Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.22.2.2
Fair Value (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
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:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Conditional repayment rate NM 23.2  % NM 20.8  %
Loss frequency NM 3.9  % NM 4.5  %
Loss severity
2.4% - 9.5%
 2.6  %
3.1% - 7.7%
 3.3  %
Discount rate NM 5.2  % NM 2.4  %
Average draw rate NM 1.1  % NM 1.1  %
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:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Conditional repayment rate
 NM 39.5  % NM 41.2  %
Loss frequency
23.1% - 100.0%
 50.6  %
25.0% - 100%
 59.5  %
Loss severity
2.4% - 9.5%
 4.4  %
3.1% - 7.7%
 4.3  %
Discount rate
 NM 8.6  % NM 4.1  %
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:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average remaining life (in years) NM 8.3  NM 9.0
Conditional repayment rate NM 15.1  % NM 13.3  %
Loss severity
2.4% - 9.5%
 4.9  %
3.1% - 7.7%
 7.7  %
Discount rate NM 8.2  % NM 3.7  %
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:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average remaining life (in years) NM 9.4  NM 7.5
Loan to value
0.0% - 73.0%
 42.6  %
0.1% - 64.7%
 43.4  %
Conditional repayment rate NM 15.0  % NM 18.6  %
Loss severity NM 10.0  % NM 10.0  %
Home price appreciation
(6.8)% - 6.3%
 3.8  %
(4.6)% - 14%
 4.7  %
Discount rate NM 7.2  % NM 3.6  %
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, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Prepayment rate (SMM) NM 10.5  % NM 14.1  %
Discount rate NM 10.2  % NM 5.7  %
Loss rate
NM
 0.5  %
0.3% - 69.0%
 0.6  %
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:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Conditional repayment rate
 NM 44.6  % NM 43.2  %
Loss frequency NM 54.3  % NM 59.4  %
 Loss severity
2.4% - 9.5%
 5.9  %
3.1% - 7.7%
 3.8  %
Discount rate
 NM 8.6  % NM 4.1  %
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:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average remaining life (in years) NM 11.7  NM 9.2
Loan to value
0.1% - 64.7%
 43.6  %
0.2% - 68.7%
 47.8  %
Conditional repayment rate
 NM 13.6  % NM 14.8  %
Loss severity NM 10.0  % NM 10.0  %
Home price appreciation
(6.8)% - 6.3%
 3.6  %
(4.6)%-14.0%
 4.4  %
Discount rate
 NM 7.1  % NM 3.6  %
The Company utilized the following weighted average assumptions in estimating the fair value of Fix & Flip loans for the periods indicated:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Prepayment rate (SMM) NM 14.0  % NM 11.9  %
Discount rate
10.2% - 14.8%
 10.3  %
5.7% - 10.0%
 5.9  %
Loss rate NM 0.3  % NM 0.4  %
The Company utilized the following assumptions in estimating the fair value of agricultural loans for the periods indicated:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Discount rate NM 9.3  % NM 4.8  %
Prepayment rate (SMM)  NM 17.6  %
9.0% - 100.0%
 22.1  %
Default rate (CDR)
0.0% - 1.0%
 0.9  %
0.0% - 0.7%
 0.9  %
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, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Prepayment rate (CPR)
18.1% - 25.0%
 18.8  %
1.0% - 17.1%
 14.2  %
Discount rate NM 7.9  % NM 3.3  %
Default rate (CDR) NM 1.0  %
1.0% - 57.2%
 2.2  %
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, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Prepayment rate (CPR)
0.0% - 20.1%
 14.3  %
0.0% - 14.5%
 8.7  %
Discount rate NM 7.9  % NM 3.9  %
Default rate (CDR) NM 1.0  %
1.0% - 54.0%
 3.2  %
The following tables summarize certain information regarding the servicing portfolio of retained MSRs for the periods indicated:
September 30, 2022 December 31, 2021
Capitalization servicing rate 1.2  % 1.1  %
Capitalization servicing multiple 4.8 4.4
Weighted average servicing fee (in basis points) 26 25
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, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Conditional repayment rate
 NM 23.2  % NM 20.8  %
Discount rate
 NM 5.2  % NM 2.3  %
The following table presents the weighted average significant unobservable assumptions used in the fair value measurements of nonrecourse debt for the periods indicated:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Performing/Nonperforming HECM securitizations
Weighted average remaining life (in years)
1.8 - 1.9
 1.9 
0.2 - 0.8
 0.5
Conditional repayment rate
18.7% - 22.8%
 21.0  %
30.8% - 54.4%
 43.5  %
Discount rate
 NM 8.2  % NM 2.3  %
Securitized Non-Agency Reverse
Weighted average remaining life (in years)
0.5 - 11.2
 6.7 
1.0 - 2.3
 1.6
Conditional repayment rate
11.9% - 31.6%
 16.9  %
18.4% - 35.9%
 28.2  %
Discount rate
 NM 7.1  % NM 2.2  %
The following table presents the significant unobservable assumptions used in the fair value measurements of nonrecourse debt for the periods indicated:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average remaining life (in months) NM 5.1 NM 4.0
Weighted average prepayment speed (SMM) NM 13.7  % NM 14.0  %
Discount rate
 NM 7.6  % NM 3.1  %
The following table presents the weighted average significant unobservable assumptions used in the fair value measurement of retained bonds for the period indicated:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average remaining life (in years)
2.4 - 24.3
 4.9
2.6 - 25.0
 5.1
Discount rate
(16.6)% - 12.2%
 7.1  %
1.9% - 8.2%
 2.7  %
Summary of servicing portfolio and its activities
The Company utilized the following weighted average assumptions in estimating the fair value of MSRs:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average prepayment speed (CPR)
0.9% - 7.9%
 5.8  %
0.0% - 12.8%
 8.3  %
Discount rate  NM 11.7  % NM 8.5  %
The servicing portfolio associated with capitalized servicing rights consists of the following (in thousands):
September 30, 2022 December 31, 2021
Fannie Mae/Freddie Mac $ 7,207,398  $ 37,079,995 
Ginnie Mae 535,952  1,109,962 
Private investors 1,030,666  1,109,459 
Total UPB $ 8,774,016  $ 39,299,416 
Weighted average interest rate 3.55  % 3.03  %

The activity in the loan servicing portfolio associated with capitalized servicing rights consisted of the following (in thousands):
For the three months ended September 30, 2022 For the nine months ended September 30, 2022 For the three months ended September 30, 2021 For the six months ended September 30, 2021 For the three months ended March 31, 2021
Successor Predecessor
Beginning UPB $ 29,494,649  $ 39,299,416  $ 30,592,187  $ 26,675,358  $ 22,269,362 
Originated MSRs 1,788,998  9,421,902  5,380,307  10,520,166  6,312,227 
Purchased MSRs —  —  228,470  234,007  866,806 
Sold MSRs (22,037,083) (37,529,103) (320,028) (320,028) (1,090,267)
Portfolio runoff (281,332) (1,611,107) (1,506,451) (2,493,506) (1,488,977)
Other (191,216) (807,092) (283,370) (524,882) (193,793)
Ending UPB $ 8,774,016  $ 8,774,016  $ 34,091,115  $ 34,091,115  $ 26,675,358 
The activity in the MSRs asset consisted of the following (in thousands):
For the three months ended September 30, 2022 For the nine months ended September 30, 2022 For the three months ended September 30, 2021 For the six months ended September 30, 2021 For the three months ended March 31, 2021
Successor Predecessor
Beginning balance $ 359,006  $ 427,942  $ 290,938  $ 267,364  $ 180,684 
Originations 20,241  114,903  52,252  102,301  65,964 
Purchases —  —  2,291  2,352  9,014 
Sales (266,723) (470,018) (2,501) (2,501) (8,647)
Changes in fair value due to:
Changes in market inputs or assumptions used in valuation model (4,382) 56,938  13,165  (2,886) 35,109 
Changes in fair value due to portfolio runoff and other (5,073) (26,696) (15,196) (25,681) (14,760)
Ending balance $ 103,069  $ 103,069  $ 340,949  $ 340,949  $ 267,364 
Schedule of Servicing Liabilities at Fair Value
The Company utilized the following weighted average assumptions in estimating the fair value of MSRs:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average prepayment speed (CPR)
0.9% - 7.9%
 5.8  %
0.0% - 12.8%
 8.3  %
Discount rate  NM 11.7  % NM 8.5  %
Summary of estimated change in the fair value of MSRs from adverse changes in the significant assumptions
The following table summarizes the estimated change in the fair value of MSRs from adverse changes in the significant assumptions (in thousands):
September 30, 2022
Weighted Average Prepayment Speed Discount Rate
Impact on fair value of 10% adverse change $ (2,397) $ (4,402)
Impact on fair value of 20% adverse change $ (4,666) $ (8,461)
Weighted average assumptions in estimating the fair value of the outstanding nonrecourse MSR financing liability
The Company utilized the following weighted average assumptions in estimating the fair value of the outstanding nonrecourse MSR financing liability:
September 30, 2022 December 31, 2021
Unobservable Assumptions Range Weighted Average Range Weighted Average
Weighted average prepayment speed (CPR)
1.3% - 6.4%
 4.7  %
2.0% - 11.0%
 7.7  %
Discount rate
12.6%
12.6  %
8.1% - 10.1%
 9.1  %
Weighted average delinquency rate  NM 1.7  % NM 1.3  %
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):
September 30, 2022
Total Fair Value Level 1 Level 2 Level 3
Assets
Loans held for investment, subject to HMBS related obligations $ 10,916,551  $ —  $ —  $ 10,916,551 
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans 6,285,773  —  —  6,285,773 
Fix & flip mortgage loans 455,618  —  —  455,618 
Loans held for investment:
Reverse mortgage loans 1,126,483  —  —  1,126,483 
Fix & flip mortgage loans 137,367  —  —  137,367 
Agricultural loans 43,563  —  —  43,563 
Loans held for sale:
Residential mortgage loans 629,877  —  600,439  29,438 
SRL 147,872  —  —  147,872 
Portfolio 81,901  —  —  81,901 
MSRs 103,069  —  —  103,069 
Derivative assets:
IRLCs and LPCs 3,678  —  4  3,674 
Forward MBS and TBAs 32,254  —  32,254  — 
Interest rate swaps and futures contracts 53,967  53,967  —  — 
Other assets:
Investments 1,000  —  —  1,000 
Retained bonds 43,206  —  —  43,206 
Total assets $ 20,062,179  $ 53,967  $ 632,697  $ 19,375,515 
Liabilities
HMBS related obligations $ 10,784,841  $ —  $ —  $ 10,784,841 
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts 6,525,382  —  —  6,525,382 
Nonrecourse commercial loan financing liability 160,344  —  —  160,344 
Nonrecourse MSR financing liability 59,800  —  —  59,800 
Deferred purchase price liabilities:
Deferred purchase price liabilities 4,852  —  —  4,852 
TRA obligation 4,855  —  —  4,855 
Derivative liabilities:
IRLCs and LPCs 13,740  —  —  13,740 
Forward MBS and TBAs 97  —  97  — 
Warrant liability 1,867  1,867  —  — 
Total liabilities $ 17,555,778  $ 1,867  $ 97  $ 17,553,814 
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
Three months ended September 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 $ 11,940,851  $ 6,600,762  $ 270,122  $ 13,997  $ 359,006  $ 46,593  $ 1,000 
Total gain or losses included in earnings (7,558) (265,038) (4,158) (10,323) (9,455) (2,302) — 
Purchases, settlements, and transfers:
Purchases and additions, net 1,482,912  31,359  210,004  —  20,241  —  — 
Sales and settlements (417,114) (376,855) (219,663) —  (266,723) (1,085) — 
Transfers in/(out) between categories
 (775,127) 751,163  2,906  —  —  —  — 
Ending balance $ 12,223,964  $ 6,741,391  $ 259,211  $ 3,674  $ 103,069  $ 43,206  $ 1,000 
Successor
Assets
Nine months ended September 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 $ 11,587,382  $ 6,218,194  $ 166,750  $ 23,222  $ 427,942  $ 55,614  $ 6,000 
Total gain or losses included in earnings (77,600) (836,632) (15,361) (19,548) 30,242  (8,611) (5,000)
Purchases, settlements, and transfers:
Purchases and additions, net 5,259,357  89,907  1,001,526  —  114,903  —  — 
Sales and settlements (1,701,481) (1,537,044) (902,713) —  (470,018) (3,797) — 
Transfers in/(out) between categories (2,843,694) 2,806,966  9,009  —  —  —  — 
Ending balance $ 12,223,964  $ 6,741,391  $ 259,211  $ 3,674  $ 103,069  $ 43,206  $ 1,000 
Successor
Assets
Three months ended September 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 $ 11,541,117  $ 5,424,621  $ 160,888  $ 35,483  $ 290,938  $ 15,671  $ 9,470 
Total gain or losses included in earnings (10,328) 40,355  386  (5,198) (2,031) 839  (3,470)
Purchases, settlements, and transfers:
Purchases and additions, net 1,402,360  27,857  284,650  —  54,543  24,762  — 
Sales and settlements (738,913) (366,177) (250,058) (1,110) (2,501) (22) — 
Transfers in/(out) between categories (769,107) 812,995  (37,059) —  —  —  — 
Ending balance $ 11,425,129  $ 5,939,651  $ 158,807  $ 29,175  $ 340,949  $ 41,250  $ 6,000 
Successor
Assets
Six months ended September 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 $ 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 $ 11,425,129  $ 5,939,651  $ 158,807  $ 29,175  $ 340,949  $ 41,250  $ 6,000 
Predecessor
Assets
Three months ended 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 $ 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 $ 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
Three months ended September 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 $ (10,745,879) $ (4,852) $ (6,447,238) $ (162,464) $ (142,382) $ (13,925)
Total gains or losses included in earnings 13,421  —  178,700  (2,769) 1,736  9,070 
Purchases, settlements, and transfers:
Purchases and additions, net (547,762) —  (718,656) (24,975) (92) — 
Settlements 495,379  —  461,812  29,864  80,938  — 
Transfers in/(out) between categories
 —  —  —  —  —  — 
Ending balance $ (10,784,841) $ (4,852) $ (6,525,382) $ (160,344) $ (59,800) $ (4,855)
Successor
Liabilities
Nine months ended September 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 $ (10,422,358) $ (12,852) $ (5,857,069) $ (111,738) $ (142,435) $ (29,380)
Total gain or losses included in earnings 192,098  —  400,741  (2,581) (14,639) 24,525 
Purchases, settlements, and transfers:
Purchases and additions, net (2,488,497) —  (2,523,213) (142,790) (6,884) — 
Settlements 1,933,916  8,000  1,454,159  96,765  104,158  — 
Transfers in/(out) between categories —  —  —  —  —  — 
Ending balance $ (10,784,841) $ (4,852) $ (6,525,382) $ (160,344) $ (59,800) $ (4,855)
Successor
Liabilities
Three months ended 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 $ (10,168,224) $ (1,111) $ (11,663) $ (5,360,603) $ (65,129) $ (32,810)
Total gain or losses included in earnings 121,048  275  (237) (45,116) (712) (1,036)
Purchases, settlements, and transfers:
Purchases and additions, net (792,569) —  (275) (464,209) (30,232) (1,296)
Settlements 623,435  836  —  134,918  —  — 
Transfers in/(out) between categories —  —  —  —  —  — 
Ending balance $ (10,216,310) $ —  $ (12,175) $ (5,735,010) $ (96,073) $ (35,142)
Successor
Liabilities
Six months ended 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 $ (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 $ (10,216,310) $ —  $ (12,175) $ (5,735,010) $ (96,073) $ (35,142)
Predecessor
Liabilities
Three months ended March 31, 2021 HMBS related obligations Derivative liabilities Deferred purchase price liability Nonrecourse debt in VIE trusts Nonrecourse MSR financing liability
Beginning balance $ (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)
Settlements 506,142  148  657  658,300  — 
Ending balance $ (9,926,132) $ (936) $ (3,214) $ (5,205,892) $ (22,051)
Summary of the fair value and unpaid principal balance ("UPB") Presented in the tables below are the fair value and UPB, at September 30, 2022 and December 31, 2021, of financial assets and liabilities for which the Company has elected the fair value option (in thousands):
September 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 $ 10,916,551  $ 10,609,500 
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans 6,285,773  6,501,202 
Commercial mortgage loans 455,618  457,525 
Loans held for investment:
Reverse mortgage loans 1,126,483  1,078,048 
Commercial mortgage loans 180,930  181,001 
Loans held for sale:
Residential mortgage loans 629,877  648,123 
Commercial mortgage loans 229,773  235,789 
Liabilities at fair value under the fair value option
HMBS related obligations 10,784,841  10,587,475 
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts 6,525,382  7,114,952 
Nonrecourse MSR financing liability 59,800  59,800 
Nonrecourse commercial loan financing liability 160,344  153,770 
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 (losses) on loans and related obligations (in thousands):
For the three months ended September 30, 2022 For the nine months ended September 30, 2022 For the three months ended September 30, 2021 For the six months ended September 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 reverse and commercial loans $ 228,896  $ 582,350  $ 160,683  $ 334,623  $ 160,568 
Change in fair value of loans (486,206) (1,463,351) (119,690) (34,707) (51,346)
Net fair value gains (losses) on loans (257,310) (881,001) 40,993  299,916  109,222 
Interest expense on HMBS and nonrecourse obligations (149,200) (380,446) (107,593) (221,067) (119,201)
Change in fair value of derivatives 64,693  330,200  6,841  (39,637) 43,972 
Change in fair value of related obligations 335,441  936,919  182,268  214,448  42,670 
Net fair value gains (losses) on related obligations 250,934  886,673  81,516  (46,256) (32,559)
Net fair value gains (losses) on loans and related obligations $ (6,376) $ 5,672  $ 122,509  $ 253,660  $ 76,663