Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2026

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 March 31, 2026 and December 31, 2025, 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


March 31, 2026	Fair Value		Fair Value Measurements Using
(In Thousands)			Level 1		Level 2		Level 3
Assets
Residential consumer loans	$	21,299,884	$	—	$	—	$	21,299,884
Residential investor loans	3,295,715		—		—		3,295,715
HEI	341,101		—		—		341,101
Real estate securities:
Trading	182,137		—		—		182,137
AFS	294,250		—		—		294,250
Servicing investments	299,696		—		—		299,696
Strategic investments	10,123		—		—		10,123
Derivative assets	154,880		69,781		75,222		9,877
Total Assets	$	25,877,786	$	69,781	$	75,222	$	25,732,783

Liabilities
ABS issued	$	20,417,812	$	—	$	—	$	20,417,812
Derivative liabilities	156,244		146,207		—		10,037
Non-controlling interest	95,492		—		—		95,492
Total Liabilities	$	20,669,548	$	146,207	$	—	$	20,523,341


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

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 three months ended March 31, 2026.

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		HEI		Real Estate Trading Securities		Real Estate AFS Securities		Servicing Investments		Strategic Investments		Derivatives, net (1)
(In Thousands)
Beginning balance - December 31, 2025	$	17,935,761	$	3,602,250	$	329,883	$	135,459	$	287,557	$	302,230	$	6,310	$	16,843
Acquisitions (3)	6,724,282		—		—		44,606		10,185		—		527		—
Originations (3)	—		432,422		2,612		—		—		—		—		—
Sales	(2,037,561)		(694,091)		—		(25,670)		—		—		—		—
Transfer to fair value option	—		—		—		—		—		—		1,350		—
Principal paydowns	(1,243,489)		(264,358)		(3,926)		(75)		(408)		(18,207)		—		—
Consolidation of securitized bridge loans (2)	—		277,283		—		—		—		—		—		—
Gains (losses) in net income, net	(78,098)		(32,427)		12,495		27,817		924		13,980		1,936		1,997
Unrealized gains in OCI, net	—		—		—		—		(4,008)		—		—		—
Other settlements, net (3)	(1,011)		(25,364)		37		—		—		1,693		—		(19,000)
Ending balance - March 31, 2026	$	21,299,884	$	3,295,715	$	341,101	$	182,137	$	294,250	$	299,696	$	10,123	$	(160)
Change in unrealized gains or (losses) for the period included in earnings for assets held at the end of the reporting period (4)	$	(81,515)	$	(35,868)	$	12,724	$	27,871	$	(4,189)	$	14,586	$	(150)	$	(196)


	Liabilities
	ABS Issued		Non-controlling interest
(In Thousands)
Beginning balance - December 31, 2025	$	17,433,600	$	92,645
Issuance	4,811,866		—

Sales	(1,943)		—
Principal paydowns	(1,659,632)		—
(Gains) losses in net income (loss), net	(166,079)		3,894
Other settlements, net	—		(1,047)
Ending balance - March 31, 2026	$	20,417,812	$	95,492
Change in unrealized (gains) or losses for the period included in earnings for liabilities held at the end of the reporting period (4)	$	(217,033)	$	3,894

(1)Derivatives, net, consists of loan purchase and interest rate lock commitments, and are presented on a net basis.

(2)For the three months ended March 31, 2026, we transferred $218 million of residential investor bridge loans to joint ventures sponsored by us in connection with our CAFL bridge securitizations. These joint ventures are consolidated under GAAP as we are the primary beneficiary. 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)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 at March 31, 2026.

Table 6.3 – Fair Value Methodology for Level 3 Financial Instruments


March 31, 2026	Fair Value (1)			Input Values
(Dollars in Thousands, except Input Values)			Unobservable Input	Range						Weighted Average (2)
Assets
Residential consumer loans (4)	$	21,299,884	Senior credit spread to TBA price (3)	$	0.63	-	$	1.38		$	0.93
			Senior credit spread to Treasury Curve (3)	140		-	200		bps	146		bps
			Subordinate credit spread to Treasury Curve (3)	160		-	675		bps	263		bps
			Senior credit support (3)	7		-	20		%	8		%
			IO discount rate (3)	10		-	23		%	21		%
			Liability price	$	4	-	$	105		$	99
Residential investor loans:
Residential investor term loans (4)	1,906,368		Whole loan spread (3)	250		-	250		bps	250		bps




			Liability price	$	90	-	$	99		$	94
Residential investor bridge loans (4)	1,389,347		Whole loan discount rate	7		-	10		%	7		%

			Liability Price	$	79	-	$	161		$	101
			Dollar price of loans	$	4	-	$	101		$	83
HEI	341,101		Discount rate	8		-	8		%	8		%
			Prepayment rate (Annual CPR)	8		-	15		%	14		%
			Home price appreciation (depreciation)	4		-	4		%	4		%
			Liability price (4)	$	157	-	$	157		$	157
Real estate securities - trading and AFS securities	476,387		Discount rate	—		-	22		%	9		%
			Prepayment rate (Annual CPR)	—		-	29		%	5		%
			Default rate	—		-	81		%	32		%
			Loss severity	—		-	50		%	12		%
Servicing investments	299,696		Prepayment rate (Annual CPR)	1		-	100		%	10		%
			Prepayment yield (Annual CPY)	50		-	100		%	72		%
			Discount rate	8		-	10		%	9		%






Strategic investments	10,123		Transaction Price	$	200	-	$	3,813		$	1,125
Total Assets	$	25,722,906




Liabilities
ABS issued (4)	$	20,417,812	Discount rate	—		-	46		%	1		%
			Prepayment rate (annual CPR)	2		-	60		%	14		%
			Default rate	—		-	12		%	—		%
			Loss severity	—		-	50		%	1		%
Non-controlling interests (6)	95,492		Discount rate	12		-	15		%	14		%
Derivatives, net (5)	160		Senior credit spread to TBA price (3)	$	0.63	-	$	1.38		$	0.93
			Senior credit spread to Treasury Curve (3)	140		-	200		bps	148		bps
			Subordinate credit spread to Treasury Curve (3)	160		-	675		bps	262		bps
			Senior credit support (3)	7		-	20		%	9		%
			IO discount rate (3)	10		-	23		%	20		%
			Pull-through rate	17		-	100		%	70		%
Total Liabilities	$	20,513,464

Footnotes to Table 6.3

(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 value for all loan types is based on unpaid principal balance ("UPB"). The weighted average input value for all other assets and liabilities is based on relative fair value.

(3)Values represent pricing inputs used in a securitization pricing model. Credit spreads represent spreads to the applicable treasury curve 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 March 31, 2026, the fair value of securities we owned at the consolidated Sequoia and CAFL Term was $1.00 billion, and $316 million, respectively. At March 31, 2026, the fair value of our securities in the four CAFL Bridge loan securitizations accounted for under the CFE election and our HEI securitization entity was $66 million and $27 million, respectively.

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

(6)Of the total $124 million payable to non-controlling interests, $95 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 March 31, 2026 and December 31, 2025.

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


		March 31, 2026				December 31, 2025
	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	$	14,830	$	14,830	$	14,414	$	14,414
Cash and cash equivalents	1	202,414		202,414		255,664		255,664
Restricted cash	1	92,285		92,285		193,446		193,446

Liabilities
Debt obligation facilities and other financing	2	$	4,112,303	$	4,112,887	$	4,045,578	$	4,046,266
ABS issued, net	3	—		—		58,431		58,386
Convertible notes, net	1	293,699		301,256		292,993		299,045
Trust preferred securities and subordinated notes, net	3	138,917		83,700		138,906		80,910
Senior Notes	1	322,449		317,803		321,905		335,904
Guarantee obligations (2)	3	4,074		2,564		1,267		2,627

(1)Balance consists of residential investor loans reported at the lower of cost or market for which the carrying value approximates fair value at March 31, 2026.

(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.

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