Fair Value

6 Months Ended

Jun. 30, 2025

Fair Value.

Fair Value

Note 7—Fair Value

Most of the Company’s assets and certain of its liabilities are measured at or based on their fair values. The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the observability of the significant inputs used to determine the fair values. These levels are:

● Level 1—Quoted prices in active markets for identical assets or liabilities.

● Level 2—Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing an asset or liability and are developed based on market data obtained from sources independent of the Company.

● Level 3— Prices determined using significant unobservable inputs. In situations where observable inputs are unavailable, unobservable inputs may be used. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available in the circumstances.

As a result of the difficulty in observing certain significant valuation inputs affecting “Level 3” fair value assets and liabilities, the Company is required to make judgments regarding these items’ fair values. Different persons in possession of the same facts may reasonably arrive at different conclusions as to the inputs to be applied in valuing these assets and liabilities and their fair values. Such differences may result in significantly different fair value measurements. Likewise, due to the general illiquidity of some of these assets and liabilities, subsequent transactions may be at values significantly different from those reported.

The Company reclassifies its assets and liabilities between levels of the fair value hierarchy when the inputs required to establish fair value at a level of the fair value hierarchy are no longer readily available, requiring the use of lower-level inputs, or when the inputs required to establish fair value at a higher level of the hierarchy become available.

Fair Value Accounting Elections

The Company identified its MSRs, its mortgage servicing liabilities (“MSLs”) and all of its non-cash financial assets to be accounted for at fair value so changes in fair value will be reflected in income as they occur and more timely reflect the results of the Company’s performance.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Following is a summary of assets and liabilities that are measured at fair value on a recurring basis:

	June 30, 2025
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investment	$	462,262	$	—	$	—	$	462,262
Principal-only stripped mortgage-backed securities		—		784,958		—		784,958
Loans held for sale		—		6,450,311		510,913		6,961,224
Derivative assets:
Interest rate lock commitments		—		—		143,061		143,061
Forward purchase contracts		—		89,834		—		89,834
Forward sales contracts		—		2,939		—		2,939
Put options on interest rate futures purchase contracts		996		—		—		996
Call options on interest rate futures purchase contracts		33,688		—		—		33,688
Total derivative assets before netting		34,684		92,773		143,061		270,518
Netting		—		—		—		(89,876)
Total derivative assets		34,684		92,773		143,061		180,642
Mortgage servicing rights		—		—		9,531,249		9,531,249
Investment in PennyMac Mortgage Investment Trust		965		—		—		965
	$	497,911	$	7,328,042	$	10,185,223	$	17,921,300
Liabilities:
Derivative liabilities:
Interest rate lock commitments	$	—	$	—	$	908	$	908
Forward purchase contracts		—		174		—		174
Forward sales contracts		—		159,266		—		159,266
Call options on interest rate futures sale contracts		10,063		—		—		10,063
Total derivative liabilities before netting		10,063		159,440		908		170,411
Netting		—		—		—		(137,908)
Total derivative liabilities		10,063		159,440		908		32,503
Derivative liability to PMT		—		1,038		—		1,038
Mortgage servicing liabilities		—		—		1,643		1,643
	$	10,063	$	160,478	$	2,551	$	35,184

	December 31, 2024
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investment	$	420,553	$	—	$	—	$	420,553
Principal-only stripped mortgage-backed securities		—		825,865		—		825,865
Loans held for sale		—		7,783,415		434,053		8,217,468
Derivative assets:
Interest rate lock commitments		—		—		56,946		56,946
Forward purchase contracts		—		3,701		—		3,701
Forward sales contracts		—		152,526		—		152,526
MBS put options		—		3,278		—		3,278
Put options on interest rate futures purchase contracts		12,592		—		—		12,592
Call options on interest rate futures purchase contracts		3,250		—		—		3,250
Total derivative assets before netting		15,842		159,505		56,946		232,293
Netting		—		—		—		(119,217)
Total derivative assets		15,842		159,505		56,946		113,076
Mortgage servicing rights		—		—		8,744,528		8,744,528
Investment in PennyMac Mortgage Investment Trust		944		—		—		944
	$	437,339	$	8,768,785	$	9,235,527	$	18,322,434
Liabilities:
Derivative liabilities:
Interest rate lock commitments	$	—	$	—	$	23,381	$	23,381
Forward purchase contracts		—		66,646		—		66,646
Forward sales contracts		—		12,854		—		12,854
Total derivative liabilities before netting		—		79,500		23,381		102,881
Netting		—		—		—		(61,981)
Total derivative liabilities		—		79,500		23,381		40,900
Mortgage servicing liabilities		—		—		1,683		1,683
	$	—	$	79,500	$	25,064	$	42,583

As shown above, certain of the Company’s loans held for sale, interest rate lock commitments (“IRLCs”), MSRs and MSLs are measured using Level 3 fair value inputs. Following are roll forwards of assets and liabilities measured at fair value using “Level 3” inputs at either the beginning or the end of the period presented:

	Quarter ended June 30, 2025
			Interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments, net (1)		rights		Total
	(in thousands)
Balance, March 31, 2025	$	441,621	$	109,942	$	8,963,889	$	9,515,452
Purchases and issuances, net		1,513,042		172,987		—		1,686,029
Capitalization of interest and servicing advances		27,315		—		—		27,315
Sales and repayments		(537,122)		—		—		(537,122)
Mortgage servicing rights resulting from loan sales		—		—		814,538		814,538
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		38,010		—		—		38,010
Other factors		4,853		67,548		(247,178)		(174,777)
		42,863		67,548		(247,178)		(136,767)
Transfers:
From Level 3 to Level 2		(976,806)		—		—		(976,806)
To loans held for sale		—		(208,324)		—		(208,324)
Balance, June 30, 2025	$	510,913	$	142,153	$	9,531,249	$	10,184,315
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2025	$	25,494	$	142,153	$	(247,178)	$	(79,531)

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

	Quarter ended
Liabilities	June 30, 2025
	(in thousands)
Mortgage servicing liabilities:
Balance, March 31, 2025	$	1,651
Changes in fair value included in income		(8)
Balance, June 30, 2025	$	1,643
Changes in fair value recognized during the quarter relating to liabilities still outstanding at June 30, 2025	$	(8)

	Quarter ended June 30, 2024
			Interest		Mortgage
	Loans held		rate lock		servicing
Assets	for sale		commitments, net (1)		rights			Total
	(in thousands)
Balance, March 31, 2024	$	466,392	$	69,808	$	7,483,210	$	8,019,410
Purchases and issuances, net		954,081		128,241		—		1,082,322
Capitalization of interest and servicing advances		14,110		—		—		14,110
Sales and repayments		(356,988)		—		—		(356,988)
Mortgage servicing rights resulting from loan sales		—		—		541,207		541,207
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		28,011		—		—		28,011
Other factors		(536)		19,542		(101,339)		(82,333)
		27,475		19,542		(101,339)		(54,322)
Transfers from Level 3 to Level 2		(704,994)		—		—		(704,994)
Transfers to loans held for sale		—		(148,839)		—		(148,839)
Balance, June 30, 2024	$	400,076	$	68,752	$	7,923,078	$	8,391,906
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2024	$	21,684	$	68,752	$	(101,339)	$	(10,903)

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

Liabilities	Quarter ended June 30, 2024
	(in thousands)
Mortgage servicing liabilities:
Balance, March 31, 2024	$	1,732
Changes in fair value included in income		(24)
Balance, June 30, 2024	$	1,708
Changes in fair value recognized during the quarter relating to liabilities still outstanding at June 30, 2024	$	(24)

	Six months ended June 30, 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		2,896,927		355,530		—		3,252,457
Capitalization of interest and servicing advances		37,947		—		—		37,947
Sales and repayments		(1,051,768)		—		—		(1,051,768)
Mortgage servicing rights resulting from loan sales		—		—		1,464,887		1,464,887
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		67,629		—		—		67,629
Other factors		14,168		183,661		(678,166)		(480,337)
		81,797		183,661		(678,166)		(412,708)
Transfers:
From Level 3 to Level 2		(1,888,043)		—		—		(1,888,043)
To loans held for sale		—		(430,603)		—		(430,603)
Balance, June 30, 2025	$	510,913	$	142,153	$	9,531,249	$	10,184,315
Changes in fair value recognized during the period relating to assets still held at June 30, 2025	$	28,691	$	142,153	$	(678,166)	$	(507,322)

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

	Six months ended
Liabilities	June 30, 2025
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2024	$	1,683
Changes in fair value included in income		(40)
Balance, June 30, 2025	$	1,643
Changes in fair value recognized during the period relating to liabilities still outstanding at June 30, 2025	$	(40)

	Six months ended June 30, 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		1,859,941		228,512		—		2,088,453
Capitalization of interest and servicing advances		25,336		—		—		25,336
Sales and repayments		(740,987)		—		—		(740,987)
Mortgage servicing rights resulting from loan sales		—		—		953,727		953,727
Changes in fair value included in income arising from:
Changes in instrument-specific credit risk		45,153		—		—		45,153
Other factors		(1,108)		31,066		(129,997)		(100,039)
		44,045		31,066		(129,997)		(54,886)
Transfers:
From Level 3 to Level 2		(1,266,823)		—		—		(1,266,823)
To loans held for sale		—		(280,419)		—		(280,419)
Balance, June 30, 2024	$	400,076	$	68,752	$	7,923,078	$	8,391,906
Changes in fair value recognized during the period relating to assets still held at June 30, 2024	$	20,917	$	68,752	$	(129,997)	$	(40,328)

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

Liabilities	Six months ended June 30, 2024
	(in thousands)
Mortgage servicing liabilities:
Balance, December 31, 2023	$	1,805
Changes in fair value included in income		(97)
Balance, June 30, 2024	$	1,708
Changes in fair value recognized during the period relating to liabilities still outstanding at June 30, 2024	$	(97)

Assets and Liabilities Measured at Fair Value under the Fair Value Option

Net changes in fair values included in income for assets and liabilities carried at fair value, as a result of management’s election of the fair value option, by income statement line item are summarized below:

	Quarter ended June 30,
	2025						2024
	Net gains on		Net				Net gains on		Net
	loans held		loan				loans held		loan
	for sale at		servicing				for sale at		servicing
	fair value		fees		Total		fair value		fees		Total
	(in thousands)
Assets:
Principal-only stripped mortgage-backed securities	$	—	$	7,192	$	7,192	$	—	$	(16,460)	$	(16,460)
Loans held for sale		223,741		—		223,741		124,874		—		124,874
Mortgage servicing rights		—		(247,178)		(247,178)		—		(101,339)		(101,339)
	$	223,741	$	(239,986)	$	(16,245)	$	124,874	$	(117,799)	$	7,075
Liabilities:
Mortgage servicing liabilities	$	—	$	8	$	8	$	—	$	24	$	24

	Six months ended June 30,
	2025						2024
	Net gains on		Net				Net gains on		Net
	loans held		loan				loans held		loan
	for sale at		servicing				for sale at		servicing
	fair value		fees		Total		fair value		fees		Total
	(in thousands)
Assets:
Principal-only stripped mortgage-backed securities	$	—	$	25,326	$	25,326	$	—	$	(16,771)	$	(16,771)
Loans held for sale		508,531		—		508,531		254,203		—		254,203
Mortgage servicing rights		—		(678,166)		(678,166)		—		(129,997)		(129,997)
	$	508,531	$	(652,840)	$	(144,309)	$	254,203	$	(146,768)	$	107,435
Liabilities:
Mortgage servicing liabilities	$	—	$	40	$	40	$	—	$	97	$	97

Following are the fair value and related principal amounts due upon maturity of loans held for sale:

	June 30, 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	$	6,929,950	$	6,734,644	$	195,306	$	8,187,561	$	8,089,532	$	98,029
90 days or more delinquent:
Not in foreclosure		23,534		27,248		(3,714)		24,663		27,901		(3,238)
In foreclosure		7,740		21,348		(13,608)		5,244		11,481		(6,237)
	$	6,961,224	$	6,783,240	$	177,984	$	8,217,468	$	8,128,914	$	88,554

Assets Measured at Fair Value on a Nonrecurring Basis

Following is a summary of assets that were measured at fair value on a nonrecurring basis:

Real estate acquired in settlement of loans	Level 1		Level 2		Level 3		Total
	(in thousands)
June 30, 2025	$	—	$	—	$	6,125	$	6,125
December 31, 2024	$	—	$	—	$	5,238	$	5,238

The following table summarizes the losses recognized on assets when they were remeasured at fair value on a nonrecurring basis:

	Quarter ended June 30,				Six months ended June 30,
	2025		2024		2025		2024
	(in thousands)
Real estate acquired in settlement of loans	$	(367)	$	(685)	$	(1,272)	$	(1,663)

Fair Value of Financial Instruments Carried at Amortized Cost

The Company’s Assets sold under agreements to repurchase, Mortgage loan participation purchase and sale agreements, Notes payable secured by mortgage servicing assets and Unsecured senior notes are carried at amortized cost.

These liabilities are classified as “Level 3” fair value items due to the Company’s reliance on unobservable inputs to estimate their fair values. The Company has concluded that the fair values of these liabilities other than the term notes and term loans included in Notes payable secured by mortgage servicing assets and the Unsecured senior notes approximate their carrying values due to their short terms and/or variable interest rates.

The Company estimates the fair value of the term notes, term loans and the Unsecured senior notes using indications of fair value provided by non-affiliate brokers, pricing services and internal estimates of fair value. The fair values and carrying values of these liabilities are summarized below:

	June 30, 2025				December 31, 2024
	Fair value		Carrying value		Fair value		Carrying value
	(in thousands)
Term notes and term loans	$	1,233,570	$	1,227,143	$	1,742,421	$	1,724,120
Unsecured senior notes	$	4,329,447	$	4,185,012	$	3,172,983	$	3,164,032

Valuation Governance

Most of the Company’s financial assets, and all of its derivatives, MSRs, and MSLs are carried at fair value with changes in fair value recognized in current period income. Certain of the Company’s financial assets and derivatives and all of its MSRs and MSLs are “Level 3” fair value assets and liabilities which require use of unobservable inputs that are significant to the estimation of the items’ fair values. Unobservable inputs reflect the Company’s own judgments about the factors that market participants use in pricing an asset or liability, and are based on the best information available under the circumstances.

Due to the difficulty in estimating the fair values of “Level 3” fair value assets and liabilities, the Company has assigned responsibility for estimating the fair values of these assets and liabilities to specialized staff within its capital markets group and subjects the valuation process to significant senior management oversight.

With respect to “Level 3” valuations other than IRLCs, the capital markets valuation staff reports to the Company’s senior management valuation subcommittee, which oversees the valuations. The capital markets valuation staff monitors the models used for valuation of the Company’s “Level 3” fair value assets and liabilities, including the models’ performance versus actual results, and reports those results as well as changes in the valuation of the non-IRLC “Level 3” fair value assets and liabilities, including major factors affecting the valuations and any changes in model methods and inputs, to the Company’s senior management valuation subcommittee. The Company’s senior management valuation subcommittee includes the Company’s chief financial, credit, and capital markets officers as well as other senior members of the Company’s finance, risk management and capital markets staffs.

To assess the reasonableness of its valuations, the capital markets valuation staff presents an analysis of the effect on the valuations of changes to the significant inputs to the models and, for MSRs, comparisons of its estimates of fair value and of key inputs to those procured from non-affiliate brokers and published surveys.

The fair value of the Company’s IRLCs is developed by its capital markets risk management staff and is reviewed by its capital markets operations staff.

Valuation Techniques and Inputs

Following is a description of the techniques and inputs used in estimating the fair values of “Level 2” and “Level 3” fair value assets and liabilities:

Principal-Only Stripped Mortgage-Backed Securities

The Company categorizes principal-only stripped MBS as “Level 2” fair value financial instruments. Fair values of these securities are established based on quoted market prices for these or similar securities.

Loans Held for Sale

Most of the Company’s loans held for sale at fair value are saleable into active markets and are therefore categorized as “Level 2” fair value assets. The fair values of “Level 2” fair value loans are determined using their contracted selling prices or quoted market prices or market price equivalents.

Certain of the Company’s loans held for sale are not saleable into active markets and are therefore categorized as “Level 3” fair value assets. Loans held for sale categorized as “Level 3” fair value assets include:

● Closed-end second lien mortgage loans. At present, there is no active market with significant observable inputs to the estimation of fair value of the closed-end second lien mortgage loans the Company produces.

● Early buy out (“EBO”) loans. EBO loans are government guaranteed or insured loans purchased by the Company from Ginnie Mae guaranteed securities in its loan servicing portfolio. The Company’s right to purchase a government guaranteed or insured loan from a Ginnie Mae security arises as the result of the loan being at least three months delinquent on the date of purchase by the Company and provides an alternative to the Company’s obligation to continue advancing principal and interest at the coupon rate of the related Ginnie Mae security. Such a loan may be resold to an investor and thereafter may be repurchased to the extent it becomes eligible for resale into a new Ginnie Mae guaranteed security.

A loan becomes eligible for resale into a new Ginnie Mae guaranteed security when the loan becomes current either through completion of a modification of the loan’s terms or after three months of timely payments following either the completion of a payment deferral program or borrower reperformance and when the issuance date of the new security is at least 120 days after the date the loan was last delinquent.

● Loans with identified defects. Loans that are not saleable into active markets due to identification of a defect by the Company or to the repurchase by the Company of a loan with an identified defect.

The Company uses a discounted cash flow model to estimate the fair value of its “Level 3” fair value loans held for sale. The significant unobservable inputs used in the fair value measurement of the Company’s “Level 3” fair value loans held for sale are discount rates, home price projections, voluntary prepayment/resale and total prepayment/resale speeds. Significant changes in any of those inputs in isolation could result in a significant change to the loans’ fair value measurement. Increases in home price projections are generally accompanied by an increase in voluntary prepayment speeds.

Following is a quantitative summary of key “Level 3” fair value inputs used in the valuation of loans held for sale:

	June 30, 2025		December 31, 2024
Fair value (in thousands)	$	510,913	$	434,053
Key inputs (1):
Discount rate:
Range		5.8% – 9.3%		6.5% – 9.3%
Weighted average		6.5%		7.0%
Twelve-month projected housing price index change:
Range		1.7% – 2.2%		2.2% – 2.8%
Weighted average		2.0%		2.3%
Voluntary prepayment/resale speed (2):
Range		6.3% – 50.3%		6.4% – 34.4%
Weighted average		29.4%		22.0%
Total prepayment/resale speed (3):
Range		6.4% – 57.3%		6.5% – 41.3%
Weighted average		32.3%		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.

Changes in fair value of loans held for sale attributable to changes in a loan’s instrument-specific credit risk are measured with reference to the change in the respective loan’s delinquency status and performance history at period end from the later of the beginning of the period or acquisition date. Changes in fair value of loans held for sale are included in Net gains on loans held for sale at fair value in the Company’s consolidated statements of income.

Derivative Financial Instruments

Interest Rate Lock Commitments

The Company categorizes IRLCs as “Level 3” fair value assets or liabilities. The Company estimates the fair values of IRLCs based on quoted Agency MBS prices, the probability that the loans will be funded or purchased (the “pull-through rate”) and its estimate of the fair value of the MSRs it expects to receive in the sale of the loans.

The significant unobservable inputs used in the fair value measurement of the Company’s IRLCs are the pull-through rate and the estimated fair values of MSRs attributable to the mortgage loans it has committed to originate or purchase. Significant changes in the pull-through rate or the MSR components of the IRLCs, in isolation, could result in significant changes in the IRLCs’ fair value measurements. The financial effects of changes in these inputs are generally inversely correlated as increasing interest rates have a positive effect on the fair value of the MSR component of IRLC fair value, but increase the pull-through rate for the loan principal and interest payment cash flow component, which has decreased in fair value. Changes in fair value of IRLCs are included in Net gains on loans held for sale at fair value in the Company’s consolidated statements of income.

Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs:

	June 30, 2025		December 31, 2024
Fair value (in thousands) (1)	$	142,153	$	33,565
Committed amount (in thousands)	$	10,998,207	$	7,801,677
Key inputs (2):
Pull-through rate:
Range		29.8% – 100%		29.8% – 100%
Weighted average		87.0%		88.2%
Mortgage servicing rights fair value expressed as:
Servicing fee multiple:
Range		1.0 – 8.6		1.0 – 8.6
Weighted average		5.3		5.4
Percentage of loan commitment amount:
Range		0.3% – 4.5%		0.3% – 4.6%
Weighted average		2.1%		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.

Hedging Derivatives

Fair values of derivative financial instruments actively traded on exchanges are categorized by the Company as “Level 1” fair value assets and liabilities; fair values of derivative financial instruments based on observable interest rates, volatilities and prices in the MBS or other markets are categorized by the Company as “Level 2” fair value assets and liabilities.

Changes in the fair values of hedging derivatives are included in Net gains on loans held for sale at fair value, or Net loan servicing fees – Mortgage servicing rights hedging results, as applicable, in the Company’s consolidated statements of income.

Mortgage Servicing Rights

MSRs are categorized as “Level 3” fair value assets. The Company uses a discounted cash flow approach to estimate the fair value of MSRs. The key inputs used in the estimation of the fair value of MSRs include the applicable prepayment rate (prepayment speed), pricing spread (a component of discount rate), and annual per-loan cost to service the underlying loans, all of which are unobservable. Significant changes to any of those inputs in isolation could result in a significant change in the MSR fair value measurement. Changes in these key inputs are not directly related. Changes in the fair value of MSRs are included in Net loan servicing fees—Change in fair value of mortgage servicing rights and mortgage servicing liabilities in the Company’s consolidated statements of income.

Following are the key inputs used in determining the fair value of MSRs received by the Company when it retains the obligation to service the mortgage loans it sells:

	Quarter ended June 30,				Six months ended June 30,
	2025		2024		2025		2024
	(Amount recognized and unpaid principal balance of underlying loans in thousands)
MSR and underlying loan characteristics:
Amount recognized	$	814,538	$	541,207	$	1,464,887	$	953,727
Unpaid principal balance	$	34,697,004	$	24,741,715	$	62,361,980	$	44,226,530
Weighted average servicing fee rate (in basis points)		43		43		43		44
Key inputs (1):
Annual total prepayment speed (2):
Range		6.7% – 15.5%		7.3% – 15.0%		6.6% – 15.5%		7.3% – 15.9%
Weighted average		8.6%		10.0%		8.7%		10.5%
Equivalent average life (in years):
Range		3.8 – 10.1		3.5 – 9.7		3.8 – 10.2		3.5 – 9.7
Weighted average		8.8		7.9		8.7		7.7
Pricing spread (3):
Range		4.9% – 12.6%		5.3% – 12.6%		4.9% – 12.6%		5.3% – 12.6%
Weighted average		5.5%		6.0%		5.5%		6.1%
Per-loan annual cost of servicing:
Range		$70 – $127		$70 – $127		$70 – $127		$70 – $127
Weighted average		$100		$98		$100		$98

(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) Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to a derived United State Treasury Securities (“Treasury”) yield curve for purposes of discounting cash flows relating to MSRs.

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

	June 30, 2025	December 31, 2024
	(Fair value, unpaid principal balance of underlying
	loans and effect on fair value amounts in thousands)
Fair value	$ 9,531,249	$ 8,744,528
Underlying loan characteristics:
Unpaid principal balance	$ 463,132,127	$ 426,055,220
Weighted average note interest rate	4.7%	4.5%
Weighted average servicing fee rate (in basis points)	39	38
Key inputs (1):
Annual total prepayment speed (2):
Range	6.2% – 19.0%	5.9% – 17.7%
Weighted average	8.9%	7.8%
Equivalent average life (in years):
Range	2.6 – 8.8	2.7 – 9.1
Weighted average	8.1	8.4
Effect on fair value of (3):
5% adverse change	($155,827)	($126,224)
10% adverse change	($306,286)	($248,349)
20% adverse change	($592,174)	($481,100)
Pricing spread (4):
Range	4.9% – 11.4%	5.0% – 11.3%
Weighted average	6.0%	6.2%
Effect on fair value of (3):
5% adverse change	($121,678)	($113,419)
10% adverse change	($240,330)	($223,960)
20% adverse change	($468,962)	($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	($51,524)	($48,830)
10% adverse change	($103,048)	($97,661)
20% adverse change	($206,097)	($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.

Mortgage Servicing Liabilities

MSLs are categorized as “Level 3” fair value liabilities. The Company uses a discounted cash flow approach to estimate the fair value of MSLs. The key inputs used in the estimation of the fair value of MSLs include the applicable annual total prepayment speed, pricing spread, and the per-loan annual cost of servicing the underlying loans. Changes in the fair value of MSLs are included in Net servicing fees—Change in fair value of mortgage servicing rights and mortgage servicing liabilities in the Company’s consolidated statements of income.

Following are the key inputs used in estimating the fair value of MSLs:

		June 30,		December 31,
		2025		2024
Fair value (in thousands)	$	1,643	$	1,683
Underlying loan characteristics:
Unpaid principal balance of underlying loans (in thousands)	$	18,177	$	19,528
Servicing fee rate (in basis points)		25		25
Key inputs (1):
Annual total prepayment speed (2)		15.4%		15.7%
Equivalent average life (in years)		5.2		5.1
Pricing spread (3)		8.8%		8.6%
Per-loan annual cost of servicing	$	920	$	969

(1) Weighted average inputs are based on UPB of the underlying mortgage 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) The Company applies a pricing spread to a derived Treasury yield curve for purposes of discounting cash flows relating to MSLs.