Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.23.3
Fair Value (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Fair value measurement inputs and valuation techniques Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and the details of the valuation models, key inputs to those models and significant assumptions utilized. Within the
assumption tables presented, not meaningful ("NM") refers to a range of inputs that is too broad to provide meaningful information to the user or to an input that has no range and consists of a single data point.
Instrument Valuation techniques Classification of Fair Value Hierarchy
Assets
Loans held for investment, subject to HMBS related obligations(1)
HECM loans - securitized into Government National Mortgage Association ("Ginnie Mae" or "GNMA") HMBS
These loans are valued utilizing a present value methodology that discounts estimated projected cash flows over the life of the loan portfolio using conditional prepayment rate ("CPR"), loss frequency, loss severity, borrower draw, and discount rate assumptions.
 Level 3
Loans held for investment, subject to nonrecourse debt(1)
HECM buyouts - securitized (nonperforming)
These loans are valued utilizing a present value methodology that discounts estimated projected cash flows over the life of the portfolio using CPR, loss frequency, loss severity, and discount rate assumptions.
 Level 3
HECM buyouts - securitized (performing)
These loans are valued utilizing a present value methodology that discounts estimated projected cash flows over the life of the portfolio using weighted average remaining life ("WAL"), CPR, loss severity, and discount rate assumptions.
 Level 3
Non-agency reverse mortgage loans - securitized
These loans are valued utilizing a present value methodology that discounts estimated projected cash flows over the life of the portfolio using WAL, loan to value ("LTV"), CPR, loss severity, home price appreciation ("HPA"), and discount rate assumptions.
 Level 3
Fix & flip mortgage loans - securitized
This product is valued using a discounted cash flow model utilizing a single monthly mortality prepayment rate ("SMM"), discount rate, and loss rate assumptions.
 Level 3
(1) The Company aggregates loan portfolios based on the underlying securitization trust and values these loans using these aggregated pools. The range of inputs provided is based on the range of inputs utilized for each securitization trust.
Loans held for investment
Inventory buy-outs The fair value of repurchased loans is based on expected cash proceeds of the liquidation of the underlying properties and expected claim proceeds from the Department of Housing and Urban Development ("HUD"). The primary assumptions utilized in valuing nonperforming repurchased loans include CPR, loss frequency, loss severity, and discount rate.

Termination proceeds are adjusted for expected loss frequencies and severities to arrive at net proceeds that will be provided upon final resolution, including assignments to FHA. Historical experience is utilized to estimate the loss rates resulting from scenarios where FHA insurance proceeds are not expected to cover all principal and interest outstanding and, as servicer, the Company is exposed to losses upon resolution of the loan. 		Level 3
Non-agency reverse mortgage loans The fair value of non-agency reverse mortgage loans is based on values for investments with similar investment grade ratings and the value the Company would expect to receive if the whole loans were sold to an investor.

The Company values non-agency reverse mortgage loans utilizing a present value methodology that discounts estimated projected cash flows over the life of the loan portfolio. The primary assumptions utilized in valuing the loans include WAL, LTV, CPR, loss severity, HPA, and discount rate. 		Level 3
Fix & flip mortgage loans This product is valued using a discounted cash flow ("DCF") model with SMM, discount rate, and loss rate assumptions. Level 3
Agricultural loans
The product is valued using a DCF model with discount rate, SMM, and constant default rate ("CDR") assumptions.
 Level 3
Loans held for sale
Residential mortgage loans This includes all mortgage loans that can be sold to the agencies, which are valued predominantly by published forward agency prices. This will also include all non-agency loans where recently negotiated market prices for the loan pool exist with a counterparty (which approximates fair value), or quoted market prices for similar loans are available. Level 2
Single Rental Loan ("SRL")
This product is valued using a DCF model utilizing CPR, discount rate, and CDR assumptions.
 Level 3
Portfolio loans This product is valued using a DCF model utilizing CPR, discount rate, and CDR assumptions. Level 3
Mortgage Servicing Rights
MSR The Company valued MSR internally through a DCF analysis and calculated using a pricing model. This pricing model is based on the objective characteristics of the portfolio (loan amount, note rate, etc.) and commonly used industry assumptions such as discount rate and weighted average CPR. Level 3
Derivative assets/liabilities
Loan purchase commitments ("LPCs"), forward mortgage-backed securities ("MBS") and To Be Announced Securities ("TBAs") LPCs are valued based on current market prices for HMBS.

Forward MBS and TBAs are valued using forward dealer marks from the Company's approved counterparties, forward prices with dealers in such securities, or internally-developed third-party models utilizing observable market inputs. 		Level 2
Interest rate swaps and futures contracts This product is valued using quoted market prices. Level 1
Other assets
Retained bonds
Management obtains third-party valuations to assess the reasonableness of the fair value calculations provided by the internal valuation model. The primary assumptions utilized include WAL and discount rate.
 Level 3
Purchase commitments - reverse mortgage loans
Purchase commitments are valued based on the value of the underlying loan. These loans are valued based on an expected margin on sale of 3.00% as of December 31, 2022. There were not any reverse mortgage loan purchase commitments as of September 30, 2023.
 Level 3
Liabilities
HMBS related obligations
HMBS related obligations The estimated fair value is based on the net present value of projected cash flows over the estimated life of the liability. The estimated fair value of the HMBS related obligations also includes the consideration required by a market participant to transfer the HECM and HMBS servicing obligations, including exposure resulting from shortfalls in FHA insurance proceeds as well as assumptions that it believes a market participant would consider in valuing the liability, including, but not limited to, assumptions for repayment, costs to transfer servicing obligations, shortfalls in FHA insurance proceeds, and discount rates. The significant unobservable inputs used in the measurement include CPR and discount rates. Level 3
Nonrecourse debt
Nonrecourse reverse mortgage loan financing liability The estimated fair value is based on the net present value of projected cash flows over the estimated life of the liability. The significant unobservable inputs used in the measurement include WAL, CPR, and discount rates. Level 3
Nonrecourse commercial loan financing liability The estimated fair value is based on the net present value of projected cash flows over the estimated life of the liability.

The primary assumptions utilized include WAL, weighted average SMM, and discount rates. The Company estimates prepayment speeds giving consideration that the Company may in the future transfer additional loans to the trust, subject to the availability of funds provided for within the trust. 		Level 3
Nonrecourse MSR financing liability
Consistent with the underlying MSR, fair value is derived through a DCF analysis and calculated using a pricing model. This pricing model is based on the objective characteristics of the portfolio (loan amount, note rate, etc.) and commonly used industry assumptions including weighted average CPR and discount rate.
Level 3
Deferred purchase price liabilities
Deferred purchase price liabilities
These liabilities are measured based on the estimated amount of indemnified claims associated with the AAG Transaction and the closing market price of the Company's publicly traded stock on the applicable date of the Condensed Consolidated Statements of Financial Condition. Refer to Note 3 - Acquisitions for additional information.
 Level 3
Tax Receivable Agreements ("TRA") obligation The fair value is derived through the use of a DCF model. The significant unobservable assumptions used in the DCF include the ability to utilize tax attributes based on current tax forecasts, a constant U.S. federal income tax rate, and a discount rate. Level 3
Warrant liability
Warrants
The warrants are publicly traded and are valued based on the closing market price of the applicable date of the Condensed Consolidated Statements of Financial Condition.
 Level 1
Sale commitment liability
Sale commitments - home improvement loans
Sale commitments are valued based on the committed sale price multiplied by the home improvement loan pipeline adjusted for the estimated loan funding probability ("pull-through factor"). There were not any home improvement loan sale commitments as of December 31, 2022.
 Level 3

September 30, 2023 December 31, 2022
Instrument / Unobservable Inputs Range Weighted Average Range Weighted Average
Assets
Loans held for investment, subject to HMBS related obligations
CPR NM 21.1  % NM 21.9  %
Loss frequency NM 4.1  % NM 4.1  %
Loss severity
2.4% - 12.3%
2.5  %
2.4% - 12.1%
2.7  %
Discount rate NM 5.7  % NM 5.0  %
Average draw rate NM 1.1  % NM 1.1  %
Loans held for investment, subject to nonrecourse debt:
HECM buyouts - securitized (nonperforming)
CPR NM 38.6  % NM 39.2  %
Loss frequency
23.1% - 100.0%
 50.5  %
23.1% - 100%
 51.7  %
Loss severity
2.4% - 12.3%
 5.5  %
2.4% - 12.1%
 5.2  %
Discount rate NM 9.5  % NM 8.7  %
September 30, 2023 December 31, 2022
Instrument / Unobservable Inputs Range Weighted Average Range Weighted Average
HECM buyouts - securitized (performing)
WAL (in years) NM 7.5 NM 8.0
CPR NM 15.4  % NM 15.2  %
Loss severity
2.4% - 12.3%
 5.9  %
2.4% - 12.1%
 4.8  %
Discount rate NM 9.0  % NM 8.2  %
Non-agency reverse mortgage loans - securitized
WAL (in years) NM 10.0 NM 9.7
LTV
0.0% - 78.6%
 46.0  %
0.0% - 74.7%
 43.1  %
CPR NM 14.6  % NM 14.3  %
Loss severity NM 10.0  % NM 10.0  %
HPA
(9.0)% - 8.2%
 3.3  %
(10.1)% - 7.3%
 3.8  %
Discount rate NM 7.7  % NM 7.1  %
Fix & flip mortgage loans - securitized
SMM NM 11.0  % NM 11.2  %
Discount rate NM 16.7  % NM 17.5  %
Loss rate
 NM
 1.2  % NM 0.5  %
Loans held for investment:
Inventory buy-outs
CPR NM 40.5  % NM 41.3  %
Loss frequency NM 49.0  % NM 47.6  %
Loss severity
2.4% - 12.3%
 3.9  %
2.4% - 12.1%
 5.6  %
Discount rate NM 9.5  % NM 8.7  %
Non-agency reverse mortgage loans
WAL (in years) NM 11.7 NM 12.0
LTV
5.2% - 58.0%
 32.3  %
0.1% - 67.9%
 36.4  %
CPR NM 14.7  % NM 13.8  %
Loss severity NM 10.0  % NM 10.0  %
HPA
(9.0)% - 8.2%
 3.2  %
(10.1)% - 7.3%
 3.6  %
Discount rate NM 7.7  % NM 7.1  %
Fix & flip mortgage loans
SMM NM 14.4  % NM 9.5  %
Discount rate
13.9% - 21.6%
 18.2  %
16.3% - 25.8%
 16.6  %
Loss rate NM 7.1  % NM 0.2  %
Agricultural loans
Discount rate NM 10.2  % NM 9.7  %
SMM NM 100.0  %
11.0% - 100.0%
 11.8  %
CDR NM 0.9  %
0.0% - 1.0%
 0.9  %
Loans held for sale:
SRL
CPR
20.4% - 25.0%
 21.9  %
18.5% - 25.0%
 19.7  %
Discount rate NM 10.3  % NM 8.3  %
CDR NM 1.0  % NM 1.0  %
September 30, 2023 December 31, 2022
Instrument / Unobservable Inputs Range Weighted Average Range Weighted Average
Portfolio loans
CPR NM 0.0  %
0.0% - 24.3%
 18.4  %
Discount rate NM 10.7  % NM 10.9  %
CDR NM 1.0  % NM 1.0  %
Mortgage Servicing Rights
Weighted average CPR
2.3% - 12.5%
7.7  %
1.0% - 8.5%
 6.4  %
Discount rate NM 13.5  % NM 10.1  %
Other assets:
Retained bonds
WAL (in years)
2.1 - 23.6
 3.9
2.4 - 24.1
 4.9
Discount rate
(34.9)% - 16.2%
 7.9  %
(16.8)% - 12.2%
 6.9  %
Liabilities
HMBS related obligations
CPR NM 24.6  % NM 21.8  %
Discount rate NM 5.7  % NM 5.0  %
Nonrecourse debt:
Reverse mortgage loans:
Performing/Nonperforming HECM securitizations
WAL (in years)
1.0 - 1.1
 1.0
1.5 - 1.6
 1.6
CPR
18.3% - 19.8%
 19.1  %
19.9% - 22.2%
 21.1  %
Discount rate NM 10.3  % NM 8.6  %
Securitized non-agency reverse
WAL (in years)
0.2 - 11.3
 7.2
0.2 - 11.7
 6.4
CPR
10.3% - 49.2%
15.7  %
8.3% - 46.1%
 16.5  %
Discount rate NM 7.8  % NM 7.2  %
Nonrecourse commercial loan financing liability
WAL (in months) NM 2.7 NM 4.3
Weighted average SMM NM 26.2  % NM 15.3  %
Discount rate NM 9.2  % NM 14.5  %
Nonrecourse MSR financing liability
Weighted average CPR N/A N/A
0.8% - 9.2%
 5.1  %
Discount rate N/A N/A
10.0% - 12.0%
 10.2  %
Deferred purchase price liabilities
TRA obligation
Discount rate NM 29.9  % NM 48.3  %
Sale commitment liability
Pull-through factor NM 86  % N/A N/A
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, 2023
Total Fair Value Level 1 Level 2 Level 3
Assets
Loans held for investment, subject to HMBS related obligations $ 17,185,552  $ —  $ —  $ 17,185,552 
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans 7,727,659  —  —  7,727,659 
Commercial mortgage loans 185,100  —  —  185,100 
Loans held for investment:
Reverse mortgage loans 463,125  —  —  463,125 
Fix & flip mortgage loans 3,491  —  —  3,491 
Agricultural loans 703  —  —  703 
Loans held for sale:
Residential mortgage loans 20,564  —  20,564  — 
SRL 3,008  —  —  3,008 
Portfolio 384  —  —  384 
MSR 7,944  —  —  7,944 
Other assets:
Retained bonds 42,851  —  —  42,851 
LPCs 477  —  477  — 
Total assets $ 25,640,858  $ —  $ 21,041  $ 25,619,817 
Liabilities
HMBS related obligations $ 16,978,168  $ —  $ —  $ 16,978,168 
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts and reverse loan financing liability 7,780,197  —  —  7,780,197 
Nonrecourse commercial loan financing liability 32,373  —  —  32,373 
Deferred purchase price liabilities:
Deferred purchase price liabilities 4,663  —  —  4,663 
TRA obligation 1,005  —  —  1,005 
Warrant liability 1,438  1,438  —  — 
Sale commitments - home improvement loans 1,095  —  —  1,095 
Total liabilities $ 24,798,939  $ 1,438  $ —  $ 24,797,501 
December 31, 2022
Total Fair Value Level 1 Level 2 Level 3
Assets
Loans held for investment, subject to HMBS related obligations $ 11,114,100  $ —  $ —  $ 11,114,100 
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans 7,065,477  —  —  7,065,477 
Commercial mortgage loans 389,161  —  —  389,161 
Loans held for investment:
Reverse mortgage loans 771,724  —  —  771,724 
Fix & flip mortgage loans 127,469  —  —  127,469 
Agricultural loans 8,805  —  —  8,805 
Loans held for sale:
Residential mortgage loans 12,123  —  12,123  — 
SRL 69,187  —  —  69,187 
Portfolio 43,272  —  —  43,272 
Fix & flip mortgage loans 49,402  49,402 
MSR 95,096  —  —  95,096 
Derivative assets:
Interest rate lock commitments, LPCs, forward MBS, and TBAs 907  —  907  — 
Interest rate swaps and futures contracts 771  771  —  — 
Other assets:
Purchase commitments - reverse mortgage loans 9,356  —  —  9,356 
Retained bonds 46,439  —  —  46,439 
Total assets $ 19,803,289  $ 771  $ 13,030  $ 19,789,488 
Liabilities
HMBS related obligations $ 10,996,755  $ —  $ —  $ 10,996,755 
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts 7,175,857  —  —  7,175,857 
Nonrecourse commercial loan financing liability 106,758  —  —  106,758 
Nonrecourse MSR financing liability 60,562  —  —  60,562 
Deferred purchase price liabilities:
Deferred purchase price liabilities 137  —  —  137 
TRA obligation 3,781  —  —  3,781 
Derivative liabilities:
Interest rate swaps and futures contracts 385  385  —  — 
Warrant liability 1,117  1,117  —  — 
Total liabilities $ 18,345,352  $ 1,502  $ —  $ 18,343,850 
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):
Assets
Three months ended September 30, 2023 Loans held for investment Loans held for investment, subject to nonrecourse debt Loans held for sale MSR Retained bonds
Beginning balance $ 17,568,751  $ 7,928,414  $ 10,695  $ 9,456  $ 45,570 
Total gain (loss) included in earnings 245,104  (66,140) 1,146  87  (1,778)
Purchases, settlements, and transfers:
Purchases and additions 758,193  16,045  —  —  — 
Sales and settlements (546,046) (344,162) (8,450) (1,599) (941)
Transfers in (out) between categories (373,131) 378,602  1  — 
Ending balance $ 17,652,871  $ 7,912,759  $ 3,392  $ 7,944  $ 42,851 
Assets
Nine months ended September 30, 2023 Loans held for investment Loans held for investment, subject to nonrecourse debt Loans held for sale MSR Retained bonds Purchase commitments
Beginning balance $ 12,022,098  $ 7,454,638  $ 161,861  $ 95,096  $ 46,439  $ 9,356 
Total gain (loss) included in earnings 649,691  12,648  (205) (1,074) (1,357) — 
Purchases, settlements, and transfers:
Purchases and additions 7,922,385  63,550  40,468  405  —  — 
Sales and settlements (1,441,502) (1,083,919) (215,847) (86,483) (2,231) (9,356)
Transfers in (out) between categories (1,499,801) 1,465,842  17,115  —  —  — 
Ending balance $ 17,652,871  $ 7,912,759  $ 3,392  $ 7,944  $ 42,851  $ — 
Assets
Three months ended September 30, 2022 Loans held for investment Loans held for investment, subject to nonrecourse debt Loans held for sale MSR Retained bonds Investments
Beginning balance $ 11,940,851  $ 6,600,762  $ 233,249  $ 359,006  $ 46,593  $ 1,000 
Total gain (loss) included in earnings (7,558) (265,038) (159) (9,455) (2,302) — 
Purchases, settlements, and transfers:
Purchases and additions 1,482,912  31,359  191,250  20,241  —  — 
Sales and settlements (417,114) (376,855) (197,473) (266,723) (1,085) — 
Transfers in (out) between categories (775,127) 751,163  2,906  —  —  — 
Ending balance $ 12,223,964  $ 6,741,391  $ 229,773  $ 103,069  $ 43,206  $ 1,000 
Assets
Nine months ended September 30, 2022 Loans held for investment Loans held for investment, subject to nonrecourse debt Loans held for sale MSR Retained bonds Investments
Beginning balance $ 11,587,382  $ 6,218,194  $ 149,426  $ 427,942  $ 55,614  $ 6,000 
Total gain (loss) included in earnings (77,600) (836,632) (9,979) 30,242  (8,611) (5,000)
Purchases, settlements, and transfers:
Purchases and additions 5,259,357  89,907  932,011  114,903  —  — 
Sales and settlements (1,701,481) (1,537,044) (850,694) (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  $ 229,773  $ 103,069  $ 43,206  $ 1,000 
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):
Liabilities
Three months ended September 30, 2023 HMBS related obligations Nonrecourse debt in consolidated VIE trusts and reverse loan financing liability Nonrecourse commercial loan financing liability Deferred purchase price liabilities TRA obligation Sale commitments
Beginning balance $ (16,665,535) $ (7,737,529) $ (59,016) $ (4,042) $ (1,097) $ — 
Total gain (loss) included in earnings (226,421) (7,301) 28  (621) 92  (1,095)
Purchases, settlements, and transfers:
Purchases and additions (632,568) (448,394) —  —  — 
Settlements 546,356  413,027  26,615  —  —  — 
Ending balance $ (16,978,168) $ (7,780,197) $ (32,373) $ (4,663) $ (1,005) $ (1,095)
Liabilities
Nine months ended September 30, 2023 HMBS related obligations Nonrecourse debt in consolidated VIE trusts and reverse loan financing liability Nonrecourse commercial loan financing liability Nonrecourse MSR financing liability Deferred purchase price liabilities TRA obligation Sale commitments
Beginning balance $ (10,996,755) $ (7,175,857) $ (106,758) $ (60,562) $ (137) $ (3,781) $ — 
Total gain (loss) included in earnings (506,834) (149,481) 21  748  (621) 2,776  (1,095)
Purchases, settlements, and transfers:
Purchases and additions (6,908,330) (1,555,155) (27,565) —  (3,905) —  — 
Settlements 1,433,751  1,100,296  101,929  59,814  —  —  — 
Ending balance $ (16,978,168) $ (7,780,197) $ (32,373) $ —  $ (4,663) $ (1,005) $ (1,095)
Liabilities
Three months ended September 30, 2022 HMBS related obligations Nonrecourse debt in consolidated VIE trusts Nonrecourse commercial loan financing liability Nonrecourse MSR financing liability TRA obligation
Beginning balance $ (10,745,879) $ (6,447,238) $ (162,464) $ (142,382) $ (13,925)
Total gain (loss) included in earnings 13,421  178,700  (2,769) 1,736  9,070 
Purchases, settlements, and transfers:
Purchases and additions (547,762) (718,656) (24,975) (92) — 
Settlements 495,379  461,812  29,864  80,938  — 
Ending balance $ (10,784,841) $ (6,525,382) $ (160,344) $ (59,800) $ (4,855)
Liabilities
Nine months ended September 30, 2022 HMBS related obligations Nonrecourse debt in consolidated VIE trusts Nonrecourse commercial loan financing liability Nonrecourse MSR financing liability TRA obligation
Beginning balance $ (10,422,358) $ (5,857,069) $ (111,738) $ (142,435) $ (29,380)
Total gain (loss) included in earnings 192,098  400,741  (2,581) (14,639) 24,525 
Purchases, settlements, and transfers:
Purchases and additions (2,488,497) (2,523,213) (142,790) (6,884) — 
Settlements 1,933,916  1,454,159  96,765  104,158  — 
Ending balance $ (10,784,841) $ (6,525,382) $ (160,344) $ (59,800) $ (4,855)
Summary of the fair value and unpaid principal balance ("UPB") Presented in the tables below are the fair value and UPB, at September 30, 2023 and December 31, 2022, of financial assets and liabilities for which the Company has elected the fair value option (in thousands):
September 30, 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 $ 17,185,552  $ 16,522,369 
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans 7,727,659  8,200,222 
Commercial mortgage loans 185,100  191,111 
Loans held for investment:
Reverse mortgage loans 463,125  487,710 
Commercial mortgage loans 4,194  4,513 
Loans held for sale:
Residential mortgage loans 20,564  28,051 
Commercial mortgage loans 3,392  3,772 
Liabilities at fair value under the fair value option
HMBS related obligations 16,978,168  16,522,369 
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts and reverse loan financing liability 7,780,197  8,550,740 
Nonrecourse commercial loan financing liability 32,373  30,927 
Other liabilities:
Sale commitments - home improvement loans 1,095  1,095 
December 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 $ 11,114,100  $ 10,719,000 
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans 7,065,477  7,240,125 
Commercial mortgage loans 389,161  405,970 
Loans held for investment:
Reverse mortgage loans 771,724  724,800 
Commercial mortgage loans 136,274  143,373 
Loans held for sale:
Residential mortgage loans 12,123  15,529 
Commercial mortgage loans 161,861  173,112 
Other assets:
Purchase commitments - reverse mortgage loans 9,356  9,356 
Liabilities at fair value under the fair value option
HMBS related obligations 10,996,755  10,719,000 
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts 7,175,857  7,819,992 
Nonrecourse commercial loan financing liability 106,758  105,291 
Nonrecourse MSR financing liability 60,562  60,562 
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, 2023 For the three months ended September 30, 2022 For the nine months ended September 30, 2023 For the nine months ended September 30, 2022
Interest income on reverse and commercial loans $ 426,259  $ 228,896  $ 1,125,227  $ 582,350 
Change in fair value of loans (209,737) (471,173) (337,775) (1,436,908)
Net fair value gains (losses) on loans 216,522  (242,277) 787,452  (854,558)
Interest expense on HMBS and nonrecourse obligations (357,003) (168,101) (915,532) (417,670)
Change in fair value of derivatives (291) 64,693  (4,136) 330,200 
Change in fair value of related obligations 87,637  335,441  162,342  936,919 
Net fair value gains (losses) on related obligations (269,657) 232,033  (757,326) 849,449 
Net fair value gains (losses) on loans and related obligations $ (53,135) $ (10,244) $ 30,126  $ (5,109)