Company: AFRM
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001628280-25-050295
Chunk: 48

Company: Affirm Holdings, Inc.
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 1
Chunk 48
---
)Discount Rate7.25%10.00%9.23%Refund Rate1.50%1.50%1.50%Loss Rate(1)0.87%4.65%3.07%(1)The Loss Rate is net of recoveries(2)Unobservable inputs were weighted by remaining principal balancesSecuritization Notes Receivable and Residual Trust CertificatesAs of September 30, 2025, we held notes receivable and residual trust certificates with an aggregate fair value of $54.3 million in connection with unconsolidated securitizations. The balances correspond to the 5% economic risk retention we are required to maintain as the securitization sponsor. These assets are measured at fair value using a discounted cash flow model, and presented within securities available for sale at fair value in the interim condensed consolidated balance sheets. Changes in the fair value, other than declines in fair value due to credit recognized as an allowance, are reflected in other comprehensive income in the interim condensed consolidated statements of operations and comprehensive income (loss). Declines in fair value due to credit are reflected in other income, net in the interim condensed consolidated statements of operations and comprehensive income (loss). The following table summarizes the activity related to the fair value of the notes receivable and residual trust certificates (in thousands):Three Months Ended September 30,20252024Fair value at beginning of period$75,469 $51,670 Cash received (due to payments)(22,567)(14,383)Change in unrealized gain (loss)(38)(31)Accrued interest1,210 2,045 Reversal of (impairment on) securities available for sale189 (375)Fair value at end of period$54,263 $38,926 

44

The following tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the notes receivable and residual trust certificates as of September 30, 2025 and June 30, 2025:September 30, 2025Unobservable InputMinimumMaximumWeighted Average (2)Discount Rate2.85%32.97%6.52%Default Rate(1)0.90%8.94%8.47%Prepayment Rate16.19%23.00%21.53%June 30, 2025Unobservable InputMinimumMaximumWeighted Average (2)Discount Rate2.86%