| 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:
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Three Months Ended |
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Nine Months Ended |
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September 30, 2024 |
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September 30, 2024 |
(in thousands) |
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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 |
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$ |
376,182 |
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$ |
(358,101) |
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$ |
315,912 |
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$ |
(302,183) |
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| Originations and purchases |
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34,782 |
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— |
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102,265 |
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— |
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Securitization of home equity conversion mortgages (“HECM”) loans and tails accounted for as a financing (including realized fair value changes) |
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— |
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(37,691) |
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— |
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(103,892) |
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| Repayments (principal payments received) |
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(8,939) |
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9,020 |
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(32,559) |
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30,346 |
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Change in fair value recognized in earnings(2)
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7,119 |
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(4,752) |
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23,526 |
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(15,795) |
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| Balance — end of period |
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$ |
409,144 |
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$ |
(391,524) |
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$ |
409,144 |
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$ |
(391,524) |
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| Securitized loans (pledged to HMBS-related borrowings) |
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$ |
398,723 |
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$ |
(391,524) |
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$ |
398,723 |
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$ |
(391,524) |
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| Unsecuritized loans and tail advances |
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10,421 |
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— |
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10,421 |
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— |
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| Total |
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$ |
409,144 |
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$ |
(391,524) |
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$ |
409,144 |
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$ |
(391,524) |
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Three Months Ended |
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Nine Months Ended |
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September 30, 2023 |
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September 30, 2023 |
(in thousands) |
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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 |
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$ |
36,709 |
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$ |
— |
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$ |
— |
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$ |
— |
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| Originations and purchases |
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42,894 |
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— |
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77,297 |
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— |
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| Securitization of HECM loans and tails accounted for as a financing (including realized fair value changes) |
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— |
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(71,445) |
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— |
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(71,445) |
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| Repayments (principal payments received) |
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(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)
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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 |
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$ |
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) |
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$ |
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 and tail advances |
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8,014 |
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— |
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8,014 |
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— |
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| Total |
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$ |
81,457 |
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$ |
(71,278) |
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$ |
81,457 |
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$ |
(71,278) |
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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 Sheets 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:
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Three Months Ended
September 30, |
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Nine Months Ended
September 30, |
(in thousands) |
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2024 |
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2023 |
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2024 |
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2023 |
Gain on new originations(1)
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$ |
1,604 |
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$ |
— |
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$ |
4,770 |
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$ |
— |
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Gain on tail securitizations(2)
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418 |
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— |
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1,175 |
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— |
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| Net interest income |
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31 |
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— |
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|
79 |
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— |
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Change in fair value |
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314 |
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2,755 |
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1,707 |
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5,061 |
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Fair value gain recognized in earnings(3)
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2,367 |
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2,755 |
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7,731 |
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5,061 |
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Loan fees and other(4)
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1,029 |
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749 |
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2,778 |
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1,031 |
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Total |
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$ |
3,396 |
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$ |
3,504 |
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$ |
10,509 |
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$ |
6,092 |
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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 in 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 September 30, 2024 and December 31, 2023:
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September 30,
2024 |
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December 31,
2023 |
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| Unobservable Input |
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Range (Weighted Average) |
| Life in years |
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0.1 - 8.8 (6.8) |
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0.1 - 8.9 (7.2) |
| Discount rate |
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12.0% - 12.0% (12.0%) |
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12.0% - 12.0% (12.0%) |
| Conditional prepayment rate including voluntary and involuntary prepayments |
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6.6% - 11.1% (8.0%) |
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6.9% - 11.3% (8.1%) |
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