Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.21.2
Fair Value (Tables)
9 Months Ended
Sep. 30, 2021
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
Fair Value of Assets and Liabilities
The following table provides a summary of the recognized assets and liabilities that are measured at fair value on a recurring basis (in thousands):
 
 
  
September 30, 2021
 
 
  
Successor
 
 
  
Total Fair
Value
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
Assets
  
     
  
     
  
     
  
     
Reverse mortgage loans held for investment, subject to HMBS related obligations
  
$
10,347,459
    
$
—  
 
  
$
—  
 
  
$
10,347,459
 
Mortgage loans held for investment, subject to nonrecourse debt:
                                   
Reverse mortgage loans
  
 
5,665,424
    
 
—  
 
  
 
—  
 
  
 
5,665,424
 
Fix & flip mortgage loans
  
 
274,227
    
 
—  
 
  
 
—  
 
  
 
274,227
 
Mortgage loans held for investment:
                                   
Reverse mortgage loans
  
 
842,268
    
 
—  
 
  
 
—  
 
  
 
842,268
 
Fix & flip mortgage loans
  
 
48,076
    
 
—  
 
  
 
—  
 
  
 
48,076
 
Agricultural loans
  
 
187,326
    
 
—  
 
  
 
—  
 
  
 
187,326
 
Mortgage loans held for sale:
                                   
Residential mortgage loans
  
 
1,904,109
    
 
—  
 
  
 
1,888,208
    
 
15,901
 
SRL
  
 
96,665
    
 
—  
 
  
 
—  
 
  
 
96,665
 
Portfolio
  
 
46,241
    
 
—  
 
  
 
—  
 
  
 
46,241
 
Mortgage servicing rights
  
 
340,949
    
 
—  
 
  
 
—  
 
  
 
340,949
 
Derivative assets:
                                   
Forward commitments, TBAs, and Treasury Futures
  
 
974
    
 
44
    
 
930
    
 
—  
 
IRLCs
  
 
29,175
    
 
—  
 
  
 
—  
 
  
 
29,175
 
Forward MBS
  
 
12,237
    
 
—  
 
  
 
12,237
    
 
—  
 
Interest rate swap futures
  
 
12,607
    
 
12,607
    
 
—  
 
  
 
—  
 
Other assets:
                                   
Investments
  
 
6,000
    
 
—  
 
  
 
—  
 
  
 
6,000
 
Retained bonds
  
 
41,250
    
 
—  
 
  
 
—  
 
  
 
41,250
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total assets
  
$
19,854,987
    
$
12,651
    
$
1,901,375
    
$
17,940,961
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities
                                   
HMBS related obligation
  
$
10,216,310
    
$
—  
 
  
$
—  
 
  
$
10,216,310
 
Nonrecourse debt:
                                   
Nonrecourse debt in VIE trusts
  
 
5,735,010
    
 
—  
 
  
 
—  
 
  
 
5,735,010
 
Nonrecourse MSR financing liability
  
 
96,073
    
 
—  
 
  
 
—  
 
  
 
96,073
 
Deferred purchase price liabilities:
                                   
Deferred purchase price liabilities
  
 
12,175
    
 
—  
 
  
 
—  
 
  
 
12,175
 
TRA obligation
  
 
35,142
    
 
—  
 
  
 
    
 
35,142
 
Derivative liabilities:
                                   
Forward MBS
  
 
1,061
    
 
—  
 
  
 
1,061
    
 
—  
 
Forward commitments, TBAs, and Treasury Futures
  
 
105
    
 
44
    
 
61
    
 
—  
 
Interest rate swap futures
  
 
10,617
    
 
10,617
    
 
—  
 
  
 
—  
 
Warrants
  
 
9,342
    
 
9,342
    
 
—  
 
  
 
—  
 
    
 
 
    
 
 
    
 
 
    
 
 
 
Total liabilities
  
$
16,115,835
    
$
20,003
    
$
1,122
    
$
16,094,710
 
    
 
 
    
 
 
    
 
 
    
 
 
 
 
 
 
 
  
December 31, 2020
 
 
  
Predecessor
 
 
  
Total Fair
Value
 
  
Level 1
 
  
Level 2
 
  
Level 3
 
Assets
  
  
  
  
Reverse mortgage loans held for investment, subject to HMBS related obligations
  
$
9,929,163     
$
—    
  
$
—       
$
9,929,163  
Mortgage loans held for investment, subject to nonrecourse debt:
                                   
Reverse mortgage loans
     5,057,624        —          —          5,057,624  
Fix & flip mortgage loans
     338,543        —          —          338,543  
Mortgage loans held for investment:
                                   
Reverse mortgage loans
     661,790        —          —          661,790  
Agricultural loans
     69,031        —          —          69,031  
Mortgage loans held for sale:
                                   
Residential mortgage loans
     2,080,585        —          2,069,957        10,628  
SRL
     60,467        —          —          60,467  
Portfolio
     38,850        —          —          38,850  
Fix & flip mortgage loans
     42,909        —          —          42,909  
Mortgage servicing rights
     180,684        —          —          180,684  
Derivative assets:
                                   
Forward commitments and TBAs
     1,806        —          722        1,084  
IRLCs
     87,576        —          —          87,576  
Interest rate swaps and interest rate swap futures
     2,683        186        2,497        —    
Other assets:
                                   
Investments
     18,934        —          —          18,934  
    
 
 
    
 
 
    
 
 
    
 
 
 
Total assets
  
$
18,570,645     
$
186     
$
2,073,176     
$
16,497,283  
    
 
 
    
 
 
    
 
 
    
 
 
 
Liabilities
                                   
HMBS related obligation
  
$
9,788,668     
$
—       
$
—       
$
9,788,668  
Nonrecourse debt:
                                   
Nonrecourse debt in VIE trusts
     5,257,754        —          —          5,257,754  
Nonrecourse MSR financing liability
     14,088        —          —          14,088  
Deferred purchase price liabilities
     3,842        —          —          3,842  
Derivative liabilities:
                                   
Forward MBS
     18,635        —          18,635        —    
Forward commitments and TBAs
     1,332        —          248        1,084  
Interest rate swaps and interest rate swap futures
     755        186        569        —    
    
 
 
    
 
 
    
 
 
    
 
 
 
Total liabilities
  
$
15,085,074     
$
186     
$
19,452     
$
15,065,436  
    
 
 
    
 
 
    
 
 
    
 
 
 
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
 
September 30, 2021
  
Mortgage

loans held for
investment
   
Mortgage
loans held for
investment,
subject to
nonrecourse
debt
   
Mortgage
loans held
for sale
   
Derivative
assets
   
Mortgage
servicing
rights
   
Retained
bonds
   
Investments
 
Beginning balance, April 1, 2021
  
$
11,171,736
   
$
5,291,444
   
$
135,681
   
$
38,574
   
$
267,364
   
$
—  
   
$
9,470
 
Total gain or losses included in earnings
  
 
143,362
   
 
120,763
   
 
2,202
   
 
(8,264
 
 
(28,567
 
 
1,505
   
 
(3,470
Purchases, settlements and transfers:
                                                        
Purchases and additions, net
  
 
2,831,336
   
 
49,898
   
 
541,088
   
 
—  
 
 
 
104,653
   
 
39,840
   
 
—  
 
Sales and settlements
  
 
(1,354,871
 
 
(888,318
 
 
(526,014
 
 
(1,135
 
 
(2,501
 
 
(95
 
 
—  
 
Transfers in/(out) between categories
  
 
(1,366,434
)  
 
1,365,864
   
 
5,850
   
 
—  
 
 
 
—  
 
 
 
—  
 
 
 
—  
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Ending balance, September 30, 2021
  
$
11,425,129
   
$
5,939,651
   
$
158,807
   
$
29,175
   
$
340,949
   
$
41,250
   
$
6,000
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
 
 
  
Predecessor
 
 
  
Assets
 
March 31, 2021
  
Mortgage
loans held for
investment
 
 
Mortgage
loans held for
investment,
subject to
nonrecourse
debt
 
 
Mortgage
loans held for
sale
 
 
Derivative
assets
 
 
Mortgage
servicing
rights
 
 
Investments
 
Beginning balance, January 1, 2021
   $ 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  
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
    
Predecessor
 
    
Assets
 
December 31, 2020
  
Mortgage

loans held

for investment
   
Mortgage
loans held

for

investment,
subject to
nonrecourse
debt
   
Mortgage
loans held
for sale
   
Derivative
assets
    
Mortgage
servicing
rights
    
Debt
securities
   
Investments
 
Beginning balance, January 1, 2020
   $ 10,894,577     $ 3,511,212     $ 182,973     $ 14,008      $ 2,600      $ 102,260     $ 20,508  
Total gain or losses included in earnings
     627,251       304,663       (2,158     74,470        4,562        2,288       (5,512
Purchases, settlements and transfers:
                                                          
Purchases and additions, net
     3,616,667       136,838       409,467       182        173,522        24,489       3,938  
Sales and settlements
     (1,536,977     (1,285,902     (605,018     —          —          (129,037     —    
Transfers in/(out) between categories
     (2,941,534     2,729,356       167,590       —          —          —         —    
    
 
 
   
 
 
   
 
 
   
 
 
    
 
 
    
 
 
   
 
 
 
Ending balance, December 31, 2020
   $ 10,659,984     $ 5,396,167     $ 152,854     $ 88,660      $ 180,684      $
 
 
    $ 18,934  
    
 
 
   
 
 
   
 
 
   
 
 
    
 
 
    
 
 
   
 
 
 
Fair value, liabilities measured on recurring basis, unobservable input reconciliation
    
Successor
 
    
Liabilities
 
September 30, 2021
  
HMBS
 
related
obligations
   
Derivative
liabilities
   
Deferred
purchase price
liabilities
   
Nonrecourse
debt in VIE
trusts
   
Nonrecourse
MSR
financing
liability
   
TRA Liability
 
Beginning balance, April 1, 2021
  
$
(9,926,132
 
$
(936
 
$
(3,214
 
$
(5,205,892
 
$
(22,051
 
$
—  
 
Total gains or losses included in earnings
  
 
76,397
   
 
98
   
 
(1,997
 
 
(77,717
 
 
3,411
   
 
(1,896
Purchases, settlements and transfers:
                                                
Purchases and additions, net
  
 
(1,587,902
 
 
—  
 
 
 
(7,275
 
 
(1,260,585
 
 
(77,433
 
 
(33,246
Settlements
  
 
1,221,327
   
 
838
   
 
311
   
 
809,184
   
 
—  
 
 
 
—  
 
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Ending balance, September 30, 2021
  
$
(10,216,310
 
$
—  
   
$
(12,175
 
$
(5,735,010
 
$
(96,073
 
$
(35,142
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
    
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, January 1, 2021
   $ (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
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
 
    
Predecessor
 
    
Liabilities
 
December 31, 2020
  
HMBS related
obligations
   
Derivative
liabilities
   
Deferred purchase
price liabilities
   
Nonrecourse
debt in VIE
trusts
   
Nonrecourse MSR
Financing Liability
 
Beginning balance, January 1, 2020
   $ (9,320,209   $ (68   $ (4,300   $ (3,490,196   $ —    
Total gain or losses included in earnings
     (359,951     (834     (3,014     (294,802     798  
Purchases, settlements and transfers:
                                        
Purchases and additions, net
     (2,051,953     (182     (138     (3,110,368     (15,101
Sales and settlements
     1,943,445       —         3,610       1,637,612       215  
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Ending balance, December 31, 2020
   $ (9,788,668   $ (1,084   $ (3,842   $ (5,257,754   $ (14,088
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Summary of the fair value and unpaid principal balance ("UPB")
Presented in the tables below are the fair value and unpaid principal balance (“UPB”) at September 30, 2021 (Successor) and December 31, 2020 (Predecessor), of assets and liabilities for which the Company has elected the fair value option (in thousands):
 
Successor:
             
September 30, 2021
  
Estimated Fair
Value
    
Unpaid Principal
Balance
 
Assets at fair value under the fair value option
                 
Reverse mortgage loans held for investment, subject to HMBS related obligations
  
$
10,347,459
    
$
9,617,079
 
Mortgage loans held for investment, subject to nonrecourse debt:
                 
Reverse mortgage loans
  
 
5,665,424
    
 
4,986,876
 
Commercial mortgage loans
  
 
274,227
    
 
268,288
 
Mortgage loans held for investment:
                 
Reverse mortgage loans
  
 
842,268
    
 
721,012
 
Commercial mortgage loans
  
 
235,402
    
 
233,101
 
Mortgage loans held for sale:
                 
Residential mortgage loans
  
 
1,904,109
    
 
1,859,842
 
Commercial mortgage loans
  
 
142,906
    
 
138,101
 
Liabilities at fair value under the fair value option
                 
HMBS related obligations
  
 
10,216,310
    
 
9,617,079
 
Nonrecourse debt:
                 
Nonrecourse debt in VIE trusts
  
 
5,735,010
    
 
5,654,826
 
 
Predecessor:
             
December 31, 2020
  
Estimated Fair
Value
    
Unpaid Principal
Balance
 
Assets at fair value under the fair value option
                 
Reverse mortgage loans held for investment, subject to HMBS related obligations
  
$
9,929,163     
$
9,045,104  
Mortgage loans held for investment, subject to nonrecourse debt:
                 
Reverse mortgage loans
     5,057,624        4,457,805  
Commercial mortgage loans
     338,543        333,344  
Mortgage loans held for investment:
                 
Reverse mortgage loans
     661,790        589,429  
Commercial mortgage loans
     69,031        69,127  
Mortgage loans held for sale:
                 
Residential mortgage loans
     2,080,585        2,000,795  
Commercial mortgage loans
     142,226        140,693  
Liabilities at fair value under the fair value option
                 
HMBS related obligations
     9,788,668        9,045,104  
Nonrecourse debt:
                 
Nonrecourse debt in VIE trusts
     5,257,754        5,155,017  
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 mortgage loans and related obligations (in thousands):
 
    
For the three
months ended
September 30,
2021
   
April 1, 2021

to
September 30,
2021
   
January 1,
 

2021

to

March 31,
2021
   
For the three
months ended
September 30,
2020
   
For the nine
months ended
September 30,
2020
 
    
Successor
   
Predecessor
 
Net fair value gains on mortgage loans and related obligations:
              
 
                       
Interest income on mortgage loans
  
$
160,683
   
$
334,623
    $ 160,568     $ 150,276     $ 492,066  
Change in fair value of mortgage loans
  
 
(119,690
 
 
(34,707
    (51,346     160,480       302,541  
Change in fair value of mortgage-backed securities
  
 
—  
 
 
 
—  
 
    —         1,621       2,438  
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net fair value gains on mortgage loans
  
 
40,993
   
 
299,916
      109,222       312,377       797,045  
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Interest expense on related obligations
  
 
(107,593
 
 
(221,067
    (119,201     (121,777     (383,622
Change in fair value of derivatives
  
 
6,841
   
 
(39,637
    43,972       149       (5,594
Change in fair value of related obligations
  
 
182,268
   
 
214,448
      42,670       (94,794     (186,191
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net fair value gains (losses) on related obligations
  
 
81,516
   
 
(46,256
    (32,559     (216,422     (575,407
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
Net fair value gains on mortgage loans and related obligations
  
$
122,509
   
$
253,660
    $ 76,663     $ 95,955     $ 221,638  
    
 
 
   
 
 
   
 
 
   
 
 
   
 
 
 
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 inputs used in the fair value measurement of reverse mortgage loans held for investment, subject to HMBS related obligations, for the periods indicated:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
                            
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Conditional repayment rate
  
 
NM
 
  
 
20.8
    NM        20.0
Loss frequency
  
 
NM
 
  
 
4.8
    NM        4.4
Loss severity
  
 
4.1% - 11.8%
 
  
 
4.4
   
5.1% - 13.3%
       5.4
Discount rate
  
 
NM
 
  
 
2.2
    NM        1.6
Average draw rate
  
 
NM
 
  
 
1.1
    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 inputs used in the fair value measurement of nonperforming securitized HECM buyouts for the periods indicated:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
                            
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Conditional repayment rate
  
 
NM
 
  
 
41.2
    NM        42.9
Loss frequency
  
 
25.0% - 100.0%
 
  
 
59.9
   
25.0% - 100.0%
       54.8
Loss severity
  
 
4.1% - 11.8%
 
  
 
6.1
    5.1% - 13.3%        7.5
Discount rate
  
 
NM
 
  
 
3.6
    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 inputs used in the fair value measurement of performing securitized HECM buyouts for the periods indicated:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
                            
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Weighted average remaining life (in years)
  
 
NM
 
  
 
9.3
      NM        8.5  
Conditional repayment rate
  
 
NM
 
  
 
12.8
    NM        14.7
Loss severity
  
 
4.1% - 11.8%
 
  
 
8.6
   
5.1% - 13.3%
       7.7
Discount rate
  
 
NM
 
  
 
3.6
    NM        3.5
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 inputs used in the fair value measurements of
non-agency
reverse mortgage loans for the periods indicated:
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
                            
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Weighted-average remaining life (in years)
  
 
NM
 
  
 
7.2
      NM        6.9  
Loan to value
  
 
0.1% - 63.1%
 
  
 
42.9
   
9.0% - 73.1%
       48.2
Conditional repayment rate
  
 
NM
 
  
 
19.2
    NM        18.7
Loss severity
  
 
NM
 
  
 
10.0
    NM        10.0
Home price appreciation
  
 
3.4% - 9.6%
 
  
 
4.7
    1.1% - 8.9%        5.6
Discount rate
  
 
NM
 
  
 
3.4
    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:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
                            
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Prepayment rate (SMM)
  
 
NM
 
  
 
14.3
    NM        17.1
Discount rate
  
 
NM
 
  
 
5.2
    6.7% - 10.0%        6.7
Loss frequency
  
 
0.3% - 74.3%
 
  
 
0.5
   
0.2% - 44.0%
       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 inputs used in the fair value measurement of Inventory Buyouts classified as reverse mortgage loans held for investment for the periods indicated:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
                            
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Conditional repayment rate
  
 
NM
 
  
 
44.0
    NM        44.0
Loss frequency
  
 
NM
 
  
 
59.1
    NM        46.9
Loss severity
     NM     
 
5.5
    NM        10.5
Discount rate
  
 
NM
 
  
 
3.6
    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 inputs used in the fair value measurement of
non-agency
reverse mortgage loans classified as reverse mortgage loans held for investment for the periods indicated:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
                            
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Weighted average remaining life (in years)
  
 
NM
 
  
 
7.8
      NM        8.0  
Loan to value
  
 
7.4% - 68.3%
 
  
 
47.9
   
0.1% - 62.1%
       44.0
Conditional repayment rate
  
 
NM
 
  
 
16.5
    NM        16.8
Loss severity
  
 
NM
 
  
 
10.0
    NM        10.0
Home price appreciation
  
 
3.4% - 9.6%
 
  
 
4.7
   
1.1% - 8.9%
       5.5
Discount rate
  
 
NM
 
  
 
3.4
    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:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
                            
Discount rate
  
 
NM
 
  
 
4.8
    NM        6.4
Prepayment rate (SMM)
  
 
9.2% - 100.0%
 
  
 
26.2
    0% - 1.0%        0.7
Default rate (CDR)
  
 
NM
 
  
 
0.9
    0% - 2.0%        0.4
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 mortgage loans for the periods indicated:
 
    
September 30, 2021
 
    
Successor
 
               
Inputs
  
Range
    
Weighted Average
 
Prepayment rate (SMM)
  
 
NM
 
  
 
12.2
Discount rate
  
 
NM
 
  
 
5.4
Loss frequency
  
 
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:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
                            
Prepayment rate (CPR)
  
 
1.0% - 17.1%
 
  
 
14.0
    1.0% - 17.1%        15.4
Discount rate
  
 
NM
 
  
 
3.1
    NM        5.0
Default rate (CDR)
  
 
1.0% - 54.0%
 
  
 
2.4
   
1.0% - 64.9%
       3.6
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:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
                            
Prepayment rate (CPR)
  
 
0% - 14.8%
 
  
 
5.9
    0% - 15.0%        9.3
Discount rate
  
 
NM
 
  
 
3.8
    NM        4.9
Default rate (CDR)
  
 
1.0% - 45.4%
 
  
 
2.9
   
1.0% - 42.7%
       2.0
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 mortgage loans for the periods indicated:
 
    
December 31, 2020
 
    
Predecessor
 
Inputs
  
Range
    
Weighted Average
 
               
Prepayment rate (SMM)
     NM      12.4
Discount rate
    
6.7% - 10.0%
       7.2
Loss frequency
     NM        0.8
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:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
              
Capitalization servicing rate
  
 
1.0
    0.8
Capitalization servicing multiple
  
 
4.0
 
    3.2  
Weighted average servicing fee (in basis points)
  
 
25
 
    25  
The significant assumptions used in estimating the fair value of MSRs were as follows (in annual rates):
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
                            
Weighted average prepayment speed (CPR)
  
 
7.0% - 18.3%
 
  
 
9.5
   
6.6% - 24.9%
       12.1
Discount rate
  
 
NM
 
  
 
9.7
    NM        12.1
Weighted average delinquency rate
  
 
1.2% - 8.9%
 
  
 
1.2
    1.2% - 9.2%        1.3
The following table summarizes the estimated change in the fair value of MSRs from adverse changes in the significant assumptions (in thousands):
 
 
  
September 30, 2021
 
 
  
Successor
 
 
  
Weighted Average
Prepayment
Speed
 
  
Discount
Rate
 
  
Weighted Average
Delinquency Rate
 
 
  
 
 
  
 
 
  
 
 
Impact on fair value of 10% adverse change
  
$
(12,591
  
$
(12,721
  
$
(393
Impact on fair value of 20% adverse change   
 
(24,163
  
 
(24,393
  
 
(643
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:
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
                            
Conditional repayment rate
  
 
NM
 
  
 
20.9
    NM        19.9
Discount rate
  
 
NM
 
  
 
2.1
    NM        1.4
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 inputs used in the fair value measurements of nonrecourse debt for the periods indicated:
 
 
  
September 30, 2021
 
 
December 31, 2020
 
 
  
Successor
 
 
Predecessor
 
Inputs
  
Range
 
  
Weighted Average
 
 
Range
 
  
Weighted Average
 
Performing/Nonperforming
HECM securitizations
  
     
  
   
 
 
     
  
     
Weighted average remaining life (in years)
  
 
0.4
 - 
1.0
 
  
 
0.7
     
0.2
 
-
 1.5
       1.0  
Conditional repayment rate
  
 
24.7% - 28.4%
 
  
 
26.4
   
34.3% - 56.3%
       42.8
Discount rate
  
 
NM
 
  
 
2.1
    NM        3.1
Securitized
Non-Agency
Reverse
               
 
                
Weighted average remaining life (in years)
  
 
1.1 - 2.4
 
  
 
1.7
      0.3 - 2.7        2.1  
Conditional repayment rate
  
 
18.2% - 36.3%
 
  
 
27.0
   
19.6% - 35.8%
       23.9
Discount rate
  
 
NM
 
  
 
1.7
    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 inputs used in the fair value measurements of nonrecourse debt for the periods indicated:
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Weighted average remaining life (in months)
  
 
NM
 
  
 
4.0
 
   
1.9 - 4.1
       3.4  
Weighted average prepayment speed (SMM)
  
 
NM
 
  
 
14.0
   
17.7% - 32.0%
       21.4
Discount rate
  
 
NM
 
  
 
2.6
    NM        5.8
Non Recourse MSR Financing Liability [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
The significant assumptions used in estimating the fair value of the outstanding nonrecourse MSR financing liability were as follows (in annual rates):
 
    
September 30, 2021
   
December 31, 2020
 
    
Successor
   
Predecessor
 
Inputs
  
Range
    
Weighted Average
   
Range
    
Weighted Average
 
Weighted average prepayment speed (CPR)
  
 
7.7% - 10.2%
 
  
 
8.7
   
6.9% - 12.7%
       11.6
Discount rate
  
 
10.1% - 10.4%
 
  
 
10.3
   
11.7% - 12.0%
       12.0
Weighted average delinquency rate
  
 
NM
 
  
 
1.0
    NM        1.8
The following table summarizes the estimated change in the fair value of the nonrecourse MSR financing liability, at fair value from adverse changes in the significant assumptions (in thousands):
 
    
September 30, 2021
 
    
Successor
 
    
Weighted Average
Prepayment Speed
    
Discount
Rate
    
Weighted Average
Delinquency Rate
 
Impact on fair value of 10% adverse change
  
$
(2,249
  
$
(3,329
  
$
(93
Impact on fair value of 20% adverse change   
 
(5,023
  
 
(7,062
  
 
(152
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 inputs used in the fair value measurement of retained bonds for the period indicated:
 
  
September 30, 2021
 
 
  
Successor
 
Inputs
  
Range
 
 
Weighted Average
 
Weighted average remaining life (in years)
  
 
2.6 - 25.2
 
 
 
5.1
 
Discount rate
  
 
1.5% - 8.3
%
 
 
 
2.5
%