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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2025 and 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


December 31, 2025	Fair Value		Fair Value Measurements Using
(In Thousands)			Level 1		Level 2		Level 3
Assets
Residential consumer loans	$	17,935,761	$	—	$	—	$	17,935,761
Residential investor loans	3,602,250		—		—		3,602,250

HEI	329,883		—		—		329,883
Real estate securities:
Trading	135,459		—		—		135,459
AFS	287,557		—		—		287,557
Servicing investments	302,230		—		—		302,230
Strategic investments	6,310		—		—		6,310
Derivative assets	105,597		56,458		31,119		18,020
Total Assets	$	22,705,047	$	56,458	$	31,119	$	22,617,470

Liabilities
ABS issued	$	17,433,600	$	—	$	—	$	17,433,600
Derivative liabilities	28,150		26,973		—		1,177
Non-controlling interest	92,644		—		—		92,644
Total Liabilities	$	17,554,394	$	26,973	$	—	$	17,527,421


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 year ended December 31, 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	14,692,367		42,539		—		—		74,494		182,850		2,410		—		—
Originations	—		1,845,096		—		12,967		—		—		—		—		—
Sales	(3,968,157)		(2,050,098)		—		(262,447)		(31,839)		(102,378)		—		—		—
Transfer to fair value option	—		—		—		—		—		—		—		1,150		—
Principal paydowns	(3,009,235)		(1,464,144)		(430,230)		(32,423)		(490)		(15,391)		(5,491)		—		—
Consolidation of securitized bridge loans (2)	—		805,008		—		—		—		—		—		—		—
Deconsolidation of securitized re-performing loans	(1,239,652)		—		—		—		—		—		—		—		—
Gains (losses) in net income, net	387,047		(26,471)		5,633		21,794		(100,455)		7,735		7,987		1,700		129,734
Unrealized gains in OCI, net	—		—		—		—		—		3,267		—		—		—
Other settlements, net (3)	(4,432)		(136,770)		—		207		—		—		(359)		—		(118,214)
Ending balance - December 31, 2025	$	17,935,761	$	3,602,250	$	—	$	329,883	$	135,459	$	287,557	$	302,230	$	6,310	$	16,843
Change in unrealized gains or (losses) for the period included in earnings for assets held at the end of the reporting period (4)	$	279,385	$	41,594	$	—	$	21,295	$	(99,271)	$	9,041	$	9,842	$	1,700	$	16,843


	Liabilities
	ABS Issued		Non-controlling interest
(In Thousands)
Beginning balance - December 31, 2024	$	12,879,530	$	99,510
Acquisitions	8,667,333		—
Consolidation	567,890		21,739
Sales	(4,404)		(46,449)
Principal paydowns	(4,090,889)		—
Deconsolidation of ABS	(988,446)		—
Losses (gains) in net income (loss), net	402,586		22,357
Other settlements, net	—		(4,512)
Ending balance - December 31, 2025	$	17,433,600	$	92,645
Change in unrealized losses (gains) for the period included in earnings for liabilities held at the end of the reporting period (4)	$	192,096	$	18,262

Footnotes to table 6.2

(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 one of our joint ventures that we consolidate under GAAP as we are the primary beneficiary. During the year ended December 31, 2025, we transferred $178 million of residential investor bridge loans to the joint venture under the replenishment feature of this securitization. During the year ended December 31, 2025, we completed our second and third CAFL securitizations sponsored by one of our joint ventures that we consolidate under GAAP as we are the primary beneficiary, and transferred $627 million of residential investor bridge loans to the joint ventures related to these securitizations, of which $294 million were consolidated at the issuance of these securitizations, and $333 million were transferred to the securitizations subsequent to issuance. See Note 16 for additional information on our principles of consolidation.

(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.

(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 for the years ended December 31, 2025.

Table 6.3 – Fair Value Methodology for Level 3 Financial Instruments


December 31, 2025	Fair Value (1)			Input Values
(Dollars in Thousands, except Input Values)			Unobservable Input	Range						Weighted Average (2)
Assets
Residential consumer loans (4)	$	17,935,761	Senior credit spread to TBA price (3)	$	0.88	-	$	1.88		$	1.01
			Senior credit spread to Swap rate (3)	140		-	222		bps	210		bps
			Subordinate credit spread to Swap rate	150		-	675		bps	236		bps
			Senior credit support (3)	7		-	13		%	7		%
			IO discount rate (3)	20		-	23		%	21		%
			Liability price	$	19	-	$	105		$	99
Residential investor loans:
Residential investor term loans (4)	2,188,331		Whole loan spread (3)	230		-	230		bps	230		bps




			Liability price	$	92	-	$	103		$	95
Residential investor bridge loans (4)	1,413,919		Whole loan discount rate	7		-	9		%	8		%

			Liability Price	$	97	-	$	163		$	138
			Dollar price of loans	$	30	-	$	101		$	74
HEI	329,883		Discount rate	9		-	9		%	9		%
			Prepayment rate (Annual CPR)	8		-	15		%	14		%
			Home price appreciation (depreciation)	4		-	4		%	4		%
			Liability price (4)	$	151	-	$	151		$	151
Real estate securities - trading and AFS securities	423,016		Discount rate	—		-	22		%	7		%
			Prepayment rate (Annual CPR)	—		-	35		%	6		%
			Default rate	—		-	81		%	46		%
			Loss severity	—		-	40		%	17		%
Servicing investments	302,230		Prepayment rate (Annual CPR)	2		-	29		%	9		%
			Prepayment yield (Annual CPY)	50		-	100		%	76		%
			Discount rate	8		-	12		%	11		%
Derivative assets, net (5)	16,843		Senior credit spread to TBA price (3)	$	0.88	-	$	1.88		$	1.01
			Senior credit spread to Swap rate (3)	140		-	222		bps	201		bps
			Subordinate credit spread to Swap rate	150		-	725		bps	273		bps
			Senior credit support (3)	7		-	13		%	8		%
			IO discount rate (3)	15		-	23		%	19		%
			Pull-through rate	2		-	100		%	67		%
Strategic investments	6,310		Transaction Price	$	200	-	$	3,000		$	789
Total Assets	$	22,616,293


December 31, 2025	Fair Value (1)			Input Values
(Dollars in Thousands, except Input Values)			Unobservable Input	Range				Weighted Average (2)
Liabilities
ABS issued (4)	$	17,433,600	Discount rate	—	-	28	%	—	%
			Prepayment rate (annual CPR)	—	-	69	%	10	%
			Default rate	—	-	10	%	—	%
			Loss severity	—	-	50	%	1	%
Non-controlling interests (6)	92,644		Discount rate	12	-	15	%	14	%
Total Liabilities	$	17,526,244

(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 ("UPB"). 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 December 31, 2025, the fair value of securities we owned at the consolidated Sequoia and CAFL Term was $722 million and $330 million, respectively. At December 31, 2025, the fair value of our securities in the four CAFL Bridge loan securitizations accounted for under the CFE election and our HEI securitization entities was $50 million and $25 million, respectively.

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

(6)Of the total $120 million payable to non-controlling interests, $93 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 fair values of assets and liabilities that are not measured at fair value at December 31, 2025 and December 31, 2024.

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


		December 31, 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	$	14,414	$	14,414	$	—	$	—
Cash and cash equivalents	1	255,664		255,664		245,165		245,165
Restricted cash	1	193,446		193,446		67,762		67,762

Liabilities
Debt obligation facilities and other financing	2	$	4,045,578	$	4,046,266	$	2,818,292	$	2,819,393
ABS issued, net	3	58,431		58,386		390,674		392,344
Convertible notes, net	1	292,993		299,045		365,739		365,455
Trust preferred securities and subordinated notes, net	3	138,906		80,910		138,860		93,465
Senior Notes	1	321,905		335,904		139,989		146,716
Guarantee obligations (2)	3	1,267		2,627		2,806		3,204

(1)Residential investor loans reported at lower of cost or market for which the carrying value approximates fair value at December 31, 2025

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

- 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