Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.22.2
Fair Value (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Summary of the recognized assets and liabilities that are measured at fair value on a recurring basis
The following table provides a summary of the recognized assets and liabilities that are measured at fair value on a recurring basis (in thousands):
 
 
  
June 30, 2022
 
 
  
Total Fair

Value
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
Assets
  
      
  
      
  
      
  
      
Loans held for investment, subject to HMBS related obligations
   
$
10,882,441
 
   
$
—  
 
   
$
—  
 
   
$
10,882,441
 
Loans held for investment, subject to nonrecourse debt:
                                    
Reverse mortgage loans
   
 
6,149,706
 
   
 
—  
 
   
 
—  
 
   
 
6,149,706
 
Fix & flip mortgage loans
   
 
451,056
 
   
 
—  
 
   
 
—  
 
   
 
451,056
 
Loans held for investment:
                                    
Reverse mortgage loans
   
 
949,551
 
   
 
—  
 
   
 
—  
 
   
 
949,551
 
Fix & flip mortgage loans
   
 
77,544
 
   
 
—  
 
   
 
—  
 
   
 
77,544
 
Agricultural loans
   
 
31,315
 
   
 
—  
 
   
 
—  
 
   
 
31,315
 
Loans held for sale:
                                    
Residential mortgage loans
   
 
996,345
 
   
 
—  
 
   
 
959,472
 
   
 
36,873
 
SRL
   
 
195,615
 
   
 
—  
 
   
 
—  
 
   
 
195,615
 
Portfolio
   
 
37,634
 
   
 
—  
 
   
 
—  
 
   
 
37,634
 
MSRs
   
 
359,006
 
   
 
—  
 
   
 
—  
 
   
 
359,006
 
Derivative assets:
                                    
IRLCs and LPCs
   
 
14,126
 
   
 
—  
 
   
 
129
 
   
 
13,997
 
Forward MBS and TBAs
   
 
4,258
 
   
 
—  
 
   
 
4,258
 
   
 
—  
 
Interest rate swaps and futures contracts
   
 
36,802
 
   
 
36,802
 
   
 
—  
 
   
 
—  
 
Other assets:
                                    
Investments
   
 
1,000
 
   
 
—  
 
   
 
—  
 
   
 
1,000
 
Retained bonds
   
 
46,593
 
   
 
—  
 
   
 
—  
 
   
 
46,593
 
    
 
 
     
 
 
     
 
 
     
 
 
  
Total assets
   
$
20,232,992
 
   
$
36,802
 
   
$
963,859
 
   
$
19,232,331
 
    
 
 
     
 
 
     
 
 
     
 
 
  
Liabilities
  
      
  
      
  
      
  
      
HMBS related obligations
   
$
10,745,879
 
   
$
—  
 
   
$
—  
 
   
$
10,745,879
 
Nonrecourse debt:
                                    
Nonrecourse debt in consolidated VIE trusts
   
 
6,447,238
 
   
 
—  
 
   
 
—  
 
   
 
6,447,238
 
Nonrecourse commercial loan financing liability
   
 
162,464
 
   
 
—  
 
   
 
—  
 
   
 
162,464
 
Nonrecourse MSR financing liability
   
 
142,382
 
   
 
—  
 
   
 
—  
 
   
 
142,382
 
Deferred purchase price liabilities:
                                    
Deferred purchase price liabilities
   
 
4,852
 
   
 
—  
 
   
 
—  
 
   
 
4,852
 
TRA obligation
   
 
13,925
 
   
 
—  
 
   
 
—  
 
   
 
13,925
 
Derivative liabilities:
                                    
Forward MBS and TBAs
   
 
7,530
 
   
 
—  
 
   
 
7,530
 
   
 
—  
 
Interest rate swaps and futures contracts
   
 
2,183
 
   
 
2,183
 
   
 
—
 
   
 
—  
 
Warrant liability
   
 
2,301
 
   
 
2,301
 
   
 
—  
 
   
 
—  
 
    
 
 
     
 
 
     
 
 
     
 
 
  
Total liabilities
   
$
17,528,754
 
   
$
4,484
 
   
$
7,530
 
   
$
17,516,740
 
    
 
 
     
 
 
     
 
 
     
 
 
  
 
 
  
December 31, 2021
 
 
  
Total Fair

Value
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
Assets
  
      
  
      
  
      
  
      
Loans held for investment, subject to HMBS related obligations
    $ 10,556,054      $ —        $ —        $ 10,556,054  
Loans held for investment, subject to nonrecourse debt:
                                    
Reverse mortgage loans
      5,823,301        —          —          5,823,301  
Fix & flip mortgage loans
      394,893        —          —          394,893  
Loans held for investment:
                                    
Reverse mortgage loans
      940,604        —          —          940,604  
Fix & flip mortgage loans
      62,933        —          —          62,933  
Agricultural loans
      27,791        —          —          27,791  
Loans held for sale:
                                    
Residential mortgage loans
      1,902,952        —          1,885,627        17,325  
SRL
      98,852        —          —          98,852  
Portfolio
      50,574        —          —          50,574  
MSRs
      427,942        —          —          427,942  
Derivative assets:
                                    
IRLCs and LPCs
      24,786        —          1,564        23,222  
Forward MBS and TBAs
      1,250       
—  
        1,250        —    
Interest rate swaps and futures contracts
      22,834          
22,834
        —        —    
Other assets:
                                    
Investments
      6,000        —          —          6,000  
Retained bonds
      55,614        —          —          55,614  
    
 
 
     
 
 
     
 
 
     
 
 
  
Total assets
    $ 20,396,380      $ 22,834      $ 1,888,441      $ 18,485,105  
    
 
 
     
 
 
     
 
 
     
 
 
  
Liabilities
  
      
  
      
  
      
  
      
HMBS related obligations
  
$
10,422,358
 
  
$
—  
 
  
$
—  
 
  
$
10,422,358
 
Nonrecourse debt:
  
      
  
      
  
      
  
      
Nonrecourse debt in consolidated VIE trusts
  
 
5,857,069
 
  
 
—  
 
  
 
—  
 
  
 
5,857,069
 
Nonrecourse commercial loan financing liability
  
 
111,738
 
  
 
—  
 
  
 
—  
 
  
 
111,738
 
Nonrecourse MSR financing liability
  
 
142,435
 
  
 
—  
 
  
 
—  
 
  
 
142,435
 
Deferred purchase price liabilities:
  
      
  
      
  
      
  
      
Deferred purchase price liabilities
  
 
12,852
 
  
 
—  
 
  
 
—  
 
  
 
12,852
 
TRA obligation
  
 
29,380
 
  
 
—  
 
  
 
—  
 
  
 
29,380
 
Derivative liabilities:
  
      
  
      
  
      
  
      
Forward MBS and TBAs
  
 
1,685
 
  
 
—  
 
  
 
1,685
 
  
 
—  
 
Interest rate swaps and futures contracts
  
 
24,993
 
  
 
24,993
 
  
 
—  
 
  
 
—  
 
Warrant liability
  
 
5,497
 
  
 
5,497
 
  
 
—  
 
  
 
—  
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Total liabilities
  
$
16,608,007
 
  
$
30,490
 
  
$
1,685
 
  
$
16,575,832
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
Fair value, assets measured on recurring basis, unobservable input reconciliation
Assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3, in thousands):

 
 
 
Successor
 
 
 
Assets
 
June 30, 2022
 
Loans held

for

investment
 
 
Loans held

for

investment,

subject to

nonrecourse

debt
 
 
Loans held

for sale
 
 
Derivative

assets
 
 
MSRs
 
 
Retained

bonds
 
 
Investments
 
Beginning balance,
March 31
, 2022
  
$
11,891,142
 
  
$
6,235,990
 
  
$
229,045
 
  
$
2,736
 
   
$
426,102
 
  
$
50,875
 
  
$
6,000
 
Total gain or losses included in earnings
  
 
(34,147
) 
  
 
(257,874
) 
  
 
(4,163
) 
  
 
11,261
 
   
 
(12,671
) 
  
 
(3,020
) 
  
 
(5,000
) 
Purchases, settlements and transfers:
                                                         
Purchases and additions, net
  
 
1,928,290
 
  
 
28,206
 
  
 
395,502
 
  
 
—  
 
   
 
41,218
 
  
 
—  
 
  
 
—  
 
Sales and settlements
  
 
(671,743
) 
  
 
(573,913
) 
  
 
(353,460
) 
  
 
—  
 
   
 
(95,643
) 
  
 
(1,262
) 
  
 
—  
 
Transfers in/(out) between categories
  
 
(1,172,691
) 
  
 
1,168,353
 
  
 
3,198
 
  
 
—  
 
   
 
—  
 
  
 
—  
 
  
 
—  
 
   
 
 
    
 
 
    
 
 
    
 
 
     
 
 
    
 
 
    
 
 
  
Ending balance, June 30, 2022
  
$
11,940,851
 
  
$
6,600,762
 
  
$
270,122
 
  
$
13,997
 
   
$
359,006
 
  
$
46,593
 
  
$
1,000
 
   
 
 
    
 
 
    
 
 
    
 
 
     
 
 
    
 
 
    
 
 
  
 
 
Successor
 
 
 
Assets
 
June 30, 2022
 
Loans held

for

investment
 
 
Loans held

for

investment,

subject to

nonrecourse

debt
 
 
Loans held

for sale
 
 
Derivative

assets
 
 
MSRs
 
 
Retained

bonds
 
 
Investments
 
Beginning balance,
December 31, 2021
  
$
11,587,382
 
  
$
6,218,194
 
  
$
166,750
 
  
$
23,222
 
   
$
427,942
 
  
$
55,614
 
  
$
6,000
 
Total gain or losses included in earnings
  
 
(70,042
) 
  
 
(571,594
) 
  
 
(11,203
) 
  
 
(9,225
 )   
 
39,697
 
  
 
(6,309
) 
  
 
(5,000
) 
Purchases, settlements and transfers:
                                                         
Purchases and additions, net
  
 
3,776,445
 
  
 
58,548
 
  
 
791,522
 
  
 
—  
 
   
 
94,662
 
  
 
—  
 
  
 
—  
 
Sales and settlements
  
 
(1,284,367
) 
  
 
(1,160,189
) 
  
 
(683,050
) 
  
 
—  
 
   
 
(203,295
) 
  
 
(2,712
) 
  
 
—  
 
Transfers in/(out) between categories
  
 
(2,068,567
) 
  
 
2,055,803
 
  
 
6,103
 
  
 
—  
 
   
 
—  
 
  
 
—  
 
  
 
—  
 
   
 
 
    
 
 
    
 
 
    
 
 
     
 
 
    
 
 
    
 
 
  
Ending balance, June 30, 2022
  
$
11,940,851
 
  
$
6,600,762
 
  
$
270,122
 
  
$
13,997
 
  
$
359,006
 
  
$
46,593
 
  
$
1,000
 
   
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
 
Successor
 
 
 
Assets
 
June 30, 2021
 
Loans held

for

investment
 
 
Loans held

for

investment,

subject to

nonrecourse

debt
 
 
Loans held

for sale
 
 
Derivative

assets
 
 
MSRs
 
 
Retained

Bonds
 
 
Investments
 
Beginning balance, March 31, 2021

    $ 11,171,736     $ 5,291,444     $ 135,681     $ 38,574     $ 267,364     $ —       $ 9,470  
Total gain or losses included in earnings
      153,690       80,408       1,816       (3,066 )      (26,536 )      666       (3,470 ) 
Purchases, settlements and transfers:
                                                         
Purchases and additions, net
      1,428,976       22,041       256,438       —         50,110       15,078       —    
Sales and settlements
      (615,958 )      (522,141 )      (275,956 )      (25 )      —         (73 )      —    
Transfers in/(out) between categories
      (597,327 )      552,869       42,909       —         —         —         —    
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance, June 30, 2021
    $ 11,541,117     $ 5,424,621     $ 160,888     $ 35,483     $ 290,938     $ 15,671     $ 6,000  
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
  
Predecessor
 
 
  
Assets
 
March 31, 2021
  
Loans held

for

investment
 
 
Loans held

for

investment,

subject to

nonrecourse

debt
 
 
Loans held

for sale
 
 
Derivative

assets
 
 
MSRs
 
 
Investments
 
Beginning balance, December 31, 2020

    $ 10,659,984     $ 5,396,167     $ 152,854     $ 88,660     $ 180,684     $ 18,934  
Total gain or losses included in earnings
      132,499       (37,757 )      2,764       (50,040 )      20,349       (9,464 ) 
Purchases, settlements and transfers:
                                                 
Purchases and additions, net
      1,143,109       21,064       175,551       —         74,978       —    
Sales and settlements
      (534,738 )      (360,128 )      (152,579 )      (46 )      (8,647 )      —    
Transfers in/(out) between categories
      (229,118 )      272,098       (42,909 )      —         —         —    
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance, March 31, 2021
    $ 11,171,736     $ 5,291,444     $ 135,681     $ 38,574     $ 267,364     $ 9,470  
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Fair value, liabilities measured on recurring basis, unobservable input reconciliation Assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3, in thousands):
 
 
Successor
 
 
 
Liabilities
 
June 30, 2022
 
HMBS

related

obligations
 
 
Deferred

purchase

price

liabilities
 
 
Nonrecourse

debt in

consolidated

VIE trusts
 
  
Nonrecourse

commercial

loan

financing

liability
 
 
Nonrecourse

MSR

financing

liability
 
 
TRA

Liability
 
Beginning balance,
March 31
, 2022
  
$
(10,548,131
) 
  
$
(7,852
) 
  
$
(6,032,156
) 
  
$
(127,640
) 
  
$
(163,981
) 
  
$
(29,380
) 
Total gains or losses included in earnings
  
 
93,095
 
  
 
—  
 
  
 
116,701
 
  
 
(66
) 
  
 
(337
) 
  
 
15,455
 
Purchases, settlements and transfers:
                                                
Purchases and additions, net
  
 
(992,053
) 
  
 
—
 
  
 
(756,058
) 
  
 
(57,157
) 
  
 
(1,050
 )  
 
—  
 
Sales and settlements
  
 
701,210
 
  
 
3,000
 
  
 
224,275
 
  
 
22,399
 
  
 
22,986
 
  
 
—  
 
Transfers in/(out) between categories
  
 
—  
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
  
 
—
 
  
 
—  
 
   
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance, June 30, 2022
  
$
(10,745,879
) 
  
$
(4,852
) 
  
$
(6,447,238
) 
  
$
(162,464
) 
  
$
(142,382
) 
  
$
(13,925
) 
   
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
  
Successor
 
 
  
Liabilities
 
June 30, 2022
  
HMBS

related

obligations
 
  
Deferred

purchase

price

liabilities
 
  
Nonrecourse

debt in

consolidated

VIE trusts
 
  
Nonrecourse

commercial

loan

financing

liability
 
  
Nonrecourse

MSR

financing

liability
 
  
TRA
Liability
 
Beginning balance, December 31, 2021
 
$
(10,422,358
) 
 
$
(12,852
) 
 
$
(5,857,069
) 
 
$
(111,738
) 
 
$
(142,435
) 
 
$
(29,380
) 
Total gain or losses included in earnings
 
 
178,677
 
 
 
—  
 
 
 
222,041
 
 
 
188
 
 
 
(16,375
) 
 
 
15,455
 
Purchases, settlements and transfers:
 
      
 
      
 
      
 
      
 
      
 
      
Purchases and additions, net
 
 
(1,940,735
) 
 
 
—  
 
 
 
(1,804,557
) 
 
 
(117,815
) 
 
 
(6,792
) 
 
 
—  
 
Sales and settlements
 
 
1,438,537
 
 
 
8,000
 
 
 
992,347
 
 
 
66,901
 
 
 
23,220
 
 
 
—  
 
Transfers in/(out) between categories
 
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Ending balance, June 30, 2022
 
$
(10,745,879
) 
 
$
(4,852
) 
 
$
(6,447,238
) 
 
$
(162,464
) 
 
$
(142,382
) 
 
$
(13,925
) 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Successor
 
 
 
Liabilities
 
June 30, 2021
 
HMBS related

obligations
 
 
Derivative

liabilities
 
 
Deferred purchase

price liabilities
 
 
Nonrecourse

debt in VIE

trusts
 
 
Nonrecourse

MSR financing

liability
 
 
TRA

Liability
 
Beginning balance, March 31, 2021

    $ (9,926,132 )    $ (936 )    $ (3,214 )    $ (5,205,892 )    $ (22,051 )    $ —    
Total gains or losses included in earnings
      (44,651 )    $ —         (1,760 )      (32,601 )      4,123       (860 ) 
Purchases, settlements and transfers:
                                                 
Purchases and additions, net
      (795,333 )      —         (7,000 )      (796,376 )      (47,201 )      (31,950 ) 
Settlements
      597,892       (175 )      311       674,266       —         —    
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance, June 30, 2021
    $ (10,168,224 )    $ (1,111 )    $ (11,663 )    $ (5,360,603 )    $ (65,129 )    $ (32,810 ) 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
  
Predecessor
 
 
  
Liabilities
 
March 31, 2021
  
HMBS related

obligations
 
 
Derivative

liabilities
 
 
Deferred

purchase price

liability
 
 
Nonrecourse

debt in VIE

trusts
 
 
Nonrecourse

MSR financing

liability
 
Beginning balance, December 31, 2020

    $ (9,788,668 )    $ (1,084 )    $ (3,842 )    $ (5,257,754 )    $ (14,088 ) 
Total gain or losses included in earnings
      (41,434 )      —         (29 )      (30,770 )      390  
Purchases, settlements and transfers:
                                         
Purchases and additions, net
      (602,172 )      —         —         (575,668 )      (8,353 ) 
Sales and settlements
      506,142       148       657       658,300          
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance, March 31, 2021
   
$ 

 (9,926,132 )   
$

 (936 )   
$

 (3,214 )   
$
 (5,205,892 )   
$
 (22,051 ) 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Summary of the fair value and unpaid principal balance ("UPB")
Fair Value Option
The Company has elected to measure substantially all of its loans held for investment, loans held for sale, HMBS related obligations, and non-recourse debt at fair value under the fair value option provided for by ASC 825-10,
Financial Instruments-Overall.
The Company elected to apply the provisions of the fair value option to these assets and liabilities in order to align financial reporting presentation with the Company’s operational and risk management strategies. Presented in the tables below are the fair value and UPB, at June 30, 2022 and December 31, 2021, of financial assets and liabilities for which the Company has elected the fair value option (in thousands):
 
June 30, 2022
   
Estimated Fair
Value
     
Unpaid Principal
Balance
  
Assets at fair value under the fair value option
                  
Loans held for investment, subject to HMBS related obligations
   
$
10,882,441
 
   
$
10,468,472
 
Loans held for investment, subject to nonrecourse debt:
                  
Reverse mortgage loans
   
 
6,149,706
 
   
 
6,053,167
 
Commercial mortgage loans
   
 
451,056
 
   
 
451,981
 
Loans held for investment:
                  
Reverse mortgage loans
   
 
949,551
 
   
 
871,671
 
Commercial mortgage loans
   
 
108,859
 
   
 
108,322
 
Loans held for sale:
                  
Residential mortgage loans
   
 
996,345
 
   
 
988,361
 
Commercial mortgage loans
   
 
233,249
 
   
 
239,108
 
 
June 30, 2022
  
Estimated Fair

Value
 
  
Unpaid Principal

Balance
 
Liabilities at fair value under the fair value option
                  
HMBS related obligations
   
 
10,745,879
 
   
 
10,445,730
 
Nonrecourse debt:
                  
Nonrecourse debt in consolidated VIE trusts
   
 
6,447,238
 
   
 
6,773,313
 
Nonrecourse MSR financing liability
   
 
142,382
 
   
 
142,382
 
Nonrecourse commercial loan financing liability
   
 
162,464
 
   
 
158,659
 

December 31, 2021
   
Estimated Fair
Value
     
Unpaid Principal
Balance
  
Assets at fair value under the fair value option
                  
Loans held for investment, subject to HMBS related obligations
    $ 10,556,054      $ 9,849,835  
Loans held for investment, subject to nonrecourse debt:
                  
Reverse mortgage loans
      5,823,301        5,165,479  
Commercial mortgage loans
      394,893        388,788  
Loans held for investment:
                  
Reverse mortgage loans
      940,604        815,426  
Commercial mortgage loans
      90,724        89,267  
Loans held for sale:
                  
Residential mortgage loans
      1,902,952        1,859,788  
Commercial mortgage loans
      149,426        145,463  
Liabilities at fair value under the fair value option
                  
HMBS related obligations
      10,422,358        9,849,835  
Nonrecourse debt:
                  
Nonrecourse debt in consolidated VIE trusts
      5,857,069        5,709,946  
Nonrecourse MSR financing liability
      142,435        142,435  
Nonrecourse commercial loan financing liability
      111,738        107,744  
Summary of the components of net fair value gains on mortgage loans and related obligations
Provided in the table below is a summary of the components of net fair value gains on loans and related obligations (in thousands):
 
    
For the three

months ended

June 30, 2022
    
For the six

months ended

June 30, 2022
    
For the three

months ended

June 30, 2021
     
For the three

months ended

March 31, 2021
  
    
Successor
     
Predecessor
  
Net fair value gains (losses) on loans and related obligations:
                       
 
         
Interest income on commercial and reverse loans
   
$
189,760
 
  
$
353,454
 
   $ 173,940      $ 160,568  
Change in fair value of loans
   
 
(469,818
) 
  
 
(977,145
) 
     84,983        (51,346 ) 
    
 
 
    
 
 
    
 
 
     
 
 
  
Net fair value gains (losses) on loans
   
 
(280,058
) 
  
 
(623,691
) 
     258,923        109,222  
    
 
 
    
 
 
    
 
 
     
 
 
  
 
 
  
For the three

months ended

June 30, 2022
 
 
For the six

months ended

June 30, 2022
 
 
For the three

months ended

June 30, 2021
 
  
For the three

months ended

March 31, 2021
 
 
  
Successor
 
  
Predecessor
 
Interest expense on HMBS and nonrecourse obligations
   
 
(124,603
) 
  
 
(231,246
) 
     (113,474 )       (119,201 ) 
Change in fair value of derivatives
   
 
99,928
 
  
 
265,507
 
     (46,478 )       43,972  
Change in fair value of related obligations
   
 
306,346
 
  
 
601,478
 
     32,180        42,670  
    
 
 
    
 
 
    
 
 
     
 
 
  
Net fair value gains (losses) on related obligations
   
 
281,671
 
  
 
635,739
 
     (127,772 )       (32,559 ) 
    
 
 
    
 
 
    
 
 
     
 
 
  
Net fair value gains (losses) on loans and related obligations
   
$
1,613
 
  
$
12,048
 
   $ 131,151      $ 76,663  
    
 
 
    
 
 
    
 
 
     
 
 
  
Reverse Mortgage Loans Held for Investment, Subject to HMBS Related Obligations [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following table presents the weighted average significant unobservable assumptions used in the fair value measurement of loans held for investment, subject to HMBS related obligations, for the periods indicated:
 
 
  
June 30, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
  
Range
 
 
Weighted Average
 
 
Range
 
 
Weighted Average
 
Conditional repayment rate
   
 
NM
 
  
 
23.0
% 
     NM       20.8 % 
Loss frequency
   
 
NM
 
  
 
3.9
% 
     NM       4.5 % 
Loss severity
   
 
2.4% - 6.9
% 
  
 
2.6
% 
    
3.1% - 7.7
 %      3.3 % 
Discount rate
   
 
NM
 
  
 
4.2
% 
     NM       2.4 % 
Average draw rate
   
 
NM
 
  
 
1.2
% 
     NM       1.1 % 
HECM Buyouts [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following table presents the weighted average significant unobservable assumptions used in the fair value measurement of nonperforming securitized HECM buyouts for the periods indicated:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Conditional repayment rate
   
 
NM
 
  
 
39.7
% 
     NM       41.2 % 
Loss frequency
   
 
23.1% - 100.0
% 
  
 
51.4
% 
    
25.0% - 100
 %     59.5 % 
Loss severity
   
 
2.4% -
 
6.9
% 
  
 
3.7
% 
    
3.1% - 7.7
 %      4.3 % 
Discount rate
   
 
NM
 
  
 
7.7
% 
     NM       4.1 % 
HECM Buyouts Securitized [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following table presents the weighted average significant unobservable assumptions used in the fair value measurement of performing securitized HECM buyouts for the periods indicated:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Weighted average remaining life (in years)
   
 
NM
 
  
 
9.0
 
     NM       9.0  
Conditional repayment rate
   
 
NM
 
  
 
13.4
% 
     NM       13.3 % 
Loss severity
   
 
2.4% - 6.9
% 
  
 
5.7
% 
    
3.1% - 7.7
 %      7.7 % 
Discount rate
   
 
NM
 
  
 
6.8
% 
     NM       3.7 % 
Non Agency Reverse Mortgage Securitized [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following table presents the significant unobservable assumptions used in the fair value measurements of securitized
non-agency
reverse mortgage loans for the periods indicated:
 
 
 
June 30, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
 
Range
 
 
Weighted Average
 
 
Range
 
 
Weighted Average
 
Weighted average remaining life (in years)
  
 
NM
 
  
 
9.3
 
     NM       7.5  
Loan to value
  
 
0.1% - 73.0
% 
  
 
42.9
% 
    
0.1% - 64.7
 %     43.4 % 
Conditional repayment rate
  
 
NM
 
  
 
14.7
% 
     NM       18.6 % 
Loss severity
  
 
NM
 
  
 
10.0
% 
     NM       10.0 % 
Home price appreciation
  
 
-10.1% - 11.0
% 
  
 
4.9
% 
    
-4.6% - 14
 %      4.7 % 
Discount rate
  
 
NM
 
  
 
6.2
% 
     NM       3.6 % 
Fix And Flip Securitized Commercial Mortgage Loans [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The Company utilized the following weighted average assumptions in estimating the fair value of securitized Fix & Flip mortgage loans for the periods indicated:
 
 
  
June 30, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
  
Range
 
  
Weighted Average
 
 
Range
 
 
Weighted Average
 
Prepayment rate (SMM)
   
 
NM
 
  
 
10.6
% 
     NM       14.1 % 
Discount rate
   
 
NM
    
 
8.9
% 
     NM       5.7 % 
Loss frequency
   
 
NM
 
  
 
0.5
% 
    
0.3% - 69.0
 %      0.6 % 
Inventory Buyout [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following table presents the weighted average significant unobservable assumptions used in the fair value measurement of Inventory Buyouts classified as loans held for investment, at fair value for the periods indicated:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Conditional repayment rate
   
 
NM
 
  
 
41.2
% 
     NM       43.2 % 
Loss frequency
   
 
23.1% - 100.0
%
 
  
 
47.4
% 
     NM       59.4 % 
Loss severity
   
 
2.4% - 6.9
% 
  
 
4.7
% 
    
3.1% - 7.7
 %      3.8 % 
Discount rate
   
 
NM
 
  
 
7.7
% 
     NM       4.1 % 
Non Agency Reverse Mortgage Loans [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following table presents the weighted average significant unobservable assumptions used in the fair value measurement of non-agency reverse mortgage loans classified as loans held for investment, at fair value for the periods indicated:
 
 
  
June 30, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
  
Range
 
 
Weighted Average
 
 
Range
 
 
Weighted Average
 
Weighted average remaining life (in years)
   
 
NM
 
  
 
10.8
 
     NM       9.2  
Loan to value
   
 
2.9% - 68.9
% 
  
 
47.3
% 
    
0.2% - 68.7
 %      47.8 % 
Conditional repayment rate
   
 
NM
 
  
 
13.1
% 
     NM       14.8 % 
Loss severity
   
 
NM
 
  
 
10.0
% 
     NM       10.0 % 
Home price appreciation
   
 
-10.1% - 11.0
% 
  
 
4.6
% 
    
-4.6% - 14.0
 %      4.4 % 
Discount rate
   
 
NM
 
  
 
6.2
% 
     NM       3.6 % 
Commercial Mortgage Agricultural Loans [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The Company utilized the following assumptions in estimating the fair value of agricultural loans for the periods indicated:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Discount rate
   
 
NM
 
  
 
8.1
% 
     NM       4.8 % 
Prepayment rate (SMM)
   
 
NM
 
  
 
23.1
% 
    
9.0% - 100.0
 %      22.1 % 
Default rate (CDR)
   
 
0.0% - 1.0
%
 

  
 
1.0
% 
     0.0% - 0.7
%

     0.9 % 
Commercial Mortgage Fix and Flip Loans [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The Company utilized the following weighted average assumptions in estimating the fair value of Fix & Flip loans for the periods indicated:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Prepayment rate (SMM)
   
 
NM
 
  
 
11.6
% 
     NM       11.9 % 
Discount rate
   
 
8.9% - 13.5
% 
  
 
9.0
% 
    
5.7% - 10.0
 %      5.9 % 
Loss frequency
   
 
NM
 
  
 
0.3
% 
     NM       0.4 % 
Commercial Mortgage Single Rental Loans [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The Company utilized the following weighted average assumptions in estimating the fair value of SRL mortgage loans held for sale for the periods indicated:
 
 
  
June 30, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
  
Range
 
 
Weighted Average
 
 
Range
 
 
Weighted Average
 
Prepayment rate (CPR)
   
 
18.1% - 25.0
% 
  
 
18.6
% 
    
1.0% - 17.1
 %      14.2 % 
Discount rate
   
 
NM
 
  
 
6.5
% 
     NM       3.3 % 
Default rate (CDR)
   
 
NM
 
  
 
1.0
% 
    
1.0% - 57.2
 %      2.2 % 
Commercial Mortgage Portfolio Lending [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The Company utilized the following weighted average assumptions in estimating the fair value of Portfolio Lending mortgage loans held for sale for the periods indicated:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Prepayment rate (CPR)
   
 
0.0% - 22.1
% 
  
 
14.5
% 
    
0.0% - 14.5
 %      8.7 % 
Discount rate
   
 
NM
 
  
 
6.8
% 
     NM       3.9 % 
Default rate (CDR)
   
 
NM
 
  
 
1.0
% 
    
1.0% - 54.0
 %      3.2 % 
Mortgage Servicing Rights [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following tables summarize certain information regarding the servicing portfolio of retained MSRs for the periods indicated:
 
 
  
June 30, 2022
 
 
December 31, 2021
 
Capitalization servicing rate
   
 
1.2
% 
     1.1 % 
Capitalization servicing multiple
   
 
4.9
 
     4.4  
Weighted average servicing fee (in basis points)
   
 
25
 
     25  
The Company utilized the following weighted average assumptions in estimating the fair value of MSRs:
 
 
  
June 30, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
  
Range
 
 
Weighted Average
 
 
Range
 
 
Weighted Average
 
Weighted average prepayment speed (CPR)
   
 
0.1% - 12.3
% 
  
 
6.8
% 
    
0.0% - 12.8
 %      8.3 % 
Discount rate
   
 
NM
 
  
 
9.6
% 
     NM       8.5 % 
Weighted average delinquency rate
   
 
0.8% - 4.6
% 
  
 
1.4
% 
    
0.8% - 14.3
 %     1.3 % 
The following table summarizes the estimated change in the fair value of MSRs from adverse changes in the significant assumptions (in thousands):
 
 
  
June 30, 2022
 
 
  
Weighted Average

Prepayment Speed
 
 
Discount
Rate
 
 
Weighted Average

Delinquency Rate
 
Impact on fair value of 10% adverse change
   
$
(8,958
) 
  
$
(15,042
) 
  
$
(467
) 
Impact on fair value of 20% adverse change
   
$
(17,439
) 
  
$
(28,909
) 
  
$
(934
) 
 
HMBS Related Obligations [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The following table presents the weighted average significant unobservable inputs used in the fair value measurement of HMBS related obligations for the periods indicated:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
     
Weighted Average
    
Range
     
Weighted Average
  
Conditional repayment rate
   
 
NM
 
   
 
23.1
% 
     NM        20.8 % 
Discount rate
   
 
NM
 
   
 
4.1
% 
     NM        2.3 % 
Reverse Mortgage Loans [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques The following table presents the weighted average significant unobservable assumptions used in the fair value measurements of nonrecourse debt for the periods indicated:
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Performing/Nonperforming HECM securitizations
                                 
Weighted average remaining life (in years)
   
 
0.3 - 0.6
    
 
0.5
 
    
0.2 - 0.8
       0.5  
Conditional repayment rate
   
 
20.5% - 36.2
% 
  
 
26.3
% 
    
30.8% - 54.4
 %      43.5 % 
Discount rate
   
 
NM
 
  
 
6.3
% 
     NM       2.3 % 
Securitized
Non-Agency
Reverse
                                 
Weighted average remaining life (in years)
   
 
0.6 - 10.5
 
  
 
4.0
 
     1.0 - 2.3       1.6  
Conditional repayment rate
   
 
7.6% - 37.4
% 
  
 
17.2
% 
    
18.4% - 35.9
 %      28.2 % 
Discount rate
   
 
NM
 
  
 
5.9
% 
     NM       2.2 % 
Commercial Mortgage Loans [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques The following table presents the significant unobservable assumptions used in the fair value measurements of nonrecourse debt for the periods indicated:
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
     
Weighted Average
    
Range
     
Weighted Average
  
Weighted average remaining life (in months)
   
 
NM
 
   
 
5.3
 
     NM        4.0  
Weighted average prepayment speed (SMM)
   
 
NM
 
   
 
13.9
% 
     NM        14.0 % 
Discount rate
   
 
NM
 
   
 
6.3
% 
     NM        3.1 % 
Non Recourse MSR Financing Liability [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The Company utilized the following weighted average assumptions in estimating the fair value of the outstanding nonrecourse MSR financing liability:
 
    
June 30, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted Average
    
Range
    
Weighted Average
  
Weighted average prepayment speed (CPR)
   
 
1.0% - 7.2
% 
  
 
5.6
% 
    
2.0% - 11.0
 %     7.7 % 
Discount rate
   
 
9.6% - 11.6
% 
  
 
9.7
% 
    
8.1% - 10.1
 %      9.1 % 
Weighted average delinquency rate
   
 
NM
 
  
 
1.3
% 
     NM       1.3 % 
Retained Bonds [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques The following table presents the weighted average significant unobservable assumptions used in the fair value measurement of retained bonds for the period indicated:
 
  
June 30, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
  
Range
 
 
Weighted Average
 
 
Range
 
 
Weighted Average
 
Weighted average remaining life (in years)
   
 
2.5 - 24.5
 
  
 
5.0
 
    
2.6 - 25.0
       5.1  
Discount rate
   
 
-10.0% - 11.7
% 
  
 
5.7
% 
    
1.9% - 8.2
 %      2.7 %