Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.22.1
Fair Value (Tables)
 3 Months Ended
Mar. 31, 2022
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):
 
    
March 31, 2022
  
    
Total Fair
Value
     
Level 1
     
Level 2
     
Level 3
  
Assets
                                    
Loans held for investment, subject to HMBS related obligations
   
$
10,672,152
 
   
$
—  
 
   
$
—  
 
   
$
10,672,152
 
Loans held for investment, subject to nonrecourse debt:
                                    
Reverse mortgage loans
   
 
5,830,105
 
   
 
—  
 
   
 
—  
 
   
 
5,830,105
 
Fix & flip mortgage loans
   
 
405,885
 
   
 
—  
 
   
 
—  
 
   
 
405,885
 
Loans held for investment:
                                    
Reverse mortgage loans
   
 
1,103,163
 
   
 
—  
 
   
 
—  
 
   
 
1,103,163
 
Fix & flip mortgage loans
   
 
69,962
 
   
 
—  
 
   
 
—  
 
   
 
69,962
 
Agricultural loans
   
 
45,865
 
   
 
—  
 
   
 
—
 
   
 
45,865
 
Loans held for sale:
                                    
Residential mortgage loans
   
 
1,500,785
 
   
 
—  
 
   
 
1,480,312
 
   
 
20,473
 
SRL
   
 
131,137
 
   
 
—  
 
   
 
—
 
   
 
131,137
 
Portfolio
   
 
77,435
 
   
 
—  
 
   
 
—
 
   
 
77,435
 
MSRs
   
 
426,102
 
   
 
—  
 
   
 
—
 
   
 
426,102
 
Derivative assets:
                                    
Forward commitments, TBAs, and Treasury Futures
   
 
2,172
 
   
 
—  
 
   
 
2,172
 
   
 
—
 
IRLCs
   
 
2,736
 
   
 
—  
 
   
 
—
 
   
 
2,736
 
Forward MBS
   
 
34,867
 
   
 
—  
 
   
 
34,867
 
   
 
—
 
Interest rate swap futures
   
 
241,430
 
   
 
241,430
 
   
 
—
 
   
 
—
 
Other assets:
                                    
Investments
   
 
6,000
 
   
 
—  
 
   
 
—
 
   
 
6,000
 
Retained bonds
   
 
50,875
 
   
 
—  
 
   
 
—
 
   
 
50,875
 
    
 
 
     
 
 
     
 
 
     
 
 
  
Total assets
   
$
20,600,671
 
   
$
241,430
 
   
$
1,517,351
 
   
$
18,841,890
 
    
 
 
     
 
 
     
 
 
     
 
 
  
Liabilities
                                    
HMBS related obligations
   
$
10,548,131
 
   
$
—  
 
   
$
—  
 
   
$
10,548,131
 
Nonrecourse debt:
                                    
Nonrecourse debt in consolidated VIE trusts
   
 
6,032,157
 
   
 
—  
 
   
 
—  
 
   
 
6,032,157
 
Nonrecourse commercial loan financing liability
   
 
127,639
 
   
 
—  
 
   
 
—  
 
   
 
127,639
 
Nonrecourse MSR financing liability
   
 
163,981
 
   
 
—  
 
   
 
—  
 
   
 
163,981
 
Deferred purchase price liabilities:
                                    
Deferred purchase price liabilities
   
 
7,852
 
   
 
—  
 
   
 
—  
 
   
 
7,852
 
TRA obligation
   
 
29,380
 
   
 
—  
 
   
 
—  
 
   
 
29,380
 
Derivative liabilities:
                                    
Forward MBS
   
 
1,183
 
   
 
—  
 
   
 
1,183
 
   
 
—  
 
Forward commitments, TBAs, and Treasury Futures
   
 
57
 
   
 
57
 
   
 
—  
 
   
 
—  
 
Interest rate swap futures
   
 
90,124
 
   
 
90,124
 
   
 
0
 
   
 
—  
 
Warrant Liability
   
 
5,648
 
   
 
5,648
 
   
 
—  
 
   
 
—  
 
    
 
 
     
 
 
     
 
 
     
 
 
  
Total liabilities
   
$
17,006,152
 
   
$
95,829
 
   
$
1,183
 
   
$
16,909,140
 
    
 
 
     
 
 
     
 
 
     
 
 
  
 
    
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:
                                    
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        —          —    
Warrant Liability
      5,497        5,497        —          —    
    
 
 
     
 
 
     
 
 
     
 
 
  
Total liabilities
    $ 16,608,007      $ 30,453      $ 1,722      $ 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
  
March 31, 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, January 1, 2022
   
$
11,587,382
 
  
$
6,218,194
 
  
$
166,750
 
  
$
23,222
 
  
$
427,942
 
  
$
55,614
 
  
$
6,000
 
Total gain or losses included in earnings
   
 
(35,895
) 
  
 
(313,720
) 
  
 
(7,040
) 
  
 
(20,486
) 
  
 
52,368
 
  
 
(3,289
) 
  
 
—  
 
Purchases, settlements and transfers:
                                                         
Purchases and additions, net
   
 
1,848,155
 
  
 
30,342
 
  
 
396,020
 
  
 
—  
 
  
 
53,444
 
  
 
—  
 
  
 
—  
 
Sales and settlements
   
 
(612,624
) 
  
 
(586,276
) 
  
 
(329,590
) 
  
 
—  
 
  
 
(107,652
) 
  
 
(1,450
)
  
 
—  
 
Transfers in/(out) between categories
   
 
(895,876
) 
  
 
887,450
 
  
 
2,905
 
  
 
—
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance, March 31, 2022
   
$
11,891,142
 
  
$
6,235,990
 
  
$
229,045
 
  
$
2,736
 
  
$
426,102
 
  
$
50,875
 
  
$
6,000
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
    
Successor
  
    
Liabilities
  
March 31, 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, January 1, 2022
   
$
(10,422,358
) 
  
$
(12,852
) 
  
$
(5,857,069
) 
  
$
(111,738
) 
  
$
(155,108
) 
  
$
(29,380
) 
Total gains or losses included in earnings
   
 
85,582
 
  
 
—  
 
  
 
105,340
 
  
 
254
 
  
 
(16,038
) 
  
 
—
 
Purchases, settlements and transfers:
                                                 
Purchases and additions, net
   
 
(948,682
) 
  
 
—  
 
  
 
(1,048,499
) 
  
 
(60,658
) 
  
 
7,165
 
  
 
—  
 
Sales and settlements
   
 
737,327
 
  
 
5,000
 
  
 
768,072
 
  
 
44,502
 
  
 
—  
 
  
 
—  
 
Transfers in/(out) between categories
   
 
—  
 
  
 
—  
 
  
 
—  
 
  
 
—  
 
  
 
—
 
  
 
—  
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
Ending balance, March 31, 2022
   
$
(10,548,131
) 
  
$
(7,852
) 
  
$
(6,032,156
) 
  
$
(127,640
) 
  
$
(163,981
) 
  
$
(29,380
 )
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
 
Fair value, liabilities measured on recurring basis, unobservable input reconciliation
    
Predecessor
  
    
Assets
  
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, 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
  
    
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 ) 
    
 
 
    
 
 
    
 
 
    
 
 
    
 
 
  
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 unpaid principal balance (“UPB”) at March 31, 2022 and December 31, 2021, of financial assets and liabilities for which the Company has elected the fair value option (in thousands):
 
March 31, 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
   
$
10,672,152
 
   
$
10,109,820
 
Loans held for investment, subject to nonrecourse debt:
                  
Reverse mortgage loans
   
 
5,830,105
 
   
 
5,481,952
 
Commercial mortgage loans
   
 
405,885
 
   
 
404,974
 
Loans held for investment:
                  
Reverse mortgage loans
   
 
1,103,163
 
   
 
988,321
 
Commercial mortgage loans
   
 
115,827
 
   
 
115,091
 
Loans held for sale:
                  
Residential mortgage loans
   
 
1,500,785
 
   
 
1,499,525
 
Commercial mortgage loans
   
 
208,572
 
   
 
211,516
 
Liabilities at fair value under the fair value option
                  
HMBS related obligations
   
 
10,548,131
 
   
 
10,109,820
 
Nonrecourse debt:
                  
Nonrecourse debt in consolidated VIE trusts
   
 
6,032,157
 
   
 
6,152,713
 
Nonrecourse MSR financing liability
   
 
163,981
 
   
 
163,981
 
Nonrecourse commercial loan financing liability
   
 
127,639
 
   
 
123,900
 
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  
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):
 
 
  
For the three months
ended March 31,
2022
 
  
January 1, 2021

to

March 31, 2021
 
 
  
Successor
 
  
Predecessor
 
Net fair value gains (losses) on loans and related obligations:
  
  
Interest income on commercial and reverse loans
   
$
163,694
 
    $ 160,568  
Change in fair value of loans
   
 
(507,327
) 
      (51,346 ) 
Change in fair value of MBS
   
 
—  
 
      —    
    
 
 
     
 
 
  
Net fair value gains (losses) on loans
   
 
(343,633
) 
      109,222  
    
 
 
     
 
 
  
Interest expense on HMBS and nonrecourse obligations
   
 
(106,643
) 
      (119,201 ) 
Change in fair value of derivatives
   
 
165,579
 
      43,972  
Change in fair value of related obligations
   
 
295,132
 
      42,670  
    
 
 
     
 
 
  
Net fair value gains (losses) on related obligations
   
 
354,068
 
      (32,559 ) 
    
 
 
     
 
 
  
Net fair value gains (losses) on loans and related
obligations
   
$
10,435
 
    $ 76,663  
    
 
 
     
 
 
  
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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Conditional repayment rate
   
 
NM
 
  
 
21.6
% 
     NM       20.8 % 
Loss frequency
   
 
NM
 
  
 
4.2
% 
     NM       4.5 % 
Loss severity
   
 
2.4% - 6.9
% 
  
 
2.6
% 
    
3.1% - 7.7
 %      3.3 % 
Discount rate
   
 
NM
 
  
 
3.4
% 
     NM       2.4 % 
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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Conditional repayment rate
   
 
NM
 
  
 
39.7
% 
     NM       41.2 % 
Loss frequency
   
 
 NM
 
  
 
60.5
% 
    
25.0% - 100
 %      59.5 % 
Loss severity
   
 
2.4% - 6.9
% 
  
 
3.1
% 
     3.1% -7.7 %      4.3 % 
Discount rate
   
 
NM
 
  
 
5.8
% 
     NM       4.1 % 
HECM Buyouts Securitized [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
T
he following table presents the weighted average significant unobservable assumptions used in the fair value measurement of performing securitized HECM buyouts for the periods indicated:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Weighted average remaining life (in years)
   
 
NM
 
  
 
9.0
 
     NM       9.0  
Conditional repayment rate
   
 
NM
 
  
 
13.4
% 
     NM       13.3 % 
Loss severity
   
 
2.4% - 6.9
% 
  
 
6.9
% 
    
3.1% - 7.7
 %      7.7 % 
Discount rate
   
 
NM
 
  
 
5.0
% 
     NM       3.7 % 
Non Agency Reverse Mortgage Securitized [Member]  
Fair Value Measurement Inputs and Valuation Techniques [Line Items]  
Fair value measurement inputs and valuation techniques
T
he following table presents the significant unobservable assumptions used in the fair value measurements of securitized
non-agency
reverse mortgage loans for the periods indicated:
 
 
  
March 31, 2022
 
 
December 31, 2021
 
Unobservable Assumptions
  
Range
 
 
Weighted
Average
 
 
Range
 
 
Weighted
Average
 
Weighted average remaining life (in years)
   
 
NM
 
  
 
7.8
 
     NM       7.5  
Loan to value
   
 
0.1% - 69.0
% 
  
 
43.1
% 
    
0.1% - 64.7
 %      43.4 % 
Conditional repayment rate
   
 
NM
 
  
 
17.5
% 
     NM       18.6 % 
Loss severity
   
 
NM
 
  
 
10.0
% 
     NM       10.0 % 
Home price appreciation
   
 
-4.3% - 15.8
% 
  
 
4.7
% 
    
-4.6% - 14
 %      4.7 % 
Discount rate
   
 
NM
 
  
 
4.9
% 
     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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Prepayment rate (SMM)
   
 
NM
 
  
 
14.4
% 
     NM       14.1 % 
Discount rate
   
 
NM
 
  
 
7.5
% 
     NM       5.7 % 
Loss frequency
   
 
0.3% - 72.9
% 
  
 
0.6
% 
    
0.3% - 69.0
 %      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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Conditional repayment rate
   
 
NM
 
  
 
44.9
% 
     NM       43.2 % 
Loss frequency
   
 
NM
 
  
 
68.3
% 
     NM       59.4 % 
Loss severity
   
 
2.4% -6.9
% 
  
 
4.9
% 
    
3.1% - 7.7
 %      3.8 % 
Discount rate
   
 
NM
 
  
 
5.8
% 
     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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Weighted average remaining life (in years)
   
 
NM
 
  
 
9.9
 
     NM       9.2  
Loan to value
   
 
2.9% - 69.1
% 
  
 
47.2
% 
    
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
   
 
-4.3% - 15.8
% 
  
 
4.3
% 
    
-4.6% - 14.0
 %      4.4 % 
Discount rate
   
 
NM
 
  
 
4.9
% 
     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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Discount rate
   
 
NM
 
  
 
6.2
% 
     NM       4.8 % 
Prepayment rate (SMM)
   
 
9.0% - 100.0
% 
  
 
19.6
% 
    
9.0% - 100.0
 %      22.1 % 
Default rate (CDR)
   
 
0.0% - 1.0
% 
  
 
0.9
% 
     0% - 0.7 %      0.9 % 
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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Prepayment rate (SMM)
   
 
NM
 
  
 
11.2
% 
     NM       11.9 % 
Discount rate
   
 
7.5% - 10.9
% 
  
 
7.6
% 
    
5.7% - 10.0
 %      5.9 % 
Loss frequency
   
 
NM
 
  
 
0.4
% 
     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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Prepayment rate (CPR)
   
 
18.0% - 25.0
% 
  
 
18.3
% 
    
1.0% - 17.1
 %      14.2 % 
Discount rate
   
 
NM
 
  
 
5.1
% 
     NM       3.3 % 
Default rate (CDR)
   
 
NM
 
  
 
1.0
% 
    
1.0% - 57.2
 %      2.2 % 
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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Prepayment rate (CPR)
   
 
0.0% - 22.6
% 
  
 
13.0
% 
    
0.0% - 14.5
 %      8.7 % 
Discount rate
   
 
NM
 
  
 
4.9
% 
     NM       3.9 % 
Default rate (CDR)
   
 
NM
 
  
 
1.0
% 
    
1.0% - 54.0
 %      3.2 % 
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:
 
    
March 31,
2022
    
December 31,
2021
  
Capitalization servicing rate
   
 
1.3
% 
     1.1 % 
Capitalization servicing multiple
   
 
5.0
 
     4.4  
Weighted average servicing fee (in basis points)
   
 
26
 
     25  
The Company utilized the following weighted average assumptions in estimating the fair value of MSRs:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Weighted average prepayment speed (CPR)
   
 
0.1% - 10.5
% 
  
 
6.7
% 
    
0% - 12.8
 %      8.3 % 
Discount rate
   
 
NM
 
  
 
8.3
% 
     NM       8.5 % 
Weighted average delinquency rate
   
 
0.8% - 12.4
% 
  
 
1.4
% 
    
0.8% - 14.3
 %      1.3 % 
The following table summarizes the estimated change in the fair value of MSRs from adverse changes in the significant assumptions (in thousands):
 
    
March 31, 2022
  
    
Weighted
Average
Prepayment
Speed
     
Discount
Rate
     
Weighted
Average
Delinquency
Rate
  
Impact on fair value of 10% adverse change
   
$
(9,330
) 
   
$
(15,406
) 
   
$
(481
) 
Impact on fair value of 20% adverse change
   
$
(18,140
) 
   
$
(29,748
) 
   
$
(963
) 
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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
     
Weighted
Average
    
Range
     
Weighted
Average
  
Conditional repayment rate
   
 
NM
 
   
 
21.6
% 
     NM        20.8 % 
Discount rate
   
 
NM
 
   
 
3.3
% 
     NM        2.3 % 
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:
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Performing/Nonperforming HECM securitizations
                                 
Weighted average remaining life (in years)
   
 
0.7-0.9
 
  
 
0.8
 
     0.2 - 0.8       0.5  
Conditional repayment rate
   
 
16.1% - 26.0
% 
  
 
19.9
% 
    
30.8% - 54.4
 %      43.5 % 
Discount rate
   
 
NM
 
  
 
4.1
% 
     NM       2.3 % 
Securitized
Non-Agency
Reverse
                                 
Weighted average remaining life (in years)
   
 
0.8-2.2
 
  
 
1.6
 
     1.0 - 2.3       1.6  
Conditional repayment rate
   
 
15.6% - 37.0
% 
  
 
26.3
% 
    
18.4% - 35.9
 %      28.2 % 
Discount rate
   
 
NM
 
  
 
4.0
% 
     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:
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
     
Weighted

Average
    
Range
     
Weighted

Average
  
Weighted average remaining life (in months)
   
 
NM
 
   
 
3.7
 
     NM        4.0  
Weighted average prepayment speed (SMM)
   
 
NM
 
   
 
15.7
% 
     NM        14.0 % 
Discount rate
   
 
NM
 
   
 
4.9
% 
     NM        3.1 % 
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:
 
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Weighted average prepayment speed (CPR)
   
 
0.7% - 10.5
% 
  
 
6.6
% 
    
2.0% - 11.0
 %      7.7%  
Discount rate
   
 
8.1% - 10.1
% 
  
 
8.5
% 
    
8.1% - 10.1
 %      9.1%  
Weighted average delinquency rate
   
 
NM
 
  
 
1.3
% 
     NM       1.3%  
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:
    
March 31, 2022
    
December 31, 2021
  
Unobservable Assumptions
   
Range
    
Weighted
Average
    
Range
    
Weighted
Average
  
Weighted average remaining life (in years)
   
 
2.5 - 24.7
 
  
 
5.0
 
    
2.6 - 25.0
       5.1  
Discount rate
   
 
-2.6% - 8.9
% 
  
 
4.1
% 
    
1.9% - 8.2
 %      2.7 %