Fair Value (Tables)

12 Months Ended

Dec. 31, 2022

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 Ginnie Mae 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 and severity, borrower mortality, 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 conditional repayment rate, 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, conditional repayment rate, loss severity, and discount rate assumptions.	Level 3
	Non-agency reverse mortgage - securitized	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, loan to value, conditional repayment rate, loss severity, home price appreciation, and discount rate assumptions.	Level 3
	Fix & flip mortgage loans	This product is valued using a discounted cash flow model utilizing prepayment rate (single monthly mortality or "SMM"), discount rate, and loss rate assumptions.	Level 3
(1) The Company aggregates loan portfolios based upon the underlying securitization trust and values these loans using these aggregated pools. The range of inputs provided are based upon 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 HUD. The primary assumptions utilized in valuing nonperforming repurchased loans include conditional prepayment rate, 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	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 loan to value, conditional prepayment rate, loss severity, home price appreciation, and discount rate.	Level 3
	Fix & flip mortgage loans	This product is valued using a DCF model with prepayment rate (SMM), discount rate, and loss rate assumptions.	Level 3
	Agricultural loans	The product is valued using a DCF model with discount rate, prepayment rate, and default rate assumptions.	Level 3
Loans held for sale
	Residential mortgage loans	Loans valued using observable market prices for identical or similar assets – 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 prepayment rate (CPR), discount rate, and constant default rate ("CDR") assumptions.	Level 3
	Portfolio loans	This product is valued using a DCF model utilizing prepayment rate (CPR), discount rate, and default rate (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 prepayment speed (CPR).	Level 3
Derivative assets/liabilities
	IRLCs	The fair value is derived from the fair value of similar mortgage loans or bonds, which is based on observable market data. Changes to the fair value of IRLCs are recognized based on changes in interest rates, changes in the probability that the commitment will be exercised (pull through rate), and the passage of time. The expected net future cash flows related to the associated servicing of the loan are included in the fair value measurement of IRLCs.	Level 3
	Loan purchase commitments ("LPCs")	This product is valued based on current market prices for HMBS.	Level 2
	Forward MBS and TBAs	This product is 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 weighted average life remaining and discount rate.	Level 3
	Investments	To the extent market prices are not observable, the Company engages third party valuation experts to assist in determining the fair value of these investments. The values are determined utilizing a market approach which estimates fair value based on what other participants in the market have paid for reasonably similar assets that have been sold within a reasonable period from the valuation date.	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%.	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 conditional borrower repayment rates and discount rates.	Level 3
Nonrecourse debt
	Reverse mortgage loans	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 weighted average life remaining, conditional repayment rates, 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 weighted average life remaining, weighted average prepayment speed (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 prepayment speed (CPR) and discount rate.	Level 3
Deferred purchase price liabilities
	Deferred purchase price liabilities	These are measured using a present value of future payments utilizing discount rate assumptions.	Level 3
	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 Consolidated Statements of Financial Condition.	Level 1

		December 31, 2022			December 31, 2021
Instrument / Unobservable Inputs		Range	Weighted Average		Range	Weighted Average
Assets
Loans held for investment, subject to HMBS related obligations
	Conditional repayment rate	NM	21.9	%	NM	20.8	%
	Loss frequency	NM	4.1	%	NM	4.5	%
	Loss severity	2.4% - 12.1%	2.7	%	3.1% - 7.7%	3.3	%
	Discount rate	NM	5.0	%	NM	2.4	%
	Average draw rate	NM	1.1	%	NM	1.1	%
Loans held for investment, subject to nonrecourse debt:
	HECM buyouts - securitized (nonperforming)
	Conditional repayment rate	NM	39.2	%	NM	41.2	%
	Loss frequency	23.1% - 100.0%	51.7	%	25.0% - 100%	59.5	%
	Loss severity	2.4% - 12.1%	5.2	%	3.1% - 7.7%	4.3	%
	Discount rate	NM	8.7	%	NM	4.1	%
	HECM buyouts - securitized (performing)
	Weighted average remaining life (in years)	NM	8.0		NM	9.0
	Conditional repayment rate	NM	15.2	%	NM	13.3	%
	Loss severity	2.4% - 12.1%	4.8	%	3.1% - 7.7%	7.7	%
	Discount rate	NM	8.2	%	NM	3.7	%
	Non-agency reverse mortgage loans - securitized
	Weighted average remaining life (in years)	NM	9.7		NM	7.5
	Loan to value	0.0% - 74.7%	43.1	%	0.1% - 64.7%	43.4	%

		December 31, 2022			December 31, 2021
Instrument / Unobservable Inputs		Range	Weighted Average		Range	Weighted Average
	Conditional repayment rate	NM	14.3	%	NM	18.6	%
	Loss severity	NM	10.0	%	NM	10.0	%
	Home price appreciation	(10.1)% - 7.3%	3.8	%	(4.6)% - 14%	4.7	%
	Discount rate	NM	7.1	%	NM	3.6	%
	Fix & flip mortgage loans - securitized
	Prepayment rate (SMM)	NM	11.2	%	NM	14.1	%
	Discount rate	NM	17.5	%	NM	5.7	%
	Loss rate	NM	0.5	%	NM	0.6	%

		December 31, 2022			December 31, 2021
Instrument / Unobservable Inputs		Range	Weighted Average		Range	Weighted Average
Loans held for investment:
	Inventory buy-outs
	Conditional repayment rate	NM	41.3	%	NM	43.2	%
	Loss frequency	NM	47.6	%	NM	59.4	%
	Loss severity	2.4% - 12.1%	5.6	%	3.1% - 7.7%	3.8	%
	Discount rate	NM	8.7	%	NM	4.1	%
	Non-agency reverse mortgage loans
	Weighted average remaining life (in years)	NM	12.0		NM	9.2
	Loan to value	0.1% - 67.9%	36.4	%	0.2% - 68.7%	47.8	%
	Conditional repayment rate	NM	13.8	%	NM	14.8	%
	Loss severity	NM	10.0	%	NM	10.0	%
	Home price appreciation	(10.1)% - 7.3%	3.6	%	(4.6)% - 14.0%	4.4	%
	Discount rate	NM	7.1	%	NM	3.6	%
	Fix & flip mortgage loans
	Prepayment rate (SMM)	NM	9.5	%	NM	11.9	%
	Discount rate	16.3% - 25.8%	16.6	%	5.7% - 10.0%	5.9	%
	Loss rate	NM	0.2	%	NM	0.4	%
	Agricultural loans
	Discount rate	NM	9.7	%	NM	4.8	%
	Prepayment rate (SMM)	11.0% - 100.0%	11.8	%	9.0% - 100.0%	22.1	%
	Default rate (CDR)	0.0% - 1.0%	0.9	%	0.0% - 0.9%	0.9	%
Loans held for sale:
	SRL
	Prepayment rate (CPR)	18.5% - 25.0%	19.7	%	1.0% - 17.1%	14.2	%
	Discount rate	NM	8.3	%	NM	3.3	%
	Default rate (CDR)	NM	1.0	%	1.0% - 57.2%	2.2	%
	Portfolio loans
	Prepayment rate (CPR)	0.0% - 24.3%	18.4	%	0.0% - 14.5%	8.7	%
	Discount rate	NM	10.9	%	NM	3.9	%
	Default rate (CDR)	NM	1.0	%	1.0% - 54.0%	3.2	%
Mortgage Servicing Rights
	Weighted average prepayment speed (CPR)	1.0% - 8.5%	6.4	%	0.0% - 12.8%	8.3	%
	Discount rate	NM	10.1	%	NM	8.5	%
Derivative assets/liabilities
	IRLCs
	Pull through rate	NM	91.4	%	NM	88.1	%

		December 31, 2022			December 31, 2021
Instrument / Unobservable Inputs		Range	Weighted Average		Range	Weighted Average
Other assets:
	Retained bonds
	Weighted average remaining life (in years)	2.4 - 24.1	4.9		2.6 - 25.0	5.1
	Discount rate	(16.8)% - 12.2%	6.9	%	1.9% - 8.2%	2.7	%
Liabilities
HMBS related obligations
	Conditional repayment rate	NM	21.8	%	NM	20.8	%
	Discount rate	NM	5.0	%	NM	2.3	%
Nonrecourse debt:
	Reverse mortgage loans
	Performing/Nonperforming HECM securitizations
	Weighted average remaining life (in years)	1.5 - 1.6	1.6		0.2 - 0.8	0.5
	Conditional repayment rate	19.9% - 22.2%	21.1	%	30.8% - 54.4%	43.5	%
	Discount rate	NM	8.6	%	NM	2.3	%
	Securitized non-agency reverse
	Weighted average remaining life (in years)	0.2 - 11.7	6.4		1.0 - 2.3	1.6
	Conditional repayment rate	8.3% - 46.1%	16.5	%	18.4% - 35.9%	28.2	%
	Discount rate	NM	7.2	%	NM	2.2	%
	Nonrecourse commercial loan financing liability
	Weighted average remaining life (in months)	NM	4.3		NM	4.0
	Weighted average prepayment speed (SMM)	NM	15.3	%	NM	14.0	%
	Discount rate	NM	14.5	%	NM	3.1	%
	Nonrecourse MSR financing liability
	Weighted average prepayment speed (CPR)	0.8% - 9.2%	5.1	%	2.0% - 11.0%	7.7	%
	Discount rate	10.0% - 12.0%	10.2	%	8.1% - 10.1%	9.1	%
Deferred purchase price liabilities
	Deferred purchase price liabilities
	Discount rate	NM	8.0	%	NM	35.0%
	TRA obligation
	Discount rate	NM	48.3	%	NM	13.5	%

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):

	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
Fix & flip 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	154,117		—		154,117		—
SRL	69,187		—		—		69,187
Portfolio	43,272		—		—		43,272
Fix and flip	49,402		—		—		49,402
MSR	95,096		—		—		95,096
Derivative assets:
IRLCs and LPCs	114		—		23		91
Forward MBS and TBAs	1,469		—		1,469		—
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	$	19,945,959	$	771	$	155,609	$	19,789,579
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	5,077		—		—		5,077
TRA obligation	3,781		—		—		3,781
Derivative liabilities:
IRLCs and LPCs	183		—		—		183
Forward MBS and TBAs	1		—		1		—
Interest rate swaps and futures contracts	385		385		—		—
Warrant liability	1,117		1,117		—		—
Total liabilities	$	18,350,476	$	1,502	$	1	$	18,348,973

	December 31, 2021
	Total Fair Value		Level 1		Level 2		Level 3
Assets
Loans held for investment, subject to HMBS related obligations	$	10,556,054	$	—	$	—	$	10,556,054
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans	5,823,301		—		—		5,823,301
Fix & flip mortgage loans	394,893		—		—		394,893
Loans held for investment:
Reverse mortgage loans	940,604		—		—		940,604
Fix & flip mortgage loans	62,933		—		—		62,933
Agricultural loans	27,791		—		—		27,791
Loans held for sale:
Residential mortgage loans	1,902,952		—		1,885,627		17,325
SRL	98,852		—		—		98,852
Portfolio	50,574		—		—		50,574
MSR	427,942		—		—		427,942
Derivative assets:
IRLCs and LPCs	24,786		—		1,564		23,222
Forward MBS and TBAs	1,250		—		1,250		—
Interest rate swaps and futures contracts	22,834		22,834		—		—
Other assets:
Investments	6,000		—		—		6,000
Retained bonds	55,614		—		—		55,614
Total assets	$	20,396,380	$	22,834	$	1,888,441	$	18,485,105
Liabilities
HMBS related obligations	$	10,422,358	$	—	$	—	$	10,422,358
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts	5,857,069		—		—		5,857,069
Nonrecourse commercial loan financing liability	111,738		—		—		111,738
Nonrecourse MSR financing liability	142,435		—		—		142,435
Deferred purchase price liabilities:
Deferred purchase price liabilities	12,852		—		—		12,852
TRA obligation	29,380		—		—		29,380
Derivative liabilities:
Forward MBS and TBAs	1,685		—		1,685		—
Interest rate swaps and futures contracts	24,993		24,993		—		—
Warrant liability	5,497		5,497		—		—
Total liabilities	$	16,608,007	$	30,490	$	1,685	$	16,575,832

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):

	Successor
	Assets
Year ended December 31, 2022	Loans held for investment		Loans held for investment, subject to nonrecourse debt		Loans held for sale		Derivative assets		MSR		Retained bonds		Purchase commitments		Investments
Beginning balance	$	11,587,382	$	6,218,194	$	166,751	$	23,222	$	427,942	$	55,614	$	—	$	6,000
Total gain or losses included in earnings	190,714		(744,123)		(15,213)		(23,131)		22,989		(8,668)		9,356		(6,000)
Purchases, settlements, and transfers:
Purchases and additions, net	6,165,003		117,010		1,119,578		—		122,362		—		—		—
Sales and settlements	(2,178,245)		(1,847,648)		(1,103,492)		—		(478,197)		(507)		—		—
Transfers in/(out) between categories	(3,742,756)		3,711,205		(5,763)		—		—		—		—		—
Ending balance	$	12,022,098	$	7,454,638	$	161,861	$	91	$	95,096	$	46,439	$	9,356	$	—

	Successor
	Assets
Nine months ended December 31, 2021	Loans held for investment		Loans held for investment, subject to nonrecourse debt		Loans held for sale		Derivative assets		MSR		Retained Bonds		Investments
Beginning balance	$	11,171,736	$	5,291,444	$	135,681	$	38,574	$	267,364	$	—	$	9,470
Total gain or losses included in earnings	272,802		71,126		1,214		(14,217)		(15,200)		1,344		(3,470)
Purchases, settlements, and transfers:
Purchases and additions, net	4,438,629		80,542		915,522		—		178,279		54,752		—
Sales and settlements	(2,235,651)		(1,275,674)		(894,494)		(1,135)		(2,501)		(482)		—
Transfers in/(out) between categories	(2,060,134)		2,050,756		8,828		—		—		—		—
Ending balance	$	11,587,382	$	6,218,194	$	166,751	$	23,222	$	427,942	$	55,614	$	6,000

	Predecessor
	Assets
Three months ended March 31, 2021	Loans held for investment		Loans held for investment, subject to nonrecourse debt		Loans held for sale		Derivative assets		MSR		Investments
Beginning balance	$	10,659,984	$	5,396,167	$	152,854	$	88,660	$	180,684	$	18,934
Total gain or losses included in earnings	132,499		(37,757)		2,764		(50,040)		20,349		(9,464)
Purchases, settlements, and transfers:
Purchases and additions, net	1,143,109		21,064		175,551		—		74,978		—
Sales and settlements	(534,738)		(360,128)		(152,579)		(46)		(8,647)		—
Transfers in/(out) between categories	(229,118)		272,098		(42,909)		—		—		—
Ending balance	$	11,171,736	$	5,291,444	$	135,681	$	38,574	$	267,364	$	9,470

	Predecessor
	Assets
For the year ended December 31, 2020	Loans held for investment		Loans held for investment, subject to nonrecourse debt		Loans held for sale		Derivative assets		MSR		Debt Securities		Investments
Beginning balance	$	10,894,577	$	3,511,212	$	182,973	$	14,008	$	2,600	$	102,260	$	20,508
Total gain or losses included in earnings	627,251		304,663		(2,158)		74,470		4,562		2,288		(5,512)
Purchases, settlements, and transfers:
Purchases and additions, net	3,616,667		136,838		409,467		182		173,522		24,489		3,938
Sales and settlements	(1,536,977)		(1,285,902)		(605,018)		—		—		(129,037)		—
Transfers in/(out) between categories	(2,941,534)		2,729,356		167,590		—		—		—		—
Ending balance	$	10,659,984	$	5,396,167	$	152,854	$	88,660	$	180,684	$	—	$	18,934

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):

	Successor
	Liabilities
Year ended December 31, 2022	HMBS related obligations		Deferred purchase price liabilities		Nonrecourse debt in consolidated VIE trusts		Nonrecourse commercial loan financing liability		Nonrecourse MSR financing liability		TRA Liability
Beginning balance	$	(10,422,358)	$	(12,852)	$	(5,857,069)	$	(111,738)	$	(142,435)	$	(29,380)
Total gain or losses included in earnings	(29,015)		—		316,963		2,527		(8,162)		25,599
Purchases, settlements, and transfers:
Purchases and additions, net	(2,870,650)		—		(3,202,519)		(205,746)		(14,196)		—
Settlements	2,325,268		7,775		1,566,768		208,199		104,231		—
Ending balance	$	(10,996,755)	$	(5,077)	$	(7,175,857)	$	(106,758)	$	(60,562)	$	(3,781)

	Successor
	Liabilities
Nine months ended December 31, 2021	HMBS related obligations		Derivative liabilities		Deferred purchase price liabilities		Nonrecourse debt in consolidated VIE trusts		Nonrecourse commercial loan financing liability		Nonrecourse MSR financing liability		TRA Liability
Beginning balance	$	(9,926,132)	$	(936)	$	(3,214)	$	(5,205,892)	$	—	$	(22,051)	$	—
Total gain or losses included in earnings	62,306		(98)		(2,240)		(74,333)		1,019		(2,998)		2,570
Purchases, settlements, and transfers:
Purchases and additions, net	(2,491,919)		—		(7,984)		(1,813,458)		(176,863)		(117,386)		(31,950)
Settlements	1,933,387		1,034		586		1,236,614		64,106		—		—
Ending balance	$	(10,422,358)	$	—	$	(12,852)	$	(5,857,069)	$	(111,738)	$	(142,435)	$	(29,380)

	Predecessor
	Liabilities
Three months ended March 31, 2021	HMBS related obligations		Derivative liabilities		Deferred purchase price liability		Nonrecourse debt in consolidated VIE trusts		Nonrecourse MSR financing liability
Beginning balance	$	(9,788,668)	$	(1,084)	$	(3,842)	$	(5,257,754)	$	(14,088)
Total gain or losses included in earnings	(41,434)		—		(29)		(30,770)		390
Purchases, settlements, and transfers:
Purchases and additions, net	(602,172)		—		—		(575,668)		(8,353)
Settlements	506,142		148		657		658,300		—
Ending balance	$	(9,926,132)	$	(936)	$	(3,214)	$	(5,205,892)	$	(22,051)

	Predecessor
	Liability
For the year ended December 31, 2020	HMBS related obligations		Derivative liabilities		Deferred purchase price liabilities		Nonrecourse debt in consolidated VIE trusts		Nonrecourse MSR financing liability
Beginning balance	$	(9,320,209)	$	(68)	$	(4,300)	$	(3,490,196)	$	—
Total gain or losses included in earnings	(359,951)		(834)		(3,014)		(294,802)		798
Purchases, settlements, and transfers:
Purchases and additions, net	(2,051,953)		(182)		(138)		(3,110,368)		(15,101)
Settlements	1,943,445		—		3,610		1,637,612		215
Ending balance	$	(9,788,668)	$	(1,084)	$	(3,842)	$	(5,257,754)	$	(14,088)

Summary of the fair value and unpaid principal balance ("UPB")

Presented in the tables below are the fair value and UPB, at December 31, 2022 and December 31, 2021, of financial assets and liabilities for which the Company has elected the fair value option (in thousands):

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	154,117		167,407
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 MSR financing liability	60,562		60,562
Nonrecourse commercial loan financing liability	106,758		105,291

December 31, 2021	Estimated Fair Value		Unpaid Principal Balance
Assets at fair value under the fair value option
Loans held for investment, subject to HMBS related obligations	$	10,556,054	$	9,849,835
Loans held for investment, subject to nonrecourse debt:
Reverse mortgage loans	5,823,301		5,165,479
Commercial mortgage loans	394,893		388,788
Loans held for investment:
Reverse mortgage loans	940,604		815,426
Commercial mortgage loans	90,724		89,267
Loans held for sale:
Residential mortgage loans	1,902,952		1,859,788
Commercial mortgage loans	149,426		145,463
Liabilities at fair value under the fair value option
HMBS related obligations	10,422,358		9,849,835
Nonrecourse debt:
Nonrecourse debt in consolidated VIE trusts	5,857,069		5,709,946
Nonrecourse MSR financing liability	142,435		142,435
Nonrecourse commercial loan financing liability	111,738		107,744

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 on loans and related obligations (in thousands):

	For the year ended December 31, 2022		For the nine months ended December 31, 2021		For the three months ended March 31, 2021		For the year ended December 31, 2020
	Successor				Predecessor
Net fair value gains on loans and related obligations:
Interest income on reverse and commercial loans	$	857,271	$	495,163	$	160,568	$	709,679
Change in fair value of loans	(1,365,798)		(108,860)		(51,346)		296,676
Net fair value gains (losses) on loans	(508,527)		386,303		109,222		1,006,355
Interest expense on HMBS and nonrecourse obligations	(560,316)		(329,344)		(119,201)		(526,690)
Change in fair value of derivatives	332,630		(28,233)		43,972		(12,482)
Change in fair value of related obligations	840,407		313,024		42,670		(155,485)
Net fair value gains (losses) on related obligations	612,721		(44,553)		(32,559)		(694,657)
Net fair value gains on loans and related obligations	$	104,194	$	341,750	$	76,663	$	311,698