Fair Value (Tables)

6 Months Ended

Jun. 30, 2025

Schedule of 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. Weighted averages are calculated by weighting each input by the relative outstanding balance of the related financial instrument.


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 future cash flows over the life of the loan portfolio using weighted average remaining life (“WAL”), conditional prepayment rate (“CPR”), loss frequency, loss severity, borrower draw, and discount rate assumptions.	Level 3
Loans held for investment, subject to nonrecourse debt(1)
	Non-agency reverse mortgage loans - securitized	These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the portfolio using WAL, loan-to-value (“LTV”), CPR, loss severity, home price appreciation (“HPA”), and discount rate assumptions.	Level 3


	HECM buyouts - securitized (performing)	These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the portfolio using WAL, CPR, loss severity, and discount rate assumptions.	Level 3
	HECM buyouts - securitized (nonperforming)	These loans are valued utilizing a present value methodology that discounts estimated future cash flows over the life of the portfolio using WAL, CPR, loss frequency, loss severity, and discount rate assumptions.	Level 3

(1) The Company aggregates loan portfolios based on the underlying securitization trust and values these loans using these aggregated pools. The range of inputs provided is based on the range of inputs utilized for each securitization trust.
Loans held for investment
	Non-agency reverse mortgage loans	The Company values non-agency reverse mortgage loans utilizing a present value methodology that discounts estimated future cash flows over the life of the loan portfolio. The primary assumptions utilized in valuing the loans include WAL, LTV, CPR, loss severity, HPA, and discount rate.	Level 3
	HECM buyouts (nonperforming)	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 WAL, CPR, 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 the 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
Other assets
	Loans held for sale - reverse mortgage loans	The fair value is based on the value of the underlying loans. These loans are valued based on an expected margin on sale as of June 30, 2025. There were not any reverse mortgage loans held for sale as of December 31, 2024.	Level 3

	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 WAL and discount rate.	Level 3
Liabilities
HMBS related obligations
	HMBS related obligations	The fair value is based on the net present value of projected cash flows over the estimated life of the liability. The 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 WAL, CPR, and discount rates.	Level 3
Nonrecourse debt
	Non-agency reverse mortgage loan securitizations and performing/nonperforming HECM securitizations	The 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 WAL, CPR, and discount rates.	Level 3


Deferred purchase price liabilities
	Deferred purchase price liabilities	These liabilities are measured based on the estimated amount of indemnified claims associated with the acquisition of certain assets and liabilities from American Advisors Group, now known as Bloom Retirement Holdings Inc. (“AAG/Bloom”), and the closing market price of the Company’s publicly-traded stock on the applicable date of the Condensed Consolidated Statements of Financial Condition.	Level 3
	Tax Receivable Agreements (“TRA”) obligation	The fair value is derived through the use of a discounted cash flow (“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


		June 30, 2025			December 31, 2024
Instrument / Unobservable Inputs		Range	Weighted Average		Range	Weighted Average
Assets
Loans held for investment, subject to HMBS related obligations
	WAL (in years)	NM	3.1		NM	3.0
	CPR	NM	21.0	%	NM	21.6	%
	Loss frequency	NM	4.5	%	NM	4.4	%
	Loss severity	5.0% - 17.2%	5.1	%	3.4% - 15.9%	3.5	%
	Average draw rate	NM	1.1	%	NM	1.1	%
	Discount rate	NM	4.8	%	NM	5.3	%
Loans held for investment, subject to nonrecourse debt:
	Non-agency reverse mortgage loans - securitized
	WAL (in years)	NM	9.8		NM	10.1
	LTV	0.0% - 90.8%	47.8	%	0.0% - 98.0%	47.2	%
	CPR	NM	15.0	%	NM	14.8	%
	Loss severity	NM	10.0	%	NM	10.0	%
	HPA	(2.0)% - 5.6%	3.5	%	(5.6)% - 8.3%	3.6	%
	Discount rate	NM	6.6	%	NM	7.0	%
	HECM buyouts - securitized (performing)
	WAL (in years)	NM	7.1		NM	7.1
	CPR	NM	15.2	%	NM	15.1	%
	Loss severity	5.0% - 17.2%	6.2	%	3.4% - 15.9%	4.7	%
	Discount rate	NM	7.5	%	NM	8.0	%
	HECM buyouts - securitized (nonperforming)
	WAL (in years)	NM	1.5		NM	1.5
	CPR	NM	40.4	%	NM	40.0	%
	Loss frequency	23.1% - 100.0%	45.9	%	23.1% - 100.0%	45.6	%
	Loss severity	5.0% - 17.2%	6.8	%	3.4% - 15.9%	5.2	%
	Discount rate	NM	7.4	%	NM	8.0	%




Loans held for investment:
	Non-agency reverse mortgage loans
	WAL (in years)	NM	10.6		NM	10.5
	LTV	5.3% - 70.4%	35.8	%	5.9% - 70.6%	35.1	%
	CPR	NM	15.6	%	NM	16.2	%
	Loss severity	NM	10.0	%	NM	10.0	%


		June 30, 2025			December 31, 2024
Instrument / Unobservable Inputs		Range	Weighted Average		Range	Weighted Average
	HPA	(2.0)% - 5.6%	3.3	%	(5.6)% - 8.3%	3.5	%
	Discount rate	NM	6.6	%	NM	7.1	%
	HECM buyouts (nonperforming)
	WAL (in years)	NM	1.5		NM	1.5
	CPR	NM	42.2	%	NM	43.8	%
	Loss frequency	NM	41.3	%	NM	47.9	%
	Loss severity	5.0% - 17.2%	7.4	%	3.4% - 15.9%	10.5	%
	Discount rate	NM	7.4	%	NM	8.0	%
Other assets:
	Retained bonds
	WAL (in years)	NM	3.3		NM	3.5
	Discount rate	(1.6)% - 15.7%	7.4	%	(1.3)% - 15.3%	7.3	%
Liabilities
HMBS related obligations
	WAL (in years)	NM	3.9		NM	3.8
	CPR	NM	24.4	%	NM	24.8	%
	Discount rate	NM	4.8	%	NM	5.2	%
Nonrecourse debt:
	Non-agency reverse mortgage loan securitizations
	WAL (in years)	0.2 - 10.7	4.1		0.1 - 10.9	3.7
	CPR	10.2% - 39.4%	17.8	%	NM	17.3	%
	Discount rate	NM	6.4	%	NM	6.7	%
	Performing/nonperforming HECM securitizations
	WAL (in years)	NM	0.5		NM	1.0
	CPR	NM	20.7	%	NM	18.6	%
	Discount rate	NM	7.8	%	NM	7.5	%




Deferred purchase price liabilities:
	TRA obligation
	Discount rate	NM	32.7	%	NM	28.1	%

Schedule of the Recognized Assets and Liabilities that are Measured at Fair Value on a Recurring Basis

The following tables provide a summary of the recognized assets and liabilities that are measured at fair value on a recurring basis (in thousands):


	June 30, 2025
	Total Fair Value		Level 1		Level 2		Level 3
Assets
Loans held for investment, subject to HMBS related obligations	$	18,858,220	$	—	$	—	$	18,858,220
Loans held for investment, subject to nonrecourse debt	9,888,492		—		—		9,888,492

Loans held for investment	634,935		—		—		634,935
Other assets:
Loans held for sale - reverse mortgage loans	180,899		—		—		180,899
Loans held for sale - residential mortgage loans	523		—		523		—
Retained bonds	39,720		—		—		39,720
Total assets	$	29,602,789	$	—	$	523	$	29,602,266

Liabilities
HMBS related obligations	$	18,643,094	$	—	$	—	$	18,643,094
Nonrecourse debt	9,426,194		—		—		9,426,194

Deferred purchase price liabilities:
Deferred purchase price liabilities	8,328		—		—		8,328
TRA obligation	5,111		—		—		5,111
Total liabilities	$	28,082,727	$	—	$	—	$	28,082,727


	December 31, 2024
	Total Fair Value		Level 1		Level 2		Level 3
Assets
Loans held for investment, subject to HMBS related obligations	$	18,669,962	$	—	$	—	$	18,669,962
Loans held for investment, subject to nonrecourse debt	9,288,403		—		—		9,288,403

Loans held for investment	520,103		—		—		520,103
Other assets:
Loans held for sale - residential mortgage loans	3,454		—		3,454		—
Retained bonds	40,407		—		—		40,407
Total assets	$	28,522,329	$	—	$	3,454	$	28,518,875

Liabilities
HMBS related obligations	$	18,444,370	$	—	$	—	$	18,444,370
Nonrecourse debt	8,954,068		—		—		8,954,068

Deferred purchase price liabilities:
Deferred purchase price liabilities	13,370		—		—		13,370
TRA obligation	3,314		—		—		3,314
Total liabilities	$	27,415,122	$	—	$	—	$	27,415,122

Schedule of Fair Value Assets Measured on Recurring Basis Unobservable Input Reconciliation

Level 3 assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (in thousands):


	Assets
Three months ended June 30, 2025	Loans held for investment		Loans held for investment, subject to nonrecourse debt		Loans held for sale - reverse mortgage loans		Retained bonds
Beginning balance	$	19,443,127	$	9,630,150	$	—	$	40,334
Total gain included in earnings	324,063		314,315		—		223
Purchases, settlements, and transfers:
Purchases and additions	844,057		5,821		—		—
Sales and settlements	(714,439)		(275,741)		—		(837)
Transfers in (out) between categories	(403,653)		213,947		180,899		—
Ending balance	$	19,493,155	$	9,888,492	$	180,899	$	39,720


	Assets
Six months ended June 30, 2025	Loans held for investment		Loans held for investment, subject to nonrecourse debt		Loans held for sale - reverse mortgage loans		Retained bonds
Beginning balance	$	19,190,065	$	9,288,403	$	—	$	40,407
Total gain included in earnings	706,232		572,218		—		1,211
Purchases, settlements, and transfers:
Purchases and additions	1,654,382		12,721		—		—
Sales and settlements	(1,334,971)		(518,298)		—		(1,898)
Transfers in (out) between categories	(722,553)		533,448		180,899		—
Ending balance	$	19,493,155	$	9,888,492	$	180,899	$	39,720


	Assets
Three months ended June 30, 2024	Loans held for investment		Loans held for investment, subject to nonrecourse debt		MSR		Retained bonds
Beginning balance	$	18,586,682	$	8,407,602	$	783	$	42,906
Total gain (loss) included in earnings	307,350		160,306		—		(171)
Purchases, settlements, and transfers:
Purchases and additions	661,554		11,714		—		—
Sales and settlements	(532,732)		(303,460)		(783)		(842)
Transfers in (out) between categories	(149,036)		142,033		—		—
Ending balance	$	18,873,818	$	8,418,195	$	—	$	41,893


	Assets
Six months ended June 30, 2024	Loans held for investment		Loans held for investment, subject to nonrecourse debt		MSR		Retained bonds
Beginning balance	$	18,123,991	$	8,272,393	$	6,436	$	44,297
Total gain (loss) included in earnings	911,832		219,585		(920)		(913)
Purchases, settlements, and transfers:
Purchases and additions	1,345,758		22,236		—		—
Sales and settlements	(1,084,082)		(527,359)		(5,516)		(1,491)
Transfers in (out) between categories	(423,681)		431,340		—		—
Ending balance	$	18,873,818	$	8,418,195	$	—	$	41,893

Schedule of Fair Value Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

Level 3 assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (in thousands):


	Liabilities
Three months ended June 30, 2025	HMBS related obligations		Nonrecourse debt		Deferred purchase price liabilities		TRA obligation
Beginning balance	$	(18,590,357)	$	(9,163,399)	$	(7,592)	$	(4,555)
Total loss included in earnings	(241,104)		(196,840)		(736)		(556)
Purchases, settlements, and transfers:
Purchases and additions	(531,180)		(776,367)		—		—
Settlements	719,547		710,412		—		—
Ending balance	$	(18,643,094)	$	(9,426,194)	$	(8,328)	$	(5,111)


	Liabilities
Six months ended June 30, 2025	HMBS related obligations		Nonrecourse debt		Deferred purchase price liabilities		TRA obligation
Beginning balance	$	(18,444,370)	$	(8,954,068)	$	(13,370)	$	(3,314)
Total gain (loss) included in earnings	(536,786)		(349,749)		2,836		(1,797)
Purchases, settlements, and transfers:
Purchases and additions	(997,188)		(1,557,268)		—		—
Settlements	1,335,250		1,434,891		2,206		—
Ending balance	$	(18,643,094)	$	(9,426,194)	$	(8,328)	$	(5,111)


	Liabilities
Three months ended June 30, 2024	HMBS related obligations		Nonrecourse debt		Deferred purchase price liabilities		TRA obligation
Beginning balance	$	(17,827,060)	$	(7,897,896)	$	(2,794)	$	(4,824)
Total gain (loss) included in earnings	(206,450)		(166,670)		823		1,121
Purchases, settlements, and transfers:
Purchases and additions	(503,406)		(528,610)		—		—
Settlements	556,684		542,468		137		—
Ending balance	$	(17,980,232)	$	(8,050,708)	$	(1,834)	$	(3,703)


	Liabilities
Six months ended June 30, 2024	HMBS related obligations		Nonrecourse debt		Deferred purchase price liabilities		TRA obligation
Beginning balance	$	(17,353,720)	$	(7,904,200)	$	(4,318)	$	(4,537)
Total gain (loss) included in earnings	(694,009)		(248,974)		2,347		834
Purchases, settlements, and transfers:
Purchases and additions	(971,926)		(1,058,107)		—		—
Settlements	1,039,423		1,160,573		137		—
Ending balance	$	(17,980,232)	$	(8,050,708)	$	(1,834)	$	(3,703)

Schedule of the Fair Value and Unpaid Principal Balance ("UPB")

Presented in the table below is the fair value and the unpaid principal balance (“UPB”) of financial assets and liabilities for which the Company has elected the fair value option (in thousands):


	June 30, 2025				December 31, 2024
	Fair Value		UPB		Fair Value		UPB
Assets
Loans held for investment, subject to HMBS related obligations	$	18,858,220	$	17,817,676	$	18,669,962	$	17,652,495
Loans held for investment, subject to nonrecourse debt	9,888,492		9,528,735		9,288,403		9,218,697

Loans held for investment	634,935		588,440		520,103		503,949
Other assets:
Loans held for sale - reverse mortgage loans	180,899		162,349		—		—
Loans held for sale - residential mortgage loans	523		685		3,454		4,331
Liabilities
HMBS related obligations	18,643,094		17,817,676		18,444,370		17,652,495
Nonrecourse debt	9,426,194		9,738,998		8,954,068		9,363,919

The tables below show the total amount of loans held for investment and held for sale that were greater than 90 days past due and on non-accrual status (in thousands):


June 30, 2025	UPB		Fair Value		Difference
Loans held for investment, subject to nonrecourse debt	$	12,412	$	275	$	(12,137)

Loans held for investment	11,323		9,319		(2,004)

Other assets:
Loans held for sale - residential mortgage loans	685		523		(162)

Total loans 90 days or more past due and on non-accrual status	$	24,420	$	10,117	$	(14,303)


December 31, 2024	UPB		Fair Value		Difference
Loans held for investment, subject to nonrecourse debt	$	32,067	$	19,362	$	(12,705)

Loans held for investment	222		155		(67)

Other assets:
Loans held for sale - residential mortgage loans	1,605		1,284		(321)

Total loans 90 days or more past due and on non-accrual status	$	33,894	$	20,801	$	(13,093)

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details

Finance of America Companies Inc. 10-Q