Company: AFRM
Filing Date: 2025-05-09
Form Type: 10-Q
Source: 0001820953-25-000052
Chunk: 54

Company: Affirm Holdings, Inc.
Filing Date: 2025-05-09
Form: 10-Q
Item: Part I, Item 1
Chunk 54
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65%3.04%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 March 31, 2025, we held notes receivable and residual trust certificates with an aggregate fair value of $50.9 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). 

46

The following table summarizes the activity related to the fair value of the notes and residual trust certificates (in thousands):Three Months Ended March 31,Nine Months Ended March 31,2025202420252024Fair value at beginning of period$69,051 $32,411 $51,670 $18,913 Additions— — 41,940 22,187 Cash received (due to payments)(19,982)(9,697)(46,401)(19,052)Change in unrealized gain (loss)454 360 (84)625 Accrued interest1,072 622 4,048 1,233 Reversal of (impairment on) securities available for sale262 120 (316)(90)Fair value at end of period$50,857 $23,816 $50,857 $23,816 Significant unobservable inputs used for our Level 3 fair value measurement of the notes and residual trust certificates 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