Company: AFRM
Filing Date: 2025-11-06
Form Type: 10-Q
Source: 0001628280-25-050295
Chunk: 49

Company: Affirm Holdings, Inc.
Filing Date: 2025-11-06
Form: 10-Q
Item: Part I, Item 1
Chunk 49
---
30.29%6.89%Default Rate0.94%8.40%7.65%Prepayment Rate21.46%24.85%23.14%(1)The cumulative loss relative to the outstanding balance as of September 30, 2025                  (2)         Unobservable inputs were weighted by relative fair valueThe following table summarizes the effect that adverse changes in estimates would have on the fair value of the notes receivable and residual trust certificates given hypothetical changes in significant unobservable inputs (in thousands):September 30, 2025June 30, 2025Discount Rate Assumption:Discount Rate increase of 25%$(492)$(727)Discount Rate increase of 50%$(967)$(1,427)Default Rate assumption:Default Rate increase of 25%$(2,495)$(2,688)Default Rate increase of 50%$(3,026)$(3,698)Prepayment Rate assumption:Prepayment Rate change of 25%$(76)$(130)Prepayment Rate change of 50%$(152)$(259)Residual Interests in Structured TransactionsAs of September 30, 2025, we held residual interests in structured transactions with an aggregate fair value of $4.0 million in connection with certain forward flow loan sale transactions.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, except for credit impairments, are reflected in other comprehensive income in the interim condensed consolidated statements of operations and comprehensive income (loss).

45

The following table summarizes the activity related to the fair value of the assets (in thousands):Three Months Ended September 30, 2025Fair value at beginning of period$2,284 Capital contribution1,579 Subsequent changes in fair value154 Fair value at the end of period4,017 Significant unobservable inputs used for our Level 3 fair value measurement of the residual interests are the discount rate, loss rate, and prepayment rate. Significant increases or decreases in any of the inputs in isolation could result in a significantly lower or higher fair value measurement.The following tables present quantitative information about the significant unobservable inputs used for our Level 3 fair value measurement of the residual interests in structured transactions as of September 30, 2025 and June 30, 2025:September 30, 2025