v3.26.1
Fair Value Measurement
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurement Fair Value Measurement
The following table presents assets and liabilities measured at fair value and categorized in accordance with the fair value hierarchy:
Level December 31, 2025March 31, 2026
Assets
Loans3$984,552 $1,014,089 
Beneficial interest assets
3396,216 474,796 
Line of credit receivable3112,742 111,916 
Loan servicing assets340,941 45,437 
Notes receivable and residual certificates397,416 105,066 
Interest rate cap
2225 109 
Total assets$1,632,092 $1,751,413 
Liabilities
Payable to securitization note holders3$46,542 $39,188 
Beneficial interest liabilities35,075 3,235 
Trailing fee liabilities35,761 5,980 
Loan servicing liabilities34,383 6,646 
Total liabilities$61,761 $55,049 

Financial instruments are categorized in the fair value hierarchy based on the significance of unobservable inputs and assumptions in the overall fair value measurement. Financial instruments classified as Level 3 within the fair value hierarchy do not trade in an active market with readily observable prices. The Company uses significant unobservable inputs to measure the fair value of these assets and liabilities. There were no transfers between Level 1, Level 2 or Level 3 of the fair value hierarchy during the periods presented.
Loans

Loans included in the Company’s condensed consolidated balance sheets are classified as either held-for-sale or held-for-investment based on the Company’s intent and ability to sell the loans prior to maturity. The Company reassesses such intent and ability on an ongoing basis and may transfer loans between categories as circumstances change. Loans held in the consolidated securitization include those loans contributed as collateral to the securitization and are classified as held-for-sale.

The following table presents the fair value of loans held on the Company’s condensed consolidated balance sheets by classification:
December 31, 2025March 31, 2026
Loans held-for-sale$393,159 $723,855 
Loans held-for-investment537,631 245,378 
Loans held in consolidated securitization53,762 44,856 
Total$984,552 $1,014,089 
Valuation Methodology

Loans held-for-sale and held-for-investment are measured at estimated fair value using a discounted cash flow model. The fair valuation methodology considers projected prepayments and historical defaults, losses and recoveries to project future losses and net cash flows on loans. Net cash flows are discounted using an estimate of market rates of return. The fair value of these loans also includes accrued interest.

For the consolidated securitization, the Company elected the measurement alternative under Topic 810, Consolidation, and maximizes the use of observable inputs to estimate the fair value of the financial assets and liabilities of the securitization. Under the measurement alternative, the Company determined that inputs and market data used to determine the value of the liabilities, which consist of securitization notes and residual certificates, are more observable than those used to measure fair value of the financial assets, which consist of held-for-sale loans. Thus, the loans are measured based on the sum of the fair value of the securitization notes and residual certificates. The fair value is also corroborated with a discounted cash flow model that considers projected prepayments and historical defaults, losses and recoveries to project future losses and net cash flows on loans, discounted using an estimate of market rates of return as disclosed below in the “Significant Inputs and Assumptions” section. The fair value of loans in the consolidated securitization also includes accrued interest.

Significant Inputs and Assumptions

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, excluding loans held in the consolidated securitization:
December 31, 2025March 31, 2026
MinimumMaximum
Weighted-Average (1)
MinimumMaximum
Weighted-Average (1)
Discount rate5.00 %14.78 %9.51 %5.48 %15.05 %9.88 %
Credit risk rate
0.01 %91.50 %15.52 %0.01 %91.50 %16.92 %
Prepayment rate
0.45 %99.75 %43.41 %0.45 %99.75 %41.98 %
_________
(1) Unobservable inputs were weighted by relative fair value.

The following table presents quantitative information about the significant unobservable inputs implied for the Company’s Level 3 fair value measurements for loans held in the consolidated securitization:
December 31, 2025March 31, 2026
MinimumMaximum
Weighted-Average (1)
MinimumMaximum
Weighted-Average (1)
Discount rate6.99 %15.00 %10.43 %6.90 %15.00 %11.04 %
Credit risk rate
0.67 %35.68 %16.12 %0.67 %35.68 %16.20 %
Prepayment rate
6.73 %89.84 %40.50 %6.73 %89.84 %40.25 %
_________
(1) Unobservable inputs were weighted by relative fair value.

Discount rates–The discount rates are rates of return used to discount future expected cash flows to arrive at a present value, which represents the fair value. The discount rates used for the projected net cash flows are the Company’s estimates of the rates of return that market participants would require when investing in these financial instruments with cash flows dependent on credit quality of the related loan. A risk premium component is implicitly
included in the discount rates to reflect the amount of compensation market participants require due to the uncertainty inherent in the instruments’ cash flows resulting from risks such as credit and liquidity.

Credit risk rates–The credit risk rates are an estimate of the net cumulative principal payments that will not be repaid over the entire life of a financial instrument. The credit risk rates are expressed as a percentage of the original principal amount of the instrument. The estimated net cumulative loss represents the sum of the net losses estimated to occur each month of the life of the instrument, net of the average recovery expected to be received.

Prepayment rates–Prepayment rates are an estimate of the cumulative principal prepayments that will occur over the entire life of a loan as a percentage of the original principal amount of the loan. The assumption regarding cumulative prepayments impacts the projected balances and expected terms of the loans.

Significant Recurring Level 3 Fair Value Input Sensitivity

The following table presents the sensitivity of the fair value of loans held-for-sale and held-for-investment, excluding loans held in the consolidated securitization, to adverse changes in the significant assumptions used in the valuation model. Adverse changes in prepayment rates do not result in a material impact to the fair value of loans held-for-sale and held-for-investment as of December 31, 2025 and March 31, 2026.
December 31, 2025March 31, 2026
Fair value of loans held-for-sale and held-for-investment$930,790 $969,233 
Discount rates
100 basis point increase(12,006)(12,670)
200 basis point increase(23,623)(25,349)
Expected credit loss rates on underlying loans
10% adverse change(10,465)(11,619)
20% adverse change(20,397)(22,701)

Adverse changes in significant assumptions do not result in a material impact to the fair value of loans held in the consolidated securitization as of December 31, 2025 and March 31, 2026.
Rollforward of Level 3 Fair Values

The following tables present a rollforward of loans classified within Level 3 of the fair value hierarchy:
Loans Held-for-SaleLoans Held-for-InvestmentLoans Held in Consolidated SecuritizationTotal
Fair value at December 31, 2024
$405,812 $297,543 $102,949 $806,304 
Purchases and originations of loans(1)
570,654 149,883 — 720,537 
Sale of loans(1)
(571,696)(1,618)— (573,314)
Purchase of loans for immediate resale(1)
774,632 — — 774,632 
Immediate resale of loans(1)
(774,632)— — (774,632)
Repayments received(1)
(39,904)(55,765)(10,280)(105,949)
Charge-offs and changes in fair value recorded in earnings(15,722)(20,973)(3,753)(40,448)
Other changes(1,395)8,942 — 7,547 
Fair value at March 31, 2025$347,749 $378,012 $88,916 $814,677 
_________
(1)    Represents the principal balance.

Loans Held-for-SaleLoans Held-for-InvestmentLoans Held in Consolidated SecuritizationTotal
Fair value at December 31, 2025
$393,159 $537,631 $53,762 $984,552 
Reclassification of loans(1)(2)
313,969 (313,969)— — 
Purchases and originations of loans(1)(3)
372,859 438,262 — 811,121 
Sale of loans(1)
(301,900)(319,573)— (621,473)
Purchase of loans for immediate resale(1)
2,090,945 — — 2,090,945 
Immediate resale of loans(1)
(2,090,945)— — (2,090,945)
Repayments received(1)
(42,480)(75,621)(8,031)(126,132)
Charge-offs and changes in fair value recorded in earnings(11,884)(33,668)(875)(46,427)
Other changes132 12,316 — 12,448 
Fair value at March 31, 2026
$723,855 $245,378 $44,856 $1,014,089 
_________
(1)    Represents the principal balance.
(2)    Effective March 31, 2026, the Company reclassified HELOCs and auto retail loans as they now meet the definition of loans held-for-sale based on our intent and ability to sell these loans prior to maturity.
(3)    Purchase activity includes an immaterial unpaid principal balance related to securitization clean-up calls during the three months ended March 31, 2026.
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,
2025202620252026
Outstanding principal balance$1,038,521 $1,061,410 $17,685 $14,861 
Net fair value and accrued interest adjustments(53,969)(47,321)(13,094)(10,989)
Fair value(1)(2)
$984,552 $1,014,089 $4,591 $3,872 
_________
(1)     Includes $367.4 million and $311.8 million of auto loans at fair value as of December 31, 2025 and March 31, 2026, respectively, of which an immaterial amount are 90 days or more past due. Also includes $149.5 million and $171.8 million of HELOCs at fair value as of December 31, 2025 and March 31, 2026, respectively, of which immaterial amounts are 90 days or more past due.
(2)     The fair value of loans in nonaccrual status was immaterial as of December 31, 2025 and March 31, 2026.
Line of Credit Receivable

In connection with a committed capital and other co-investment arrangement, the Company issued a revolving line of credit receivable to a third-party, which is classified as held-for-investment. The fair value of the line of credit receivable as of December 31, 2025 and March 31, 2026 was $112.7 million and $111.9 million, respectively.

Valuation Methodology

The line of credit receivable is measured at estimated fair value using a discounted cash flow model. The model is based on the expected monthly outstanding balance of the line of credit receivable over the life of the agreement and considers the present creditworthiness of the counterparty and the difference between the market rates of return and the stated interest rate. Cash flows are discounted using an estimate of market rates of return. The fair value of the line of credit receivable also includes accrued interest.

Significant Inputs and Assumptions

The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements related to the line of credit receivable:

December 31, 2025March 31, 2026
MinimumMaximum
Weighted-Average
MinimumMaximum
Weighted-Average
Discount rate6.50%6.50%6.50%6.50 %6.50 %6.50 %

Discount rate–The discount rate is the rate of return used to discount future expected cash flows to arrive at a present value, which represents the fair value. The discount rate used for the projected net cash flows is the Company’s estimate of the rate of return that market participants would require when investing in this financial instrument with cash flows dependent on credit quality of the counterparty. A risk premium component is implicitly included in the discount rate to reflect the amount of compensation market participants require due to the uncertainty inherent in the instrument’s cash flows resulting from risks such as credit and liquidity of the counterparty.
Significant Recurring Level 3 Fair Value Input Sensitivity

Adverse changes in significant assumptions do not result in a material impact to the fair value of the line of credit receivable as of December 31, 2025 and March 31, 2026.

Rollforward of Level 3 Fair Values

The following tables present a rollforward of the line of credit receivable classified by the Company within Level 3 of the fair value hierarchy:

Line of Credit Receivable
Fair value at December 31, 2024$56,269 
Issuances
24,856 
Changes in fair value recorded in earnings500 
Changes in accrued interest155 
Fair value at March 31, 2025$81,780 

Line of Credit Receivable
Fair value at December 31, 2025$112,742 
Issuances
539 
Repayments(1,908)
Changes in fair value recorded in earnings(62)
Changes in accrued interest605 
Fair value at March 31, 2026
$111,916 
Assets and Liabilities related to Securitization Transactions

As of December 31, 2025 and March 31, 2026, the Company held notes receivable and residual certificates retained from unconsolidated securitization transactions with an aggregate fair value of $97.4 million and $105.1 million, respectively.

As of December 31, 2025 and March 31, 2026, the Company recognized payables to securitization note holders of $46.5 million and $39.2 million at fair value, respectively. The balance represents the value of the securitization notes issued and owned by third-party investors in connection with the consolidated securitization. The value of securitization notes and residual certificates retained by the Company is eliminated in the consolidation process.

Valuation Methodology

The Company prioritizes the use of observable inputs in estimating the fair value of notes receivable and residual certificates and payable to securitization note holders when available. Fair value is corroborated using a discounted cash flow methodology. This approach uses assumptions of projected cash flows of the underlying collateral loan pools adjusted for features of these securities, which reflect the Company’s best estimates of the assumptions a market participant would use to determine fair value.
Significant Inputs and Assumptions

The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements related to notes receivable, residual certificates, and payable to securitization note holders:
December 31, 2025March 31, 2026
MinimumMaximum
Weighted-Average (1)
MinimumMaximum
Weighted-Average (1)
Notes receivable and residual certificates
Discount rate5.75 %12.78 %10.72 %6.08 %15.05 %10.43 %
Credit risk rate
0.38 %50.28 %21.10 %0.38 %44.74 %21.27 %
Prepayment rate
4.11 %95.77 %33.04 %4.11 %93.44 %33.56 %
Payable to securitization note holders
Discount rate6.99 %10.40 %9.65 %6.90 %10.60 %10.32 %
Credit risk rate
0.67 %35.68 %16.12 %0.67 %35.68 %16.20 %
Prepayment rate
6.73 %89.84 %40.50 %6.73 %89.84 %40.25 %
_________
(1)Unobservable inputs were weighted by relative fair value.


Significant Recurring Level 3 Fair Value Input Sensitivity

Notes Receivable and Residual Certificates

Adverse changes in the significant assumptions do not result in a material impact to the fair value of notes receivable and residual certificates as of December 31, 2025 and March 31, 2026.

Payable to Securitization Note Holders

Adverse changes in the significant assumptions do not result in a material impact to the fair value of payable to securitization note holders as of December 31, 2025 and March 31, 2026.

Rollforward of Level 3 Fair Values

The following tables present a rollforward of the notes receivable and residual certificates and payables to securitization note holders related to securitization transactions classified by the Company within Level 3 of the fair value hierarchy:

Notes Receivable and Residual Certificates
Payable to Securitization Note Holders
Fair value at December 31, 2024$22,055 $87,321 
Repayments and settlements(2,685)(11,444)
Changes in fair value recorded in earnings101 27 
Fair value at March 31, 2025$19,471 $75,904 
Notes Receivable and Residual Certificates
Payable to Securitization Note Holders
Fair value at December 31, 2025$97,416 $46,542 
Additions18,806 — 
Repayments and settlements(11,743)(7,215)
Changes in fair value recorded in earnings587 (139)
Fair value at March 31, 2026$105,066 $39,188 
Loan Servicing Assets and Liabilities

As of as of December 31, 2025 and March 31, 2026, the Company’s loan servicing assets had a fair value of $40.9 million and $45.4 million, respectively, recorded within other assets on the condensed consolidated balance sheets. As of December 31, 2025 and March 31, 2026, the Company’s loan servicing liabilities had a fair value of $4.4 million and $6.6 million, respectively, recorded within accrued expenses and other liabilities on the condensed consolidated balance sheets.

Valuation Methodology

Loan servicing assets and liabilities are measured at estimated fair value using a discounted cash flow model. The cash flows in the valuation model represent the difference between the contractual servicing fees charged and the estimated market servicing fee. Since contractual servicing fees are generally based on the monthly outstanding principal balance of the underlying loans, the expected cash flows in the model incorporate estimates of net losses and prepayments.

Significant Inputs and Assumptions

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, 2025March 31, 2026
MinimumMaximum
Weighted-Average (1)
MinimumMaximum
Weighted-Average (1)
Discount rate13.00 %20.00 %17.32 %13.00 %20.00 %17.31 %
Credit risk rate
0.01 %61.96 %17.01 %0.01 %73.91 %17.03 %
Market-servicing rate (2)(3)
0.62 %2.69 %0.65 %0.62 %2.69 %0.66 %
Prepayment rate
1.96 %96.90 %36.50 %0.73 %96.90 %36.22 %
_________
(1)Unobservable inputs were weighted by relative fair value.
(2)Excludes ancillary fees that would be passed on to a third-party servicer.
(3)Expressed as a percentage of the outstanding principal balance of 1.16% - 2.69% for auto loans and 0.62% - 2.00% for personal loans as of December 31, 2025 and March 31, 2026.
Discount rates–The discount rates are the Company’s estimate of the rates of return that market participants in servicing rights would require when investing in similar servicing rights. Discount rates for servicing rights on existing loans are adjusted to reflect the time value of money and a risk premium intended to reflect the amount of compensation market participants would require due to the uncertainty associated with these instruments’ cash flows.

Credit risk rates–The credit risk rates are the Company’s estimate of the net cumulative principal payments that will not be repaid over the entire life of a loan expressed as a percentage of the original principal amount of the loan. The assumption regarding net cumulative losses impacts the projected balances and expected terms of the loans, which are used to project future servicing revenues.

Market-servicing rates–Market-servicing rate is an estimated measure of adequate compensation for a market participant, if one was required. The rate is expressed as a fixed percentage of outstanding principal balance per annum. The estimate considers the profit that would be demanded in the marketplace to service the portfolio of outstanding loans subject to the Company’s servicing agreements.

Prepayment rates–Prepayment rates are the Company’s estimate of the cumulative principal prepayments that will occur over the entire life of a loan as a percentage of the original principal amount of the loan. The assumption regarding cumulative prepayments impacts the projected balances and expected terms of the loans, which are used to project future servicing revenues.

Significant Recurring Level 3 Fair Value Input Sensitivity

The table below presents the fair value sensitivity of loan servicing assets to adverse changes in market-servicing rates. The fair value of loan servicing assets and liabilities are not sensitive to adverse changes in discount rates, credit risk rates, and prepayment rates as such changes do not result in a material impact on the fair value as of December 31, 2025 and March 31, 2026. Adverse changes in market-servicing rates do not result in a material impact to the fair value of loan servicing liabilities as of December 31, 2025 and March 31, 2026.
December 31, 2025March 31, 2026
Fair value of loan servicing assets$40,941 $45,437 
Expected market-servicing rates
10% market-servicing rates increase(8,402)(8,949)
20% market-servicing rates increase(16,746)(17,684)

Rollforward of Level 3 Fair Values

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, 2024
$27,439 $1,180 
Sale of loans5,537 592 
Changes in fair value recorded in earnings
(4,090)(285)
Fair value at March 31, 2025$28,886 $1,487 
Loan Servicing AssetsLoan Servicing Liabilities
Fair value at December 31, 2025$40,941 $4,383 
Sale of loans10,079 2,605 
Changes in fair value recorded in earnings
(5,583)(342)
Fair value at March 31, 2026$45,437 $6,646 
Beneficial Interests

In connection with committed capital and other co-investment arrangements that meet a definition of a derivative (derivative beneficial interests), the Company is obligated to make payments to or is entitled to receive payments from the third-party if credit performance on the underlying loans deviates from initial expectations, subject to a dollar cap. In the arrangements that are associated with debt-like securities with embedded derivative features, the Company makes an initial investment and is entitled to a portion of cash flows received over time from the underlying loan portfolios. These cash flows vary depending on the demonstrated credit performance relative to our expectations.

As of December 31, 2025 and March 31, 2026, the fair value of the beneficial interest assets related to these arrangements was $396.2 million and $474.8 million, respectively. As of the same dates, the fair value of the beneficial interest liabilities was $5.1 million and $3.2 million, respectively.

Valuation Methodology

Beneficial interests are measured at estimated fair value using a discounted cash flow model. The discounted cash flow model sets expectations for cash flows to be received by the Company under each arrangement based on contractually-defined terms, such as total return, portfolio composition, frequency of cash distribution, and others and calculates net cash flows to be received by the Company. These net cash flows are then discounted using an estimate of market rates of return that reflect the risk premium related to those cash flows. As credit performance is demonstrated by the underlying loan portfolios, each discounted cash flow model is periodically updated to determine future cash inflows and outflows based on the latest estimated performance for the duration of each arrangement. The discounted cash flow model uses inputs discussed below that are inherently judgmental and reflect the Company’s best estimates of the assumptions a market participant would use to determine fair value of our beneficial interests.
Significant Inputs and Assumptions

The following table presents quantitative information about the significant unobservable inputs used for the Company’s fair value measurements of beneficial interests as of December 31, 2025 and March 31, 2026:
December 31, 2025March 31, 2026
MinimumMaximum
Weighted-Average(1)
MinimumMaximum
Weighted-Average(1)
Beneficial interest assets
Discount rate6.50 %14.50 %12.90 %6.50 %14.50 %12.44 %
Credit risk rate spread(2)
(7.59)%13.42 %0.89 %(9.13)%12.73 %1.81 %
Prepayment rate spread(3)
(7.56)%15.50 %3.60 %(8.51)%16.58 %3.17 %
Beneficial interest liabilities
Discount rate13.25 %13.25 %13.25 %10.40 %12.75 %12.72 %
Credit risk rate spread(2)
(5.45)%9.18 %1.90 %(5.51)%7.92 %2.28 %
_________
(1) Unobservable inputs were weighted by relative fair value.
(2) Expressed as a percentage of cumulative net loss expectations as of the valuation date compared to the initial expectations.
(3) Expressed as a percentage of cumulative principal prepayment expectations as of the valuation date compared to the initial expectations.


Discount rates–The discount rates are rates of return used to discount future expected cash flows to arrive at a present value, which represents the fair value. The discount rates used for the projected net cash flows are the Company’s estimates of the rates of return that market participants would require when investing in these financial instruments with cash flows dependent on credit performance of the underlying loan portfolio. A risk premium component is implicitly included in the discount rates to reflect the amount of compensation market participants require due to the uncertainty inherent in the instruments’ cash flows resulting from risks such as credit and liquidity. The Company uses different discount rates depending on the type of underlying collateral well as for expected cash flows associated with demonstrated to-date credit performance and those associated with future credit performance. The difference in these rates reflects the level of uncertainty and, as a result, risk premium that would be required by market participants when investing in these instruments.

Credit risk rate spreads–Credit risk rate spreads are the measurement of estimated credit performance of underlying loan portfolios as of the reporting date in comparison to the Company’s estimates at the time of origination or sale of loans under these arrangements (“initial expectation”). More specifically, credit risk rate spreads are the difference between the initial expectation of the cumulative principal of a loan portfolio, net of average recoveries, that is estimated to not be repaid over the life of a beneficial interest (“cumulative net loss”) and the same estimate as of the reporting date. A positive credit risk rate spread indicates that the estimated cumulative net loss as of the reporting period is higher than the initial expectation for a particular portfolio. A negative credit risk rate spread indicates the opposite – the estimated cumulative net loss as of the reporting period is lower than the initial expectation. Credit risk rate spreads are expressed as a percentage of the initial expectation of the cumulative total net losses. The difference between the initial and current expectation of estimated cumulative net losses impacts the amount and the timing of cash flows the Company expects to receive on beneficial interest assets or to pay for beneficial interest liabilities.
Prepayment rate spreads–Prepayment rate spreads are the measurement of estimated prepayments on the underlying loan portfolios as of the reporting date in comparison to the Company’s initial expectation. More specifically, prepayment rate spreads are the difference between the initial expectation of cumulative principal prepayments that will occur over the life of a beneficial interest (“cumulative prepayment”) and the same estimate as of the reporting date. A positive prepayment rate spread indicates that the estimated cumulative prepayments as of the reporting period is higher than the initial expectation for a particular portfolio. A negative prepayment rate spread indicates the opposite – the estimated cumulative prepayments as of the reporting period is lower than the initial expectation. Prepayment rate spreads are expressed as a percentage of the initial expectation of the cumulative total prepayments. The difference between the initial and current expectation of estimated cumulative prepayment impacts the amount and the timing of cash flows the Company expects to receive on beneficial interest assets or to pay for beneficial interest liabilities.

The following table presents the sensitivity of beneficial interest assets and liabilities to adverse changes in significant assumptions used in the valuation model as of December 31, 2025 and March 31, 2026. The Company adversely shocks the credit risk rate and prepayment rate on the underlying loan portfolios rather than the spreads. Adverse changes in discount rates and prepayment rates do not result in a material impact to the fair value of beneficial interest liabilities as of December 31, 2025 and March 31, 2026.
Significant Recurring Level 3 Fair Value Input Sensitivity
December 31, 2025March 31, 2026
Fair value of beneficial interest assets$396,216 $474,796 
Discount rate
100 basis point increase(4,912)(5,902)
200 basis point increase(9,676)(11,624)
Expected credit risk rate on underlying loans
10% adverse change(80,110)(99,319)
20% adverse change(158,190)(196,247)
Expected prepayment rate on underlying loans
10% adverse change(7,798)(9,045)
20% adverse change(15,244)(18,873)
Fair value of beneficial interest liabilities$5,075 $3,235 
Expected credit risk rate on underlying loans
10% adverse change22,409 12,891 
20% adverse change44,420 26,108 
Rollforward of Level 3 Fair Values

The following tables presents a rollforward of beneficial interest assets and liabilities:

Beneficial Interest Assets
Beneficial Interest Liabilities
Fair value at December 31, 2024$176,848 $10,089 
Acquisition of beneficial interests
38,438 — 
Settlement of beneficial interests, net
(16,308)(5,992)
Changes in fair value recorded in earnings17,600 (65)
Fair value at March 31, 2025$216,578 $4,032 

Beneficial Interest Assets
Beneficial Interest Liabilities
Fair value at December 31, 2025
$396,216 $5,075 
Acquisition of beneficial interests
114,072 — 
Settlement of beneficial interests, net
(45,705)1,081 
Changes in fair value recorded in earnings10,213 (2,921)
Fair value at March 31, 2026$474,796 $3,235 
Trailing Fee Liabilities

The Company pays certain lending partners monthly trailing fees based on the amount and timing of principal payments made by borrowers of the underlying loans. The Company held trailing fee liabilities of $5.8 million and $6.0 million as of December 31, 2025 and March 31, 2026, respectively.

Valuation Methodology

The discounted cash flow methodology, which is used to estimate the fair value of trailing fee liabilities, uses the same projected net cash flows as the underlying loans. The fair valuation methodology considers projected prepayments and historical defaults, losses and recoveries to project future losses and net cash flows of the underlying loans. Net cash flows are discounted using an estimate of market rates of return.

Significant Inputs and Assumptions

The following table presents quantitative information about the significant unobservable inputs used for the Company’s Level 3 fair value measurements for trailing fee liabilities:

December 31, 2025March 31, 2026
MinimumMaximum
Weighted-Average (1)
MinimumMaximum
Weighted-Average (1)
Discount rate5.00 %14.78 %10.15 %5.48 %15.05 %10.03 %
Credit risk rate
0.04 %67.59 %19.48 %0.02 %67.59 %19.62 %
Prepayment rate
1.52 %95.77 %34.59 %0.89 %95.53 %34.65 %
_________
(1) Unobservable inputs were weighted by relative fair value.
Significant Recurring Level 3 Fair Value Input Sensitivity

Adverse changes in significant assumptions do not result in a material impact to the fair value of trailing fee liabilities as of December 31, 2025 and March 31, 2026.

Rollforward of Level 3 Fair Values

The following tables present 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, 2024$4,614 
Issuances700 
Repayments and settlements(603)
Changes in fair value recorded in earnings(137)
Fair value at March 31, 2025$4,574 
Trailing Fee Liabilities
Fair value at December 31, 2025$5,761 
Issuances1,175 
Repayments and settlements(848)
Changes in fair value recorded in earnings    (108)
Fair value at March 31, 2026$5,980