Quarterly report pursuant to Section 13 or 15(d)

Nonrecousre Debt, at Fair Value

v3.21.2
Nonrecousre Debt, at Fair Value
6 Months Ended
Jun. 30, 2021
Debt Instruments [Abstract]  
Nonrecourse Debt, at Fair Value
17.
Nonrecourse Debt, at Fair Value
Nonrecourse debt, at fair value, consisted of the following (in thousands):
 
    
Issue Date
  
Class of Note
  
Final
Maturity Date
  
Interest Rate
    
Original
Issue
Amount
    
June 30,
2021
         
December 31,
2020
 
                                 
Successor
         
Predecessor
 
Securitization of nonperforming HECM loans:
                            
 
        
2021 FASST HB1
   February 2021    A, M1, M2, M3, M4, M5    February 2031      0.9%—9.0%      $ 571,448     
$
537,299
   
 
   $ —    
2020 FASST HB2
   July 2020    A, M1, M2, M3, M4, M5    July 2030      1.71%—7.75%        594,171     
 
446,413
   
 
     476,147  
2020 FASST HB1
   February 2020    A, M1, M2, M3, M4, M5    February 2030      2.0%—6.0%        373,912     
 
—  
 
 
 
     298,883  
           
Securitization of
non-agency
reverse loans:
                            
 
        
2021 FASST JR 1
   April 2021    A1, A2    April 2026      1.5%—2.0%        562,512     
 
512,794
   
 
     —    
2019 FASST JR2
   June 2019    A, A2    June 2069      2.0%        499,000     
 
406,709
   
 
     440,141  
2018 FASST JR1
   May 2018    A    May 2068      4.3%        559,197     
 
386,548
   
 
     428,671  
2019 FASST JR3
   September 2019    A    September 2069      2.0%        450,104     
 
359,772
   
 
     404,057  
2020 FASST JR3
   August 2020    A, A2    August 2025      2.0%—3.0%        360,713     
 
315,570
   
 
     337,099  
2019 FASST JR4
   November 2019    A    November 2069      2.0%        365,685     
 
305,097
   
 
     335,945  
2019 FASST JR1
   March 2019    A    March 2069      2.0%        347,000     
 
288,654
   
 
     309,840  
2020 FASST S3
   December 2020    A1, A2    December 2025      1.5%—2.5%        313,357     
 
288,383
   
 
     297,871  
2020 FASST S2
   June 2020    A1, A2    March 2025      2.0%        320,460     
 
286,734
   
 
     299,401  
2020 FASST JR2
   May 2020    A1A, A1B, A2    May 2023      0.0%—2.0%        305,658     
 
277,694
   
 
     291,827  
2018 FASST JR2
   December 2018    A    December 2068      4.5%        280,400     
 
229,872
   
 
     253,325  
2020 FASST JR4
   October 2020    A, A2    August 2025      2.0%—3.0%        241,664     
 
197,970
   
 
     217,385  
2020 FASST S1
   March 2020    A1, A2    March 2025      2.0%—3.7%        199,000     
 
168,761
   
 
     181,059  
2020 FASST JR1
   April 2020    A, A2    April 2023      2.0%        254,805     
 
—  
 
 
 
     240,563  
 
    
Issue Date
  
Class of Note
  
Final
Maturity Date
  
Interest Rate
    
Original
Issue
Amount
    
June 30,
2021
         
December 31,
2020
 
                                 
Successor
         
Predecessor
 
Securitization of Fix & Flip loans:
                            
 
        
2021 RTL1 ANTLR
   April 2021    A1, A2, M    November 2024 (A1); January 2025 (A2); May 2025 (M)   2.1%—5.4%        268,511     
 
268,511
   
 
     —    
2020 RTL1 ANTLR
   May 2020    A1, A2    May 2022 (A1, A2)      6.9%—8.0%        306,517     
 
—  
 
 
 
     140,072  
2018 RTL1 ANTLR
   September 2018   
A1, A2,
A-VFN,
M
   July 2022 (A1, A2); March 2023 (M)      4.3%—7.4%        210,296     
 
—  
 
 
 
     80,949  
2019 RTL1 ANTLR
   March 2019    A1, A2, A-VFN, M    June 2022 (A1, A2); January 2023 (M)      4.5%—6.9%        217,100     
 
—  
 
 
 
     121,772  
                                     
 
 
        
 
 
 
Total nonrecourse debt
 
  
 
5,276,781
           5,155,007  
      
 
 
        
 
 
 
Nonrecourse MSR financing liability, at fair value
 
  
 
65,129
           14,088  
Fair value adjustments
 
  
 
83,822
           102,747  
      
 
 
        
 
 
 
Total nonrecourse debt, at fair value
 
  
$
5,425,732
         $ 5,271,842  
      
 
 
        
 
 
 
Nonrecourse MSR Financing Liability, at Fair Value
The Company has agreements with third parties to sell beneficial interests in the servicing fees generated from certain of its originated or acquired mortgage servicing rights. Under these agreements, the Company has agreed to sell to the third parties the right to receive all excess servicing and ancillary fees related to the identified MSRs in exchange for an upfront payment equal to the entire purchase price of the identified mortgage servicing rights. These transactions are accounted for as financings under ASC 470
, Debt
and included in nonrecourse debt, at fair value in the Consolidated Statements of Financial Condition.
The Company elected to measure the outstanding financings related to the nonrecourse MSR financing liability, at fair value, as permitted under ASC 825
, Financial Instruments
, with all changes in fair value recorded as a charge or credit to fee income in the Consolidated Statements of Operations. The fair value on the nonrecourse MSR financing liability is based on the present value of expected future cash flows to be paid to the third parties with the discount rate approximating current market value for similar financial instruments. See Note 30—Related Party Transactions for additional information regarding the nonrecourse MSR financing liability.