Company: AFRM
Filing Date: 2025-02-06
Form Type: 10-Q
Source: 0001820953-25-000012
Chunk: 59

Company: Affirm Holdings, Inc.
Filing Date: 2025-02-06
Form: 10-Q
Item: Part I, Item 1
Chunk 59
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Fair value at end of period$1,773 $1,594 $1,773 $1,594 Significant unobservable inputs used for our Level 3 fair value measurement of the performance fee liability are the discount rate, refund rate, and default 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 performance fee liability as of December 31, 2024 and June 30, 2024:December 31, 2024Unobservable InputMinimumMaximumWeighted Average (1)Discount rate7.75%10.00%9.53%Refund rate1.50%1.50%1.50%Default rate1.18%4.65%3.02%June 30, 2024Unobservable InputMinimumMaximumWeighted Average (1)Discount rate8.50%10.00%9.81%Refund rate1.50%1.50%1.50%Default rate1.38%4.65%2.94%(1)Unobservable inputs were weighted by remaining principal balances. Retained Beneficial Interests in Unconsolidated VIEsAs of December 31, 2024, we held notes receivable and residual trust certificates with an aggregate fair value of $69.1 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). 

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The following table summarizes the activity related to the fair value of the notes and residual trust certificates (in thousands):Three Months Ended December 31,Six Months Ended December 31,2024202320242023Fair value at beginning of period$38,926 $13,983 $51,670 $18,913 Additions