Fair Value Measurements

3 Months Ended

Jun. 30, 2020

The following summarizes the financial assets and liabilities measured at fair value on a recurring basis:


	June 30, 2020											June 30, 2019										March 31, 2020
							Total							Total							Total
	Level 2		Level 3		at Fair Value			Level 2		Level 3		at Fair Value			Level 2		Level 3		at Fair Value
Financial Assets:
Derivative financial instruments	$	—	$	—	$	—		$	3	$	—	$	3		$	—	$	—	$	—
Securitized beneficial interests	—		14,949		14,949			—		14,648		14,648			—		27,021		27,021
Total assets	$	—	$	14,949	$	14,949		$	3	$	14,648	$	14,651		$	—	$	27,021	$	27,021
Financial Liabilities:
Long-term debt	$	318,060	$	3,804	$	321,864		$	814,766	$	623	$	815,389		$	358,782	$	848	$	359,630
Guarantees	—		3,312		3,312			—		3,136		3,136			—		2,791		2,791
Total liabilities	$	318,060	$	7,116	$	325,176		$	814,766	$	3,759	$	818,525		$	358,782	$	3,639	$	362,421

Level 2 measurements

•Debt: The fair value of debt is based on the market price for similar financial instruments or model-derived valuations with observable inputs. The primary inputs to the valuation include market expectations, the Company's credit risk, and the contractual terms of the debt instrument.

•Derivatives: The fair value of derivatives is based on using the discounted cash flow analysis of the expected future cash flows. The primary inputs to the valuation include forward yield curves, implied volatilities, LIBOR rates, and credit valuation adjustments.

Level 3 measurements

•Guarantees: The fair value of guarantees is based on the discounted cash flow analysis of the expected future cash flows or historical loss rates. The primary inputs to the discounted cash flow analysis include market interest rate of 15.0% and the Company’s historical loss rates ranging between 2.2% to 10.0% as of June 30, 2020. The historical loss rate was weighted by the principal balance of the loans.

•Securitized beneficial interests: The fair value of securitized beneficial interests is based on using the present value of future expected cash flows. The primary inputs to this valuation include payment speeds of 70 to 72 days and discount rates of 2.0% to 3.6% as of June 30, 2020. The discount rate was weighted by the outstanding interest. Payment speed was weighted by the average days outstanding.

•Long-term debt: The fair value of the long-term debt is based on the present value of future payments. The primary inputs to this valuation include treasury notes interest of 0.3% to 0.6% and borrowing rates of 7.0% to 10.7%. The borrowing rates were weighted by average loans outstanding.

The following summarizes the reconciliation of changes in Level 3 instruments measured on a recurring basis:


	Three Months Ended June 30, 2020										Three Months Ended June 30, 2019
	Securitized Beneficial Interests		Long-Term Debt		Guarantees		Securitized Beneficial Interests		Long-Term Debt		Guarantees
Beginning balance	$	27,021	$	848	$	2,791	$	40,332	$	703	$	3,714
Issuances of sales of receivables/guarantees	47,120		—		647		46,882		—		293
Settlements	(57,902)		(100)		(117)		(71,623)		(83)		(879)
Additions	—		3,056		—		—		3		—
(Losses) gains recognized in earnings	(1,290)		—		(9)		(943)		—		8
Ending balance	$	14,949	$	3,804	$	3,312	$	14,648	$	623	$	3,136

For the three months ended June 30, 2020 and 2019, the impact to earnings attributable to the change in unrealized losses on securitized beneficial interests were $468 and $946, respectively.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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