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
%