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
6 Months Ended
Jun. 30, 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 periods presented is below:
Three Months Ended Six Months Ended
June 30, 2024 June 30, 2024
(in thousands)
Reverse Mortgage Loans Held for Investment
HMBS-Related Borrowings(1)
Reverse Mortgage Loans Held for Investment
HMBS-Related Borrowings(1)
Balance — beginning of period $ 348,076  $ (326,804) $ 315,912  $ (302,183)
Originations and purchases 36,940  —  67,483  — 
Securitization of home equity conversion mortgages (“HECM”) loans and tails accounted for as a financing (including realized fair value changes)
—  (39,677) —  (66,201)
Repayments (principal payments received) (14,428) 11,840  (23,620) 21,326 
Change in fair value recognized in earnings(2)
5,594  (3,460) 16,407  (11,043)
Balance — end of period $ 376,182  $ (358,101) $ 376,182  $ (358,101)
Securitized loans (pledged to HMBS-related borrowings) $ 365,005  $ (358,101) $ 365,005  $ (358,101)
Unsecuritized loans and tail advances 11,177  —  11,177  — 
Total $ 376,182  $ (358,101) $ 376,182  $ (358,101)
Three Months Ended Six Months Ended
June 30, 2023 June 30, 2023
(in thousands)
Reverse Mortgage Loans Held for Investment
HMBS-Related Borrowings(1)
Reverse Mortgage Loans Held for Investment
HMBS-Related Borrowings(1)
Balance — beginning of period $ —  $ —  $ —  $ — 
Originations and purchases 34,403  —  34,403  — 
Change in fair value recognized in earnings(2)
2,306  —  2,306  — 
Balance — end of period $ 36,709  $ —  $ 36,709  $ — 
Unsecuritized loans and tail advances $ 36,709  $ —  $ 36,709  $ — 
Total $ 36,709  $ —  $ 36,709  $ — 
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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.
The following table presents gains (losses) on reverse mortgage loans held for investment and HMBS-related borrowings for the periods presented:
Three Months Ended
June 30,
Six Months Ended
June 30,
(in thousands)
2024 2023 2024 2023
Gain on new originations(1)
$ 1,882  $ —  $ 3,166  $ — 
Gain on tail securitizations(2)
435  —  757  — 
Net interest income 25  —  48  — 
Change in fair value of reverse mortgage loans held for investment (208) 2,306  1,393  2,306 
Fair value gain recognized in earnings(3)
2,134  2,306  5,364  2,306 
Loan fees and other(4)
963  282  1,749  282 
Total
$ 3,097  $ 2,588  $ 7,113  $ 2,588 
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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.
(4)Loan fees and other are included with Loan origination fees and gain on sale of loans, net in the Condensed Consolidated Statements of Operations.
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 June 30, 2024 and December 31, 2023:
June 30, 2024 December 31, 2023
Unobservable Input Range (Weighted Average)
Life in years
0.1 - 9.1 (6.9)
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% - 19.9% (8.0%)
6.9% - 11.3% (8.1%)