Finance of America Companies Inc. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Fair Value (Tables)

December 31, 2021

Unobservable Assumptions

Weighted Average

Weighted average remaining life (in years)

Discount rate

1.9% - 8.2%

Fair Value (Tables)

12 Months Ended

Dec. 31, 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

The following table provides a summary of the recognized assets and liabilities that are measured at fair value on a recurring basis (in thousands):


	December 31, 2021
	Successor
	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

Mortgage servicing rights		427,942		—		—		427,942

Derivative assets:
Forward commitments, TBAs, and Treasury Futures		1,763		—		1,763		—
IRLCs		23,222		—		—		23,222
Forward MBS		1,235		—		1,235		—
Interest rate swap futures		22,650		22,650		—		—
Other assets:
Investments		6,000		—		—		6,000
Retained bonds		55,614		—		—		55,614


Total assets	$	20,396,380	$	22,650	$	1,888,625	$	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		1,644		—		1,644		—
Forward commitments, TBAs, and Treasury Futures		186		108		78		—
Interest rate swap futures		24,848		24,848		—		—
Warrants		5,497		5,497		—		—

Total liabilities	$	16,608,007	$	30,453	$	1,722	$	16,575,832


	December 31, 2020
	Predecessor
	Total Fair Value		Level 1		Level 2		Level 3
Assets
Loans held for investment, subject to HMBS related obligations	$	9,929,163	$	—	$	—	$	9,929,163
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
Loans held for investment:
Reverse mortgage loans		661,790		—		—		661,790
Agricultural loans		69,031		—		—		69,031
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 obligations	$	9,788,668	$	—	$	—	$	9,788,668
Nonrecourse debt:
Nonrecourse debt in consolidated 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
December 31, 2021	Loans held for investment			Loans held for investment, subject to nonrecourse debt			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		272,802			71,126			1,214			(14,217	)		(15,200	)		1,344			(3,470	)
Purchases, settlements and transfers:
Purchases and additions, net		4,438,629			80,542			915,522			—			178,279			54,752			—
Sales and settlements		(2,235,651	)		(1,275,674	)		(894,494	)		(1,135	)		(2,501	)		(482	)		—
Transfers in/(out) between categories		(2,060,134	)		2,050,756			8,828			—			—			—			—

Ending balance, December 31, 2021	$	11,587,382		$	6,218,194		$	166,751		$	23,222		$	427,942		$	55,614		$	6,000


	Successor
	Liabilities
December 31, 2021	HMBS related obligations			Derivative liabilities			Deferred purchase price liabilities			Nonrecourse debt in consolidated VIE trusts			Nonrecourse commercial loan financing liability			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		62,306			(98	)		(2,240	)		(74,333	)		1,019			(2,998	)		2,570
Purchases, settlements and transfers:
Purchases and additions, net		(2,491,919	)		—			(7,984	)		(1,813,458	)		(176,863	)		(117,386	)		(31,950	)
Sales and settlements		1,933,387			1,034			586			1,236,614			64,106			—			—
Transfers in/(out) between categories	$	—		$	—		$	—		$	—		$	—		$	—		$	—

Ending balance, December 31, 2021	$	(10,422,358	)	$	—		$	(12,852	)	$	(5,857,069	)	$	(111,738	)	$	(142,435	)	$	(29,380	)


	Predecessor
	Assets
March 31, 2021	Loans held for investment			Loans held for investment, subject to nonrecourse debt			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

Fair value, liabilities measured on recurring basis, unobservable input reconciliation


	Predecessor
	Liabilities
March 31, 2021	HMBS related obligations			Derivative liabilities			Deferred purchase price liability			Nonrecourse debt in consolidated 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
	Assets
December 31, 2020	Loans held for investment			Loans held for investment, subject to nonrecourse debt			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


	Predecessor
	Liabilities
December 31, 2020	HMBS related obligations			Derivative liabilities			Deferred purchase price liabilities			Nonrecourse debt in consolidated 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")

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 December 31, 2021 (Successor) and December 31, 2020 (Predecessor), of financial assets and liabilities for which the Company has elected the fair value option (in thousands):


Successor:


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		940,605		815,426
Commercial mortgage loans		90,723		89,267
Loans held for sale:
Residential mortgage loans		1,902,953		1,859,788
Commercial mortgage loans		149,425		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


Predecessor:
December 31, 2020	Estimated Fair Value		Unpaid Principal Balance
Assets at fair value under the fair value option
Loans held for investment, subject to HMBS related obligations	$	9,929,163	$	9,045,104
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans		5,057,624		4,457,805
Commercial mortgage loans		338,543		333,344
Loans held for investment:
Reverse mortgage loans		661,790		589,429
Commercial mortgage loans		69,031		69,127
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 consolidated VIE trusts		5,257,754		5,155,017
Nonrecourse MSR financing liability		14,088		14,088

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):


	April 1, 2021 to December 31, 2021			January 1, 2021 to March 31, 2021			For the year ended December 31, 2020			For the year ended December 31, 2019
	Successor			Predecessor
Net fair value gains on loans and related obligations:
Interest income on loans	$	495,163		$	160,568		$	709,679		$	749,240
Change in fair value of loans		(108,860	)		(51,346	)		294,238			272,709
Change in fair value of mortgage-backed securities		—			—			2,438			(153	)

Net fair value gains on loans		386,303			109,222			1,006,355			1,021,796

Interest expense on related obligations		(329,344	)		(119,201	)		(526,690	)		(527,646	)
Change in fair value of derivatives		(28,233	)		43,972			(12,482	)		(15,068	)
Change in fair value of related obligations		313,024			42,670			(155,485	)		(149,556	)

Net fair value gains (losses) on related obligations		(44,553	)		(32,559	)		(694,657	)		(692,270	)

Net fair value gains on loans and related obligations	$	341,750		$	76,663		$	311,698		$	329,526

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:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Conditional repayment rate	NM		20.8	%	NM		20.0	%
Loss frequency	NM		4.5	%	NM		4.4	%
Loss severity	3.1% - 7.7%		3.3	%	5.1% - 13.3%		5.4	%
Discount rate	NM		2.4	%	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 assumptions used in the fair value measurement of nonperforming securitized HECM buyouts for the periods indicated:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Conditional repayment rate	NM		41.2	%	NM		42.9	%
Loss frequency	25.0% - 100.0%		59.5	%	25.0% - 100.0%		54.8	%
Loss severity	3.1% - 7.7%		4.3	%	5.1% - 13.3%		7.5	%
Discount rate	NM		4.1	%	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:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Weighted average remaining life (in years)	NM		9.0		NM		8.5
Conditional repayment rate	NM		13.3	%	NM		14.7	%
Loss severity	3.1% - 7.7%		7.7	%	5.1% - 13.3%		7.7	%
Discount rate	NM		3.7	%	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 assumptions used in the fair value measurements of securitized

non-agency

reverse mortgage loans for the periods

indicated:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Weighted average remaining life (in years)	NM		7.5		NM		6.9
Loan to value	0.1% - 64.7%		43.4	%	9.0% -73.1%		48.2	%
Conditional repayment rate	NM		18.6	%	NM		18.7	%
Loss severity	NM		10.0	%	NM		10.0	%
Home price appreciation	(4.6) % - 14.0%		4.7	%	1.1% - 8.9%		5.6	%
Discount rate	NM		3.6	%	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:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Prepayment rate (SMM)	NM		14.1	%	NM		17.1	%
Discount rate	NM		5.7	%	6.7% - 10.0%		6.7	%
Loss frequency	0.3% - 69.0%		0.6	%	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 assumptions used in the fair value measurement of Inventory Buyouts classified as loans held for investment, at fair value for the periods indicated:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range		Weighted Average
Conditional repayment rate	NM		43.2	%		NM		44.0	%
Loss frequency	NM		59.4	%		NM		46.9	%
Loss severity	3.1% - 7.7%		3.8	%		NM		10.5	%
Discount rate	NM		4.1	%		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:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Weighted average remaining life (in years)	NM		9.2		NM		8.0
Loan to value	0.2% - 68.7%		47.8	%	0.1% - 62.1%		44.0	%
Conditional repayment rate	NM		14.8	%	NM		16.8	%
Loss severity	NM		10.0	%	NM		10.0	%
Home price appreciation	(4.6) % - 14.0%		4.4	%	1.1% - 8.9%		5.5	%
Discount rate	NM		3.6	%	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:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Discount rate	NM		4.8	%	NM		6.4	%
Prepayment rate (SMM)	9.0% - 100.0%		22.1	%	0% - 1.0%		0.7	%
Default rate (CDR)	0% - 0.7%		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 loans for the periods indicated:


	December 31, 2021
	Successor
Unobservable Assumptions	Range	Weighted Average
Prepayment rate (SMM)	NM		11.9	%
Discount rate	5.7% - 10.0%		5.9	%
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:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Prepayment rate (CPR)	1.0% - 17.1%		14.2	%	1.0% - 17.1%		15.4	%
Discount rate	NM		3.3	%	NM		5.0	%
Default rate (CDR)	1.0% - 57.2%		2.2	%	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:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Prepayment rate (CPR)	0.0% - 14.5%		8.7	%	0% - 15.0%		9.3	%
Discount rate	NM		3.9	%	NM		4.9	%
Default rate (CDR)	1.0% - 54.0%		3.2	%	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
Unobservable Assumptions	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:


	December 31, 2021			December 31, 2020
	Successor			Predecessor
Capitalization servicing rate		1.1	%		0.8	%
Capitalization servicing multiple		4.4			3.2
Weighted average servicing fee (in basis points)		25			25

The Company utilized the following weighted average assumptions in estimating the fair value of MSRs:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Weighted average prepayment speed (CPR)	0 % - 12.8 %		8.3	%	6.6 % - 24.9 %		12.1	%
Discount rate	NM		8.5	%	NM		12.1	%
Weighted average delinquency rate	0.8 % - 14.3 %		1.3	%	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):


	December 31, 2021
	Successor
	Weighted Average Prepayment Speed			Discount Rate			Weighted Average Delinquency Rate
Impact on fair value of 10% adverse change	$	(6,078	)	$	(15,708	)	$	(345	)
Impact on fair value of 20% adverse change		(11,843	)		(30,230	)		(691	)

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:

December 31, 2021

December 31, 2020

Successor

Predecessor

Unobservable Assumptions

Range

Weighted Average

Range

Weighted Average

Conditional repayment rate

20.8

19.9

Discount rate

2.3

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 assumptions used in the fair value measurements of nonrecourse debt for the periods indicated:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Performing/Nonperforming HECM securitizations
Weighted average remaining life (in years)	0.2 - 0.8		0.5		0.2 - 1.5		1.0
Conditional repayment rate	30.8% - 54.4%		43.5	%	34.3% - 56.3%		42.8	%
Discount rate	NM		2.3	%	NM		3.1	%

Securitized Non-Agency Reverse
Weighted average remaining life (in years)	1.0 - 2.3		1.6		0.3 - 2.7		2.1
Conditional repayment rate	18.4% - 35.9%		28.2	%	19.6% - 35.8%		23.9	%
Discount rate	NM		2.2	%	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:


	December 31, 2021					December 31, 2020
	Successor					Predecessor
Unobservable Assumptions	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		3.1	%	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 Company utilized the following weighted average assumptions in estimating the fair value of the outstanding nonrecourse MSR financing liability:


	December 31, 2021				December 31, 2020
	Successor				Predecessor
Unobservable Assumptions	Range	Weighted Average			Range	Weighted Average
Weighted average prepayment speed (CPR)	2.0% - 11.0%		7.7	%	6.9% - 12.7%		11.6	%
Discount rate	8.1% - 10.1%		9.1	%	11.7% - 12.0%		12.0	%
Weighted average delinquency rate	NM		1.3	%	NM		1.8	%

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: