Fair Value

Summary of roll forward of items measured using Level 3 inputs on a recurring basis


	Year ended December 31, 2024
			Interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments, net (1)		rights		Total

	(in thousands)
Balance, December 31, 2023	$	478,564	$	89,593	$	7,099,348	$	7,667,505
Purchases and issuances, net		4,145,555		542,245		—		4,687,800
Capitalization of interest and servicing advances		45,848		—		—		45,848
Sales and repayments		(1,562,159)		—		—		(1,562,159)
Mortgage servicing rights resulting from loan sales		—		—		2,280,830		2,280,830
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		106,723		—		—		106,723
Other factors		(1,215)		38,645		(433,464)		(396,034)
		105,508		38,645		(433,464)		(289,311)
Transfers:
From Level 3 to Level 2		(2,779,090)		—		—		(2,779,090)
To real estate acquired in settlement of loans		(173)		—		—		(173)
To loans held for sale		—		(636,918)		—		(636,918)
Exchange of mortgage servicing spread for interest-only stripped mortgage-backed securities		—		—		(202,186)		(202,186)
Balance, December 31, 2024	$	434,053	$	33,565	$	8,744,528	$	9,212,146
Changes in fair value recognized during the year relating to assets still held at December 31, 2024	$	21,177	$	33,565	$	(417,312)	$	(362,570)

(1)	For the purpose of this table, the IRLC asset and liability positions are shown net.


	Year ended
Liabilities	December 31, 2024
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2023	$	1,805
Changes in fair value included in income		(122)
Balance, December 31, 2024	$	1,683
Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2024	$	(122)


	Year ended December 31, 2023
			Interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments, net (1)		rights			Total

	(in thousands)
Balance, December 31, 2022	$	345,772	$	25,844	$	5,953,621	$	6,325,237
Purchases and issuances, net		2,353,958		286,581		—		2,640,539
Capitalization of interest and servicing advances		39,625		—		—		39,625
Sales and repayments		(654,490)		—		(305)		(654,795)
Mortgage servicing rights resulting from loan sales		—		—		1,849,957		1,849,957
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		69,934		—		—		69,934
Other factors		(1,161)		130,424		(605,859)		(476,596)
		68,773		130,424		(605,859)		(406,662)
Transfers:
From Level 3 to Level 2		(1,674,624)		—		—		(1,674,624)
To real estate acquired in settlement of loans		(450)		—		—		(450)
To loans held for sale		—		(353,256)		—		(353,256)
Exchange of mortgage servicing spread for interest-only stripped mortgage-backed securities		—		—		(98,066)		(98,066)
Balance, December 31, 2023	$	478,564	$	89,593	$	7,099,348	$	7,667,505
Changes in fair value recognized during the year relating to assets still held at December 31, 2023	$	33,187	$	89,593	$	(605,859)	$	(483,079)

(1) For the purpose of this table, the IRLC asset and liability positions are shown net.


Liabilities	Year ended December 31, 2023
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2022	$	2,096
Changes in fair value included in income		(291)
Balance, December 31, 2023	$	1,805
Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2023	$	(291)

	Year ended December 31, 2022
			Interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments, net (1)		rights		Total

	(in thousands)
Balance, December 31, 2021	$	1,128,876	$	322,193	$	3,878,078	$	5,329,147
Purchases and issuances, net		3,338,743		369,769		3,993		3,712,505
Capitalization of interest and servicing advances		60,589		—		—		60,589
Sales and repayments		(1,378,441)		—		—		(1,378,441)
Mortgage servicing rights resulting from loan sales		—		—		1,718,094		1,718,094
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		(41,483)		—		—		(41,483)
Other factors		(25,156)		(624,905)		353,456		(296,605)
		(66,639)		(624,905)		353,456		(338,088)
Transfers:
From Level 3 to Level 2		(2,736,940)		—		—		(2,736,940)
To real estate acquired in settlement of loans		(416)		—		—		(416)
To loans held for sale		—		(41,213)		—		(41,213)
Balance, December 31, 2022	$	345,772	$	25,844	$	5,953,621	$	6,325,237
Changes in fair value recognized during the year relating to assets still held at December 31, 2022	$	(26,699)	$	25,844	$	353,456	$	352,601

(1)	For the purpose of this table, the IRLC asset and liability positions are shown net.


Liabilities	Year ended December 31, 2022
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2021	$	2,816
Changes in fair value included in income		(720)
Balance, December 31, 2022	$	2,096
Changes in fair value recognized during the year relating to liabilities still outstanding at December 31, 2022	$	(720)

Schedule of fair value and related principal amounts due upon maturity of assets and liabilities accounted for under the fair value option


	December 31, 2024						December 31, 2023
			Principal						Principal
			amount						amount
	Fair		due upon				Fair		due upon
Loans held for sale	value		maturity		Difference		value		maturity		Difference

	(in thousands)
Current through 89 days delinquent	$	8,187,561	$	8,089,532	$	98,029	$	4,378,042	$	4,233,764	$	144,278
90 days or more delinquent:
Not in foreclosure		24,663		27,901		(3,238)		35,253		38,922		(3,669)
In foreclosure		5,244		11,481		(6,237)		7,396		22,003		(14,607)
	$	8,217,468	$	8,128,914	$	88,554	$	4,420,691	$	4,294,689	$	126,002

Summary of total gains (losses) on assets measured at estimated fair values on a nonrecurring basis


	Year ended December 31,
	2024		2023		2022

	(in thousands)
Real estate acquired in settlement of loans	$	(2,384)	$	(710)	$	(523)

Quantitative summary of key inputs used in the valuation of the MSRs at year end and the effect on estimated fair value from adverse changes in those inputs

Following is a quantitative summary of key inputs used in the valuation of the Company’s MSRs at year end and the effect on the fair value from adverse changes in those inputs:


	December 31,
	2024	2023

	(Fair value, unpaid principal balance of underlying mortgage
	loans and effect on fair value amounts in thousands)
Fair value	$ 8,744,528	$ 7,099,348
Underlying loan characteristics:
Unpaid principal balance	$ 426,055,220	$ 370,244,119
Weighted average note interest rate	4.5%	4.1%
Weighted average servicing fee rate (in basis points)	38	38
Key inputs (1):
Annual total prepayment speed (2):
Range	5.9% – 17.7%	6.1% – 17.8%
Weighted average	7.8%	8.3%
Equivalent average life (in years):
Range	2.7 – 9.1	3.0 – 9.0
Weighted average	8.4	8.1
Effect on fair value of (3):
5% adverse change	($126,224)	($107,757)
10% adverse change	($248,349)	($211,643)
20% adverse change	($481,100)	($408,638)
Pricing spread (4):
Range	5.0% – 11.3%	5.5% – 12.6%
Weighted average	6.2%	6.4%
Effect on fair value of (3):
5% adverse change	($113,419)	($94,307)
10% adverse change	($223,960)	($186,129)
20% adverse change	($436,805)	($362,671)
Per-loan annual cost of servicing:
Range	$68 – $130	$70 – $135
Weighted average	$105	$107
Effect on fair value of (3):
5% adverse change	($48,830)	($44,572)
10% adverse change	($97,661)	($89,145)
20% adverse change	($195,321)	($178,289)

(1)	Weighted average inputs are based on UPB of the underlying loans.

(2)	Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information.

(3)

These analyses hold constant all of the inputs other than the input that is being changed in order to show an estimate of the effect on fair value of a change in a specific input. The Company expects that in a market shock event, multiple inputs would be affected and the effects of these changes may compound or counteract each other. Therefore, these analyses are not projections of the effects of a shock event or a change in the estimate of an input and should not be relied upon as earnings projections.

(4)	The Company applies a pricing spread to a derived Treasury yield curve for purposes of discounting cash flows relating to MSRs.

Fair Value

Quantitative summary of key inputs or assumptions used in the valuation of financial statement items


	December 31,
	2024		2023
Fair value (in thousands) (1)	$	33,565	$	89,593
Committed amount (in thousands)		7,801,677		6,349,628
Key inputs (2):
Pull-through rate:
Range		29.8% – 100%		10.2% – 100%
Weighted average		88.2%		81.1%
Mortgage servicing rights fair value expressed as:
Servicing fee multiple:
Range		1.0 – 8.6		1.1 – 7.3
Weighted average		5.4		4.2
Percentage of loan commitment amount:
Range		0.3% – 4.6%		0.3% – 4.3%
Weighted average		2.4%		1.9%

(1)	For purposes of this table, the IRLC assets and liability positions are shown net.

(2)	Weighted average inputs are based on the committed amounts.

Fair Value

Quantitative summary of key inputs or assumptions used in the valuation of financial statement items


	December 31,
	2024		2023
Fair value (in thousands)	$	434,053	$	478,564
Key inputs (1):
Discount rate:
Range		6.5% – 9.3%		7.1% – 10.2%
Weighted average		7.0%		7.2%
Twelve-month projected housing price index change:
Range		2.2% – 2.8%		0.3% – 0.5%
Weighted average		2.3%		0.5%
Voluntary prepayment/resale speed (2):
Range		6.4% – 34.4%		4.0% – 36.9%
Weighted average		22.0%		24.8%
Total prepayment/resale speed (3):
Range		6.5% – 41.3%		4.0% – 50.3%
Weighted average		23.9%		32.2%

(1)	Weighted average inputs are based on fair value of the “Level 3” loans.

(2)	Voluntary prepayment/resale speed is measured using life voluntary Conditional Prepayment Rate (“CPR”).

(3)	Total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayment/resale rates.