details of Charged-Off Receivable transfers during the periods indicated. There were no transfers of Charged-Off Receivables during the three or six months ended June 30, 2017.

	Aggregate Unpaid Balance						Proceeds
	Bank Partner loans		Loan receivables held for sale		Total(1)		Bank Partner loans		Loan receivables held for sale		Total
Three months ended June 30, 2018	$	37,469	$	124	$	37,593	$	5,021	$	17	$	5,038
Six months ended June 30, 2018	74,895		1,283		76,178		10,000		171		10,171

⁽¹⁾  During the three and six months ended June 30, 2018, $3,461 and $6,680, respectively, of the aggregate unpaid balance on cumulative transferred Charged-Off Receivables were recovered through our servicing efforts on behalf of our Charged-Off Receivables investors.

Carrying amounts and estimated fair values of assets and liabilities measured at fair value on a recurring or nonrecurring basis

The following table summarizes, by level within the fair value hierarchy, the carrying amounts and estimated fair values of our assets and liabilities measured at fair value on a recurring or nonrecurring basis or disclosed, but not carried, at fair value in the Unaudited Consolidated Balance Sheets as of the periods presented. There were no transfers into, out of, or between levels within the fair value hierarchy during any of the periods presented. Refer to Note 4, Note 7 and Note 8 for additional information on these assets and liabilities.

	Level	June 30, 2018				December 31, 2017
		Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Loan receivables held for sale, net(1)	2	$	43,489	$	44,294	$	73,606	$	74,190
Liabilities:
Finance charge reversal liability(2)	3	$	107,047	$	107,047	$	94,148	$	94,148
Servicing liabilities(2)	3	2,272		2,272		2,071		2,071
Term loan(3)	2	387,979		398,037		338,263		345,820

⁽¹⁾  Measured at fair value on a nonrecurring basis.

⁽²⁾  Measured at fair value on a recurring basis. Servicing liabilities are presented within other liabilities in the Unaudited Consolidated Balance Sheets.

⁽³⁾  Disclosed, but not carried, at fair value. The amounts disclosed for June 30, 2018, relate to the modified term loan and amounts disclosed for December 31, 2017, relate to the original term loan. Refer to Note 7 for additional information. The carrying value of our term loan is net of unamortized debt discount and debt issuance costs. The fair value of our term loan was determined using a discounted cash flow model based on observable market factors (such as changes in credit spreads for comparable benchmark companies) and credit factors specific to us.

(Increases)/decreases in fair value and locations related to liabilities measured at fair value on a recurring basis

The following table presents the (increases)/decreases in fair value and Unaudited Consolidated Statements of Operations locations related to our liabilities that are measured at fair value on a recurring basis during the following periods.

	Unaudited Statements of Operations Location	Three Months Ended June 30,						Six Months Ended June 30,
		2018			2017			2018			2017
FCR liability	Cost of revenue	$	(19,226	)	$	(11,980	)	$	(40,736	)	$	(25,449	)
Servicing liabilities	Other gains/(losses)	(85		)	—			(201		)	—

Reconciliation of the beginning and ending fair value measurements of FCR Liability

The following table reconciles the beginning and ending fair value measurements of our FCR liability, which is classified as Level 3 within the fair value hierarchy due to the use of unobservable inputs, during the periods indicated.

	Three Months Ended June 30,						Six Months Ended June 30,
	2018			2017			2018			2017
Beginning balance	$	100,913		$	73,181		$	94,148		$	68,064
Receipts(1)	33,742			23,920			61,835			44,339
Settlements(2)	(46,834		)	(32,762		)	(89,672		)	(61,533		)
Fair value changes recognized in cost of revenue(3)	19,226			11,980			40,736			25,449
Ending balance	$	107,047		$	76,319		$	107,047		$	76,319

⁽¹⁾  Represents cash received from deferred payment loans during the promotional period (incentive payments) as well as the proceeds received from transferring our rights to Charged-Off Receivables attributable to previously charged-off Bank Partner loans. We consider all monthly incentive payments from Bank Partners during the period to be related to billed finance charges on deferred interest products until monthly incentive payments exceed total billed finance charges on deferred products, which did not occur during any of the periods presented.

⁽²⁾  Represents the reversal of previously billed finance charges associated with deferred payment loan principal balances that paid off within the promotional period.

⁽³⁾  A fair value adjustment is made based on the expected reversal percentage of billed finance charges (expected settlements), which is estimated at each reporting period.

Significant unobservable inputs used to value Level 3 FCR liability

The following table presents the estimated reversal rate for billed interest on deferred loan products, which is the significant unobservable input used to value the Level 3 FCR liability, as of the dates indicated.

Reversal rate	June 30, 2018		December 31, 2017
Range	86.0% - 98.3%		85.5% – 98.0%
Weighted average	89.7	%	89.0	%

Servicing liabilities and unobservable inputs

The following table reconciles the beginning and ending fair value measurements of our servicing liabilities associated with transferring our rights to Charged-Off Receivables, which are classified as Level 3 within the fair value hierarchy due to the use of unobservable inputs, during the periods presented. There were no such servicing liabilities during the three and six months ended June 30, 2017.

	Three Months Ended June 30, 2018			Six Months Ended June 30, 2018
Beginning balance	$	2,187		$	2,071
Initial obligation from transfer of Charged-Off Receivables(1)	450			911
Fair value changes recognized in other gains/(losses)
Change in inputs or assumptions used in the valuation model	—			—
Other changes in fair value(2)	(365		)	(710		)
Ending balance	$	2,272		$	2,272

⁽¹⁾  Recognized in other gains/(losses).

⁽²⁾  Represents the reduction of our servicing liability due to the passage of time and collection of loan payments.

The following table presents quantitative information about the significant unobservable inputs used to value the Level 3 servicing liabilities as of the dates presented.

Input	June 30, 2018				December 31, 2017
	Range		Weighted Average		Range		Weighted Average
Cost of servicing (basis points)	62.5		62.5		62.5		62.5
Discount rate	18.0	%	18.0	%	18.0	%	18.0	%
Recovery period (years)	4.1 - 4.9		4.4		4.6 – 4.9		4.8

Impact on the fair value of liabilities assuming hypothetical changes in certain inputs

The following table demonstrates the impact on the fair value of servicing liabilities assuming hypothetical changes in certain inputs, while holding all other inputs constant as of the dates presented.

	Increase/(Decrease) in Fair Value of Servicing Liabilities
	June 30, 2018			December 31, 2017
Cost of servicing sensitivity:
Increase of 10 basis points	$	364		$	331
Decrease of 10 basis points	(364		)	(331		)
Discount rate sensitivity:
Increase of 1%	(26		)	(25		)
Decrease of 1%	27			26
Recovery period sensitivity:
Increase of one year	380			316
Decrease of one year	(422		)	(351		)

The following table demonstrates the impact on the fair value of FCR assuming a 100 basis points increase or decrease in the reversal rate assumption, while holding all other inputs constant, as of the dates indicated.

Reversal rate sensitivity	Increase/(Decrease) in Fair Value of FCR Liability
	June 30, 2018			December 31, 2017
+ 100 basis points	$	1,932		$	1,586
- 100 basis points	$	(1,833	)	$	(1,524	)