Quarterly report pursuant to Section 13 or 15(d)

REVERSE MORTGAGE LOANS HELD FOR INVESTMENT AND HMBS-RELATED BORROWINGS

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REVERSE MORTGAGE LOANS HELD FOR INVESTMENT AND HMBS-RELATED BORROWINGS
 3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
REVERSE MORTGAGE LOANS HELD FOR INVESTMENT AND HMBS-RELATED BORROWINGS REVERSE MORTGAGE LOANS HELD FOR INVESTMENT AND HMBS-RELATED BORROWINGS
A reconciliation of the changes in reverse mortgage loans held for investment and HMBS-related borrowings for the period presented is below:
Three Months Ended
March 31, 2024
(in thousands)
 Reverse Mortgage Loans Held for Investment
HMBS-Related Borrowings(1)
Balance — beginning of period $ 315,912  $ (302,183)
Originations and purchases 30,543  — 
Securitization of home equity conversion mortgages (“HECM”) loans and tails accounted for as a financing (including realized fair value changes)
 —  (26,524)
Repayments (principal payments received) (9,192) 9,486 
Change in fair value recognized in earnings(2)
10,813  (7,583)
Balance — end of period $ 348,076  $ (326,804)
Securitized loans (pledged to HMBS-related borrowings) $ 333,518  $ (326,804)
Unsecuritized loans and tail advances 14,558  — 
Total $ 348,076  $ (326,804)
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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.
(2)See further breakdown in the table below.
Gain on Reverse Mortgage Loans Held for Investment and HMBS-related Borrowings
The following table presents gains (losses) on reverse mortgage loans held for investment and HMBS-related borrowings for the period presented:
Three Months Ended
March 31,
(in thousands)
 2024 2023
Gain on new originations(1)
$ 1,284  $ — 
Gain on tail securitizations(2)
322  — 
Net interest income 23  — 
Change in fair value of reverse mortgage loans held for investment 1,601  — 
Fair value gain recognized in earnings(3)
$ 3,230  $ — 
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(1)Includes the changes in fair value of newly originated loans held for investment in the period from origination through securitization date.
(2)Includes the cash realized gains upon securitization of tails.
(3)See breakdown between loans held for investment and HMBS-related borrowings in the table above.
The following table presents the unobservable input assumptions used to determine the fair value of reverse mortgage loans held for investment and HMBS-related borrowings as of March 31, 2024 and December 31, 2023:
March 31, 2024 December 31, 2023
Unobservable Input Range (Weighted Average)
Life in years
0.1 - 9.0 (7.1)
0.1 - 8.9 (7.2)
Discount rate
12.0% - 12.0% (12.0%)
12.0% - 12.0% (12.0%)
Conditional prepayment rate including voluntary and involuntary prepayments
6.5% - 16.4% (8.1%)
6.9% - 11.3% (8.1%)