Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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


June 30, 2026	Fair Value		Fair Value Measurements Using
(In Thousands)			Level 1		Level 2		Level 3
Assets
Residential consumer loans	$	23,638,696	$	—	$	—	$	23,638,696
Residential investor loans	3,111,606		—		—		3,111,606
HEI	339,735		—		—		339,735
Real estate securities:
Trading	193,550		—		—		193,550
AFS	287,347		—		—		287,347
Servicing investments	290,825		—		—		290,825
Strategic investments	10,123		—		—		10,123
Derivative assets	59,436		8,099		29,616		21,721
Total Assets	$	27,931,318	$	8,099	$	29,616	$	27,893,603

Liabilities
ABS issued	$	22,515,907	$	—	$	—	$	22,515,907
Derivative liabilities	10,912		4,289		—		6,623
Non-controlling interest	92,631		—		—		92,631
Total Liabilities	$	22,619,450	$	4,289	$	—	$	22,615,161


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 six months ended June 30, 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	12,998,585		—		—		98,314		10,185		4,572		527		—
Originations	—		842,158		3,003		—		—		—		—		—
Sales	(4,592,312)		(1,068,959)		—		(65,616)		—		—		—		—
Transfer to fair value option	—		—		—		—		—		—		1,350		—
Principal paydowns	(2,557,332)		(594,866)		(9,542)		(284)		(549)		(27,751)		—		—
Consolidation of securitized bridge loans (2)	—		411,779		—		—		—		—		—		—
Gains (losses) in net income, net	(140,968)		(37,914)		16,290		25,677		1,530		11,774		1,936		44,039
Unrealized gains in OCI, net	—		—		—		—		(11,376)		—		—		—
Other settlements, net (3)	(5,038)		(42,842)		101		—		—		—		—		(45,784)
Ending balance - June 30, 2026	$	23,638,696	$	3,111,606	$	339,735	$	193,550	$	287,347	$	290,825	$	10,123	$	15,098
Change in unrealized gains or (losses) for the period included in earnings for assets held at the end of the reporting period (4)	$	(114,738)	$	(39,501)	$	16,499	$	25,857	$	(11,556)	$	13,286	$	(150)	$	15,098


	Liabilities
	ABS Issued		Non-controlling interest
(In Thousands)
Beginning balance - December 31, 2025	$	17,433,600	$	92,645
Issuance	8,561,389		—

Sales	(3,689)		—
Principal paydowns	(3,191,968)		—
(Gains) losses in net income (loss), net	(283,425)		3,605
Other settlements, net	—		(3,619)
Ending balance - June 30, 2026	$	22,515,907	$	92,631
Change in unrealized (gains) or losses for the period included in earnings for liabilities held at the end of the reporting period (4)	$	(373,025)	$	289

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

(2)For the six months ended June 30, 2026, we transferred $348 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 this 2026 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 June 30, 2026.

Table 6.3 – Fair Value Methodology for Level 3 Financial Instruments


June 30, 2026	Fair Value (1)			Input Values
(Dollars in Thousands, except Input Values)			Unobservable Input	Range						Weighted Average (2)
Assets
Residential consumer loans (4)	$	23,638,696	Senior credit spread to TBA price (3)	$	0.63	-	$	1.44		$	0.95
			Senior credit spread to Treasury Curve (3)	125		-	200		bps	139		bps
			Subordinate credit spread to Treasury Curve (3)	145		-	675		bps	262		bps
			Senior credit support (3)	7		-	20		%	10		%
			IO discount rate (3)	10		-	20		%	16		%
			Liability price	$	24	-	$	105		$	100
Residential investor loans:
Residential investor term loans (4)	1,796,137		Whole loan spread (3)	220		-	220		bps	220		bps




			Liability price	$	89	-	$	99		$	93
Residential investor bridge loans (4)	1,315,469		Whole loan discount rate	7		-	12		%	7		%

			Liability Price	$	69	-	$	158		$	100
			Dollar price of loans	$	21	-	$	105		$	86
HEI	339,735		Discount rate	8		-	8		%	8		%
			Prepayment rate (Annual CPR)	8		-	15		%	14		%
			Home price appreciation (depreciation)	4		-	4		%	4		%
			Liability price (4)	$	158	-	$	158		$	158
Real estate securities - trading and AFS securities	480,897		Discount rate	4		-	22		%	9		%
			Prepayment rate (Annual CPR)	—		-	31		%	4		%
			Default rate	—		-	89		%	34		%
			Loss severity	—		-	40		%	10		%
Servicing investments	290,825		Prepayment rate (Annual CPR)	—		-	39		%	10		%
			Prepayment yield (Annual CPY)	10		-	50		%	30		%
			Discount rate	8		-	11		%	10		%
Derivative assets, net (5)	15,098		Senior credit spread to TBA price (3)	$	0.63	-	$	1.44		$	0.92
			Senior credit spread to Treasury Curve (3)	125		-	200		bps	139		bps
			Subordinate credit spread to Treasury Curve (3)	145		-	675		bps	264		bps
			Senior credit support (3)	7		-	20		%	10		%
			IO discount rate (3)	10		-	20		%	16		%
			Pull-through rate	27		-	100		%	73		%
Strategic investments	10,123		Transaction Price	$	200	-	$	3,813		$	1,125
Total Assets	$	27,886,980




Liabilities
ABS issued (4)	$	22,515,907	Discount rate	—	-	22	%	1	%
			Prepayment rate (annual CPR)	—	-	53	%	13	%
			Default rate	—	-	21	%	—	%
			Loss severity	—	-	50	%	1	%
Non-controlling interests (6)	92,631		Discount rate	12	-	15	%	13	%
Total Liabilities	$	22,608,538

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 June 30, 2026, the fair value of securities we owned at the consolidated Sequoia and CAFL Term was $1.23 billion, and $314 million, respectively. At June 30, 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 $70 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 $119 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 estimated fair values of assets and liabilities that are not measured at fair value at June 30, 2026 and December 31, 2025.

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


		June 30, 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	$	13,863	$	13,863	$	14,414	$	14,414
Cash and cash equivalents	1	191,846		191,846		255,664		255,664
Restricted cash	1	99,465		99,465		193,446		193,446

Liabilities
Debt obligation facilities and other financing	2	$	4,079,669	$	4,080,151	$	4,045,578	$	4,046,266
ABS issued, net	3	—		—		58,431		58,386
Convertible notes, net	1	294,369		300,439		292,993		299,045
Trust preferred securities and subordinated notes, net	3	138,929		78,120		138,906		80,910
Senior Notes	1	443,607		451,517		321,905		335,904
Guarantee obligations (2)	3	3,689		3,689		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 June 30, 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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