REVERSE MORTGAGE LOANS HELD FOR INVESTMENT AND HMBS-RELATED BORROWINGS
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Three Months Ended September 30, 2023 |
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Nine Months Ended September 30, 2023 |
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Reverse Mortgage Loans Held for Investment |
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HMBS-Related Borrowings(1)
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Reverse Mortgage Loans Held for Investment |
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HMBS-Related Borrowings(1)
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| Balance — beginning of period |
$ |
36,709 |
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$ |
— |
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$ |
— |
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$ |
— |
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Originations and purchases |
42,894 |
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77,297 |
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| Securitization of HECM loans accounted for as a financing (including realized fair value changes) |
— |
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(71,445) |
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— |
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(71,445) |
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| Repayments (principal payments received) |
(734) |
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— |
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(734) |
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— |
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Change in fair value recognized in earnings |
2,588 |
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167 |
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4,894 |
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167 |
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| Balance — end of period |
$ |
81,457 |
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$ |
(71,278) |
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$ |
81,457 |
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$ |
(71,278) |
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| Securitized loans (pledged to HMBS-related borrowings) |
$ |
73,443 |
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$ |
(71,278) |
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$ |
73,443 |
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$ |
(71,278) |
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Unsecuritized loans |
8,014 |
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8,014 |
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| Total |
$ |
81,457 |
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$ |
81,457 |
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______________________________
(1)HMBS-related borrowings represent the issuance of pools of HMBS, which are guaranteed by GNMA, to third-party security holders. The Company accounts for the transfers of these advances in the related HECM loans as secured borrowings, retaining the initial HECM loans in the Condensed Consolidated Balance Sheet as reverse mortgage loans held for investment and recording the pooled HMBS as HMBS-related borrowings.
Below are the significant unobservable inputs used to value the reverse mortgage loans held for investment and HMBS-related borrowings:
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| Unobservable Input |
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September 30, 2023 |
| Life in years |
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| Range |
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0.4 to 9.4 |
| Weighted average |
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7.8 |
| Weighted average interest rate |
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7.7 |
% |
| Discount rate |
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12.0 |
% |
| Conditional prepayment rate including voluntary and involuntary prepayments |
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Range |
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2.0% to 44.5% |
Weighted average |
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12.6 |
% |
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