Fair Value

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


	Quarter ended March 31, 2025
			Interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments, net (1)		rights		Total

	(in thousands)
Balance, December 31, 2024	$	434,053	$	33,565	$	8,744,528	$	9,212,146
Purchases and issuances, net		1,383,885		182,543		—		1,566,428
Capitalization of interest and servicing advances		10,632		—		—		10,632
Sales and repayments		(514,646)		—		—		(514,646)
Mortgage servicing rights resulting from loan sales		—		—		650,349		650,349
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		1,986		—		—		1,986
Other factors		36,948		116,113		(430,988)		(277,927)
		38,934		116,113		(430,988)		(275,941)
Transfers:
From Level 3 to Level 2		(911,237)		—		—		(911,237)
To loans held for sale		—		(222,279)		—		(222,279)
Balance, March 31, 2025	$	441,621	$	109,942	$	8,963,889	$	9,515,452
Changes in fair value recognized during the quarter relating to assets still held at March 31, 2025	$	23,715	$	109,942	$	(430,988)	$	(297,331)

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


	Quarter ended
Liabilities	March 31, 2025
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2024	$	1,683
Changes in fair value included in income		(32)
Balance, March 31, 2025	$	1,651
Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2025	$	(32)


	Quarter ended March 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		905,860		100,271		—		1,006,131
Capitalization of interest and servicing advances		11,226		—		—		11,226
Sales and repayments		(383,999)		—		—		(383,999)
Mortgage servicing rights resulting from loan sales		—		—		412,520		412,520
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		17,142		—		—		17,142
Other factors		(572)		11,524		(28,658)		(17,706)
		16,570		11,524		(28,658)		(564)
Transfers from Level 3 to Level 2		(561,829)		—		—		(561,829)
Transfers to loans held for sale		—		(131,580)		—		(131,580)
Balance, March 31, 2024	$	466,392	$	69,808	$	7,483,210	$	8,019,410
Changes in fair value recognized during the quarter relating to assets still held at March 31, 2024	$	19,043	$	69,808	$	(28,658)	$	60,193

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


Liabilities	Quarter ended March 31, 2024
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2023	$	1,805
Changes in fair value included in income		(73)
Balance, March 31, 2024	$	1,732
Changes in fair value recognized during the quarter relating to liabilities still outstanding at March 31, 2024	$	(73)

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


	March 31, 2025						December 31, 2024
			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	$	7,065,679	$	6,868,687	$	196,992	$	8,187,561	$	8,089,532	$	98,029
90 days or more delinquent:
Not in foreclosure		24,169		26,577		(2,408)		24,663		27,901		(3,238)
In foreclosure		5,422		16,209		(10,787)		5,244		11,481		(6,237)
	$	7,095,270	$	6,911,473	$	183,797	$	8,217,468	$	8,128,914	$	88,554

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

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


	March 31, 2025	December 31, 2024

	(Fair value, unpaid principal balance of underlying
	loans and effect on fair value amounts in thousands)
Fair value	$ 8,963,889	$ 8,744,528
Underlying loan characteristics:
Unpaid principal balance	$ 442,208,097	$ 426,055,220
Weighted average note interest rate	4.6%	4.5%
Weighted average servicing fee rate (in basis points)	38	38
Key inputs (1):
Annual total prepayment speed (2):
Range	6.2% – 18.6%	5.9% – 17.7%
Weighted average	8.8%	7.8%
Equivalent average life (in years):
Range	2.7 – 8.8	2.7 – 9.1
Weighted average	8.1	8.4
Effect on fair value of (3):
5% adverse change	($143,098)	($126,224)
10% adverse change	($281,233)	($248,349)
20% adverse change	($543,632)	($481,100)
Pricing spread (4):
Range	4.9% – 11.4%	5.0% – 11.3%
Weighted average	6.1%	6.2%
Effect on fair value of (3):
5% adverse change	($114,388)	($113,419)
10% adverse change	($225,908)	($223,960)
20% adverse change	($440,737)	($436,805)
Per-loan annual cost of servicing:
Range	$68 – $127	$68 – $130
Weighted average	$105	$105
Effect on fair value of (3):
5% adverse change	($49,754)	($48,830)
10% adverse change	($99,509)	($97,661)
20% adverse change	($199,018)	($195,321)

(1)	Weighted average inputs are based on the 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 sensitivity analyses are limited in that they were performed as of a particular date; only contemplate the movements in the indicated inputs; do not incorporate changes to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments made to account for changing circumstances. For these reasons, these analyses should not be viewed as earnings forecasts.

(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



	March 31, 2025		December 31, 2024
Fair value (in thousands) (1)	$	109,942	$	33,565
Committed amount (in thousands)	$	9,890,968	$	7,801,677
Key inputs (2):
Pull-through rate:
Range		23.5% – 100%		29.8% – 100%
Weighted average		86.2%		88.2%
Mortgage servicing rights fair value expressed as:
Servicing fee multiple:
Range		1.0 – 8.7		1.0 – 8.6
Weighted average		5.3		5.4
Percentage of loan commitment amount:
Range		0.3% – 4.6%		0.3% – 4.6%
Weighted average		2.3%		2.4%

(1)	For purpose of this table, IRLC asset 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



	March 31, 2025		December 31, 2024
Fair value (in thousands)	$	441,621	$	434,053
Key inputs (1):
Discount rate:
Range		6.1% – 9.3%		6.5% – 9.3%
Weighted average		6.7%		7.0%
Twelve-month projected housing price index change:
Range		2.5% – 3.1%		2.2% – 2.8%
Weighted average		2.7%		2.3%
Voluntary prepayment/resale speed (2):
Range		6.4% – 42.9%		6.4% – 34.4%
Weighted average		26.1%		22.0%
Total prepayment/resale speed (3):
Range		6.5% – 48.4%		6.5% – 41.3%
Weighted average		28.5%		23.9%

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

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

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

Quarter ended March 31,

(in thousands)

Real estate acquired in settlement of loans