| Schedule of Loans, At Fair Value |
Presented in the tables below are the fair value and the unpaid principal balance (“UPB”), at September 30, 2024 and December 31, 2023, of financial assets and liabilities for which the Company has elected the fair value option (in thousands):
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|
| September 30, 2024 |
|
Estimated Fair Value |
|
Unpaid Principal Balance |
| Assets at fair value under the fair value option |
|
|
|
|
| Loans held for investment, subject to HMBS related obligations |
|
$ |
18,521,337
|
|
|
$ |
17,493,824
|
|
| Loans held for investment, subject to nonrecourse debt: |
|
|
|
|
| Reverse mortgage loans |
|
9,063,459
|
|
|
8,783,102
|
|
| Commercial mortgage loans |
|
33,910
|
|
|
43,653
|
|
| Loans held for investment: |
|
|
|
|
| Reverse mortgage loans |
|
702,858
|
|
|
648,344
|
|
| Commercial mortgage loans |
|
498
|
|
|
702
|
|
| Other assets: |
|
|
|
|
| Loans held for sale - residential mortgage loans |
|
1,151
|
|
|
1,487
|
|
| Liabilities at fair value under the fair value option |
|
|
|
|
| HMBS related obligations |
|
18,292,043
|
|
|
17,493,824
|
|
| Nonrecourse debt: |
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|
|
|
| Nonrecourse debt in consolidated VIE trusts and reverse loan financing liability |
|
8,528,429
|
|
|
8,847,008
|
|
| Nonrecourse commercial loan financing liability |
|
8,690
|
|
|
14,075
|
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|
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|
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| December 31, 2023 |
|
Estimated Fair Value |
|
Unpaid Principal Balance |
| Assets at fair value under the fair value option |
|
|
|
|
| Loans held for investment, subject to HMBS related obligations |
|
$ |
17,548,763 |
|
|
$ |
16,875,437 |
|
| Loans held for investment, subject to nonrecourse debt: |
|
|
|
|
| Reverse mortgage loans |
|
8,138,403 |
|
|
8,257,750 |
|
| Commercial mortgage loans |
|
133,990 |
|
|
136,622 |
|
| Loans held for investment: |
|
|
|
|
| Reverse mortgage loans |
|
574,271 |
|
|
558,577 |
|
| Commercial mortgage loans |
|
957 |
|
|
1,044 |
|
| Other assets: |
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|
|
|
| Loans held for sale - residential mortgage loans |
|
4,246 |
|
|
9,247 |
|
| Liabilities at fair value under the fair value option |
|
|
|
|
| HMBS related obligations |
|
17,353,720 |
|
|
16,875,437 |
|
| Nonrecourse debt: |
|
|
|
|
| Nonrecourse debt in consolidated VIE trusts and reverse loan financing liability |
|
7,876,932 |
|
|
8,429,135 |
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| Nonrecourse commercial loan financing liability |
|
27,268 |
|
|
26,661 |
|
Loans held for investment and held for sale consisted of the following (in thousands):
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|
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| September 30, 2024 |
|
Unpaid Principal Balance |
|
Fair Value Adjustments |
|
Estimated Fair Value |
| Loans held for investment, subject to HMBS related obligations |
|
$ |
17,493,824
|
|
|
$ |
1,027,513
|
|
|
$ |
18,521,337
|
|
|
|
|
|
|
|
|
| Loans held for investment, subject to nonrecourse debt: |
|
|
|
|
|
|
| Reverse mortgage loans |
|
8,783,102
|
|
|
280,357
|
|
|
9,063,459
|
|
| Commercial mortgage loans |
|
43,653
|
|
|
(9,743) |
|
|
33,910
|
|
| Total loans held for investment, subject to nonrecourse debt |
|
8,826,755
|
|
|
270,614
|
|
|
9,097,369
|
|
|
|
|
|
|
|
|
Loans held for investment(1):
|
|
|
|
|
|
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| Reverse mortgage loans |
|
648,344
|
|
|
54,514
|
|
|
702,858
|
|
| Commercial mortgage loans |
|
702
|
|
|
(204) |
|
|
498
|
|
| Total loans held for investment |
|
649,046
|
|
|
54,310
|
|
|
703,356
|
|
|
|
|
|
|
|
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| Other assets: |
|
|
|
|
|
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| Loans held for sale - residential mortgage loans |
|
1,487
|
|
|
(336) |
|
|
1,151
|
|
|
|
|
|
|
|
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| Total loan portfolio |
|
$ |
26,971,112
|
|
|
$ |
1,352,101
|
|
|
$ |
28,323,213
|
|
(1) As of September 30, 2024, there was $607.1 million in UPB in loans held for investment pledged as collateral for financing lines of credit.
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| December 31, 2023 |
|
Unpaid Principal Balance |
|
Fair Value Adjustments |
|
Estimated Fair Value |
| Loans held for investment, subject to HMBS related obligations |
|
$ |
16,875,437 |
|
|
$ |
673,326 |
|
|
$ |
17,548,763 |
|
|
|
|
|
|
|
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| Loans held for investment, subject to nonrecourse debt: |
|
|
|
|
|
|
| Reverse mortgage loans |
|
8,257,750 |
|
|
(119,347) |
|
|
8,138,403 |
|
| Commercial mortgage loans |
|
136,622 |
|
|
(2,632) |
|
|
133,990 |
|
| Total loans held for investment, subject to nonrecourse debt |
|
8,394,372 |
|
|
(121,979) |
|
|
8,272,393 |
|
|
|
|
|
|
|
|
Loans held for investment(1):
|
|
|
|
|
|
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| Reverse mortgage loans |
|
558,577 |
|
|
15,694 |
|
|
574,271 |
|
| Commercial mortgage loans |
|
1,044 |
|
|
(87) |
|
|
957 |
|
| Total loans held for investment |
|
559,621 |
|
|
15,607 |
|
|
575,228 |
|
|
|
|
|
|
|
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| Other assets: |
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|
|
|
|
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| Loans held for sale - residential mortgage loans |
|
9,247 |
|
|
(5,001) |
|
|
4,246 |
|
|
|
|
|
|
|
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| Total loan portfolio |
|
$ |
25,838,677 |
|
|
$ |
561,953 |
|
|
$ |
26,400,630 |
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(1) As of December 31, 2023, there was $487.9 million in UPB in loans held for investment pledged as collateral for financing lines of credit.
The tables below show the total amount of loans held for investment and held for sale that were greater than 90 days past due and on non-accrual status (in thousands):
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| September 30, 2024 |
|
Unpaid Principal Balance |
|
Estimated Fair Value |
|
Difference |
| Loans held for investment, subject to nonrecourse debt: |
|
|
|
|
|
|
| Commercial mortgage loans |
|
$ |
26,995
|
|
|
$ |
22,687
|
|
|
$ |
(4,308) |
|
|
|
|
|
|
|
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| Loans held for investment: |
|
|
|
|
|
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| Commercial mortgage loans |
|
702
|
|
|
498
|
|
|
(204) |
|
|
|
|
|
|
|
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| Other assets: |
|
|
|
|
|
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| Loans held for sale - residential mortgage loans |
|
459
|
|
|
368
|
|
|
(91) |
|
|
|
|
|
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|
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| Total loans 90 days or more past due and on non-accrual status |
|
$ |
28,156
|
|
|
$ |
23,553
|
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|
$ |
(4,603) |
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| December 31, 2023 |
|
Unpaid Principal Balance |
|
Estimated Fair Value |
|
Difference |
| Loans held for investment, subject to nonrecourse debt: |
|
|
|
|
|
|
| Commercial mortgage loans |
|
$ |
34,115 |
|
|
$ |
31,244 |
|
|
$ |
(2,871) |
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|
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|
|
|
|
|
|
|
|
|
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| Other assets: |
|
|
|
|
|
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| Loans held for sale - residential mortgage loans |
|
4,324 |
|
|
428 |
|
|
(3,896) |
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| Total loans 90 days or more past due and on non-accrual status |
|
$ |
38,439 |
|
|
$ |
31,672 |
|
|
$ |
(6,767) |
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The table below shows a reconciliation of the changes in loans held for sale (in thousands):
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For the three months ended September 30, 2024 |
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For the three months ended September 30, 2023 |
|
For the nine months ended September 30, 2024 |
|
For the nine months ended September 30, 2023 |
| Beginning balance |
$ |
1,154
|
|
|
$ |
53,500 |
|
|
$ |
4,246
|
|
|
$ |
173,984 |
|
| Originations/purchases/repurchases |
4,711
|
|
|
55,656 |
|
|
7,574
|
|
|
180,983 |
|
| Proceeds from sales |
(4,714) |
|
|
(80,016) |
|
|
(10,971) |
|
|
(346,026) |
|
| Net transfers related to loans held for sale |
—
|
|
|
— |
|
|
—
|
|
|
15,580 |
|
| Net transfers related to discontinued operations |
—
|
|
|
— |
|
|
—
|
|
|
12,525 |
|
| Gain (loss) on loans held for sale, net |
—
|
|
|
(6,710) |
|
|
302
|
|
|
(23,056) |
|
| Net fair value changes on loans held for sale |
—
|
|
|
1,526 |
|
|
—
|
|
|
9,966 |
|
| Ending balance |
$ |
1,151
|
|
|
$ |
23,956 |
|
|
$ |
1,151
|
|
|
$ |
23,956 |
|
|