Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2025

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents the assets and liabilities that are reported at fair value on our consolidated balance sheets on a recurring basis at June 30, 2025 and December 31, 2024, as well as the fair value hierarchy of the valuation inputs used to measure fair value.

Table 6.1 – Assets and Liabilities Measured at Fair Value on a Recurring Basis


June 30, 2025	Fair Value		Fair Value Measurements Using
(In Thousands)			Level 1		Level 2		Level 3
Assets
Residential consumer loans	$	14,201,893	$	—	$	—	$	14,201,893
Residential investor loans	4,313,935		—		—		4,313,935
Consolidated Agency multifamily loans	423,097		—		—		423,097
HEI	587,636		—		—		587,636
Real estate securities:
Trading	150,498		—		—		150,498
AFS	114,499		—		—		114,499
Servicing investments	298,004		—		—		298,004
Strategic investments	3,460		—		—		3,460
Derivative assets	219,797		81,125		124,518		14,154
Total Assets	$	20,312,819	$	81,125	$	124,518	$	20,107,176

Liabilities
ABS issued	$	15,714,392	$	—	$	—	$	15,714,392
Derivative liabilities	68,826		57,461		10,519		846
Non-controlling interest	127,612		—		—		127,612
Total Liabilities	$	15,910,830	$	57,461	$	10,519	$	15,842,850


December 31, 2024	Fair Value		Fair Value Measurements Using
(In Thousands)			Level 1		Level 2		Level 3
Assets
Residential consumer loans	$	11,077,823	$	—	$	—	$	11,077,823
Residential investor loans	4,587,090		—		—		4,587,090
Consolidated agency multifamily loans	424,597		—		—		424,597
HEI	589,785		—		—		589,785
Real estate securities:
Trading	193,749		—		—		193,749
AFS	211,474		—		—		211,474
Servicing investments	297,683		—		—		297,683
Strategic investments	3,460		—		—		3,460
Derivative assets	46,003		16,446		23,738		5,819


Total Assets	$	17,431,664	$	16,446	$	23,738	$	17,391,480

Liabilities
ABS issued	$	12,879,530	$	—	$	—	$	12,879,530
Derivative liabilities	23,660		23,164		—		496
Non-controlling interest	99,510		—		—		99,510
Total Liabilities	$	13,002,700	$	23,164	$	—	$	12,979,536

Schedule of Changes in Level 3 Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents additional information about Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2025.

Table 6.2 – Changes in Level 3 Assets and Liabilities Measured at Fair Value on a Recurring Basis


	Assets
	Residential Consumer Loans		Residential Investor Loans		Consolidated Agency Multifamily Loans		HEI		Real Estate Trading Securities		Real Estate AFS Securities		Servicing Investments		Strategic Investments		Derivatives, net (1)
(In Thousands)
Beginning balance - December 31, 2024	$	11,077,823	$	4,587,090	$	424,597	$	589,785	$	193,749	$	211,474	$	297,683	$	3,460	$	5,323
Acquisitions	5,242,364		43,037		—		—		21,243		844		—		—		—
Originations	—		932,588		—		6,060		—		—		—		—		—
Sales	(1,212,672)		(826,649)		—		—		(12,903)		(102,378)		—		—		—
Principal paydowns	(1,095,924)		(662,975)		(4,512)		(21,711)		(318)		(218)		5,583		—		—
Consolidation of securitized bridge loans (2)	—		306,422		—		—		—		—		—		—		—
Gains (losses) in net income, net	194,373		(54,972)		3,012		13,363		(51,273)		1,510		(5,262)		—		39,888
Unrealized gains in OCI, net	—		—		—		—		—		3,267		—		—		—
Other settlements, net (3)	(4,071)		(10,606)		—		139		—		—		—		—		(31,903)
Ending balance - June 30, 2025	$	14,201,893	$	4,313,935	$	423,097	$	587,636	$	150,498	$	114,499	$	298,004	$	3,460	$	13,308
Change in unrealized gains or (losses) for the period included in earnings for assets held at the end of the reporting period (4)	$	186,838	$	(59,577)	$	2,953	$	14,713	$	(48,732)	$	3,960	$	(4,575)	$	—	$	13,308


	Liabilities
	ABS Issued		Non-controlling interest
(In Thousands)
Beginning balance - December 31, 2024	$	12,879,530	$	99,510
Acquisitions	3,908,558		—
Sales	—		—
Principal paydowns	(1,293,470)		9,707
Gains (losses) in net income (loss), net	219,774		16,926
Other settlements, net	—		1,469
Ending balance - June 30, 2025	$	15,714,392	$	127,612
Change in unrealized gains or (losses) for the period included in earnings for liabilities held at the end of the reporting period (4)	$	150,222	$	(6,773)

(1)For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.

(2)In the fourth quarter of 2024, we completed our first CAFL securitization sponsored by our joint venture that we consolidate under GAAP as we are the primary beneficiary. During the six months ended June 30, 2025, we transferred $84 million of residential investor bridge loans to the joint venture under the replenishment feature of this securitization. During the three months ended June 30, 2025, we completed our second CAFL securitization sponsored by our joint venture that we consolidate under GAAP as we are the primary beneficiary, and transferred $222 million of residential investor bridge loans to the joint venture related to this securitization. For additional information on our principles of consolidation, see Note 16 of the Notes to Consolidated Financial Statements, included in Part I, Item 1 of the 2025 Quarterly Report on Form 10-Q.

(3)Other settlements, net: for residential consumer and residential investor loans, primarily represents the transfer of loans to REO; for HEI, represents the share of HEI disposition fees paid to our third party originators for our purchased HEI portfolio; for derivatives, represents the transfer of the fair value of loan purchase and interest rate lock commitments at the time loans are acquired to the basis of residential consumer and investor loans; and for mortgage servicing rights ("MSRs) and other investments, primarily represents an investment that was exchanged into a new instrument that is no longer measured at fair value on a recurring basis.

(4)All changes in unrealized gains or (losses) are included in net income, with the exception of Real Estate AFS Securities, which are included in comprehensive income.

Schedule of Fair Value Methodology for Level 3 Financial Instruments

The following table provides quantitative information about the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value.

Table 6.3 – Fair Value Methodology for Level 3 Financial Instruments


June 30, 2025	Fair Value (1)			Input Values
(Dollars in Thousands, except Input Values)			Unobservable Input	Range						Weighted Average (2)
Assets
Residential consumer loans (4)	$	14,201,893	Senior credit spread to TBA price (3)	$	0.88	-	$	1.50		$	1.04
			Senior credit spread to Swap rate (3)	130		-	300		bps	162		bps
			Subordinate credit spread to Swap rate	190		-	675		bps	293		bps
			Senior credit support (3)	7		-	7		%	7		%
			IO discount rate (3)	22		-	23		%	22		%
			Liability price	$	24	-	$	104		$	96
			Dollar price of Aspire non-QM loans	$	99	-	$	106		$	103
Residential investor loans:
Residential investor term loans (4)	2,445,687		Whole loan spread (3)	235		-	235		bps	235		bps




			Liability price	$	91	-	$	102		$	95
Residential investor bridge loans (4)	1,868,248		Whole loan discount rate	7		-	15		%	10		%
			Whole loan spread	445		-	445		bps	445		bps
			Liability Price	$	96	-	$	171		$	102
			Dollar price of non-performing loans	$	35	-	$	100		$	78
Consolidated agency multifamily loans(6)	423,097		Liability price	$	99	-	$	99		$	99
HEI	587,636		Discount rate	10		-	12		%	12		%
			Prepayment rate (Annual CPR)	1		-	20		%	14		%
			Home price appreciation (depreciation)	3.5		-	3.5		%	3.5		%
			Liability price (4)	$	146	-	$	208		$	168
Real estate securities - trading and AFS securities	264,997		Discount rate	5		-	32		%	12		%
			Prepayment rate (Annual CPR)	2		-	32		%	10		%
			Default rate	—		-	8		%	—		%
			Loss severity	—		-	50		%	24		%
Servicing investments	298,004		Prepayment rate (Annual CPR)	2		-	52		%	13		%
			Discount rate	8		-	19		%	13		%
Derivative assets, net (7)	13,308		Senior credit spread to TBA price (3)	$	0.88	-	$	1.5		$	1.04
			Senior credit spread to Swap rate (3)	185		-	300		bps	204		bps
			Subordinate credit spread to Swap rate	190		-	675		bps	293		bps
			Senior credit support (3)	7		-	7		%	7		%
			IO discount rate (3)	22		-	23		%	22		%
			Pull-through rate	6		-	100		%	63		%
			Dollar price of Aspire non-QM loans	$	94	-	$	106		$	103
Strategic investments	3,460		Transaction Price	$	200	-	$	1,000		$	494
Total Assets	$	20,106,330


June 30, 2025	Fair Value (1)			Input Values
(Dollars in Thousands, except Input Values)			Unobservable Input	Range				Weighted Average (2)
Liabilities
ABS issued (4)	$	15,714,392	Discount rate	—	-	20	%	3	%
			Prepayment rate (annual CPR)	—	-	47	%	7	%
			Default rate	—	-	19	%	—	%
			Loss severity	—	-	50	%	1	%
Non-controlling interests (8)	127,612		Discount rate	13	-	20	%	16	%
Total Liabilities	$	15,842,004

(1)The predominant valuation technique used to determine our Level 3 fair value assets and liabilities is based on the discounted cash flow model.

(2)The weighted average input values for all loan types are based on unpaid principal balance. The weighted average input values for all other assets and liabilities are based on relative fair value.

(3)Values represent pricing inputs used in a securitization pricing model. Credit spreads represent spreads to applicable swap rates unless specified otherwise.

(4)The fair value of the loans and HEI held by consolidated entities is based on the fair value of the ABS issued by these entities and the securities and other investments we own in those entities, which we determined were more readily observable in accordance with accounting guidance for Collateralized Financing Entities ("CFE"). At June 30, 2025, the fair value of securities we owned at the consolidated Sequoia, CAFL Term, Freddie Mac SLST, and Freddie Mac K-Series was $611 million, $330 million, $257 million and $36 million, respectively. At June 30, 2025, the fair value of our securities in the three CAFL Bridge loan securitizations accounted for under the CFE election and our HEI securitization entities was $38 million and $51 million, respectively.

(5)Represents the estimated average duration of outstanding servicer advances at a given point in time (not taking into account new advances made with respect to the pool).

(6)Consolidated agency multifamily loans represent securitized financial assets and liabilities of the Company's CFEs.

(7)For the purpose of this presentation, derivative assets and liabilities, which consist of loan purchase commitments, are presented on a net basis.

(8)Of the total $151 million payable to non-controlling interests, $128 million is measured at fair value on a recurring basis.

Schedule of Carrying Values and Fair Values of Assets and Liabilities

The following table summarizes the estimated fair values of assets and liabilities that are not measured at fair value at June 30, 2025 and December 31, 2024.

Table 6.4 – Carrying Values and Estimated Fair Values of Assets and Liabilities


		June 30, 2025				December 31, 2024
	Level in Fair Value Hierarchy	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
(In Thousands)




















Assets


Residential investor loans held-for-sale (1)	3	$	25,233	$	25,233	$	—	$	—
Cash and cash equivalents	1	301,979		301,979		245,165		245,165
Restricted cash	1	146,247		146,247		67,762		67,762

Liabilities
Debt obligation facilities and other financing	2	$	3,011,683	$	3,012,578	$	2,818,292	$	2,819,393
ABS issued, net	3	270,814		271,687		390,674		392,344
Convertible notes, net	1	367,021		368,220		365,739		365,455
Trust preferred securities and subordinated notes, net	3	138,883		86,490		138,860		93,465
Senior Notes	1	227,281		229,270		139,989		146,716
Guarantee obligations (2)	3	2,053		2,770		2,806		3,204

(1)Residential investor loans reported at lower of cost or market for which the carrying value approximates fair value at June 30, 2025.

(2)These liabilities are included in Accrued expenses and other liabilities on our consolidated balance

- 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.

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