Fair Value (Tables)
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6 Months Ended |
Jun. 30, 2025 |
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| Fair Value Disclosures [Abstract] |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities: | | | | | | | | | | | | | | | | | | | | | | | | | Recurring Fair Value Measurements | | June 30, 2025 | | (in thousands) | Level 1 | | Level 2 | | Level 3 | | Total | | Assets: | | | | | | | | | Available-for-sale securities | $ | — | | | $ | 8,317,308 | | | $ | 3,449 | | | $ | 8,320,757 | | | | | | | | | | | Mortgage servicing rights | — | | | — | | | 3,015,643 | | | 3,015,643 | | | Mortgage loans held-for-sale | — | | | 9,888 | | | — | | | 9,888 | | | | | | | | | | | Derivative assets | 17,981 | | | 70,048 | | | 622 | | | 88,651 | | | | | | | | | | Total Assets | $ | 17,981 | | | $ | 8,397,244 | | | $ | 3,019,714 | | | $ | 11,434,939 | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative liabilities | $ | 2,701 | | | $ | — | | | $ | — | | | $ | 2,701 | | Total Liabilities | $ | 2,701 | | | $ | — | | | $ | — | | | $ | 2,701 | |
| | | | | | | | | | | | | | | | | | | | | | | | | Recurring Fair Value Measurements | | December 31, 2024 | | (in thousands) | Level 1 | | Level 2 | | Level 3 | | Total | | Assets: | | | | | | | | | Available-for-sale securities | $ | — | | | $ | 7,367,977 | | | $ | 3,734 | | | $ | 7,371,711 | | | | | | | | | | | Mortgage servicing rights | — | | | — | | | 2,994,271 | | | 2,994,271 | | | Mortgage loans held-for-sale | — | | | 2,334 | | | — | | | 2,334 | | | | | | | | | | | Derivative assets | 732 | | | 9,231 | | | 151 | | | 10,114 | | | | | | | | | | Total Assets | $ | 732 | | | $ | 7,379,542 | | | $ | 2,998,156 | | | $ | 10,378,430 | | | Liabilities: | | | | | | | | | | | | | | | | | Derivative liabilities | $ | 24,883 | | | $ | 1 | | | $ | 13 | | | $ | 24,897 | | Total Liabilities | $ | 24,883 | | | $ | 1 | | | $ | 13 | | | $ | 24,897 | |
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| Schedule of Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present a reconciliation of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Recurring Fair Value Measurements | | | Assets | | Liabilities | | | (in thousands) | Available-For-Sale Securities | | Mortgage Servicing Rights | | Interest Rate Lock Commitments | | Interest Rate Lock Commitments | | Level 3 fair value at March 31, 2025 | $ | 3,613 | | | $ | 2,959,773 | | | $ | 451 | | | $ | 1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gains (losses) included in net (loss) income | (63) | | (1) | 27,357 | | (2) | 171 | | (3) | (1) | | (3) | Net gains (losses) included in other comprehensive income (loss) | (101) | | | — | | | — | | | — | | | Purchases/additions | — | | | 91,764 | | | — | | | — | | | | Sales | — | | | — | | | — | | | — | | | | Settlements | — | | | (63,251) | | | — | | | — | | | | Gross transfers into level 3 | — | | | — | | | — | | | — | | | | Gross transfers out of level 3 | — | | | — | | | — | | | — | | | Level 3 fair value at June 30, 2025 | $ | 3,449 | | | $ | 3,015,643 | | | $ | 622 | | | $ | — | | | | | | | | | | | | Level 3 fair value at March 31, 2024 | $ | 3,953 | | | $ | 3,084,879 | | | $ | — | | | $ | — | | | Net gains (losses) included in net (loss) income | (182) | | (1) | 40,173 | | (2) | — | | (3) | — | | (3) | Net gains (losses) included in other comprehensive income (loss) | 171 | | | — | | | — | | | — | | | Purchases/additions | — | | | 3,353 | | | — | | | — | | | | Sales | — | | | — | | | — | | | — | | | | Settlements | — | | | (62,990) | | | — | | | — | | | | Gross transfers into level 3 | — | | | — | | | — | | | — | | | | Gross transfers out of level 3 | — | | | — | | | — | | | — | | | Level 3 fair value at June 30, 2024 | $ | 3,942 | | | $ | 3,065,415 | | | $ | — | | | $ | — | | | | | | | | | | | | Change in unrealized gains or losses for the period included in earnings for assets and liabilities held at: | | | | | | | | | June 30, 2025 | $ | — | | (1) | $ | 27,357 | | (2) | $ | 171 | | (3) | $ | (1) | | (3) | June 30, 2024 | $ | — | | (1) | $ | 40,173 | | (2) | $ | — | | (3) | $ | — | | (3) | Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets and liabilities held at: | | | | | | | | | June 30, 2025 | $ | (101) | | | $ | — | | | $ | — | | | $ | — | | | June 30, 2024 | $ | 171 | | | $ | — | | | $ | — | | | $ | — | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Recurring Fair Value Measurements | | | Assets | | Liabilities | | | (in thousands) | Available-For-Sale Securities | | Mortgage Servicing Rights | | Interest Rate Lock Commitments | | Interest Rate Lock Commitments | | Level 3 fair value at December 31, 2024 | $ | 3,734 | | | $ | 2,994,271 | | | $ | 151 | | | $ | 13 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net gains (losses) included in net (loss) income | (128) | | (1) | 43,373 | | (2) | 471 | | (3) | (13) | | (3) | Net gains (losses) included in other comprehensive income (loss) | (157) | | | — | | | — | | | — | | | Purchases/additions | — | | | 93,487 | | | — | | | — | | | | Sales | — | | | — | | | — | | | — | | | | Settlements | — | | | (115,488) | | | — | | | — | | | | Gross transfers into level 3 | — | | | — | | | — | | | — | | | | Gross transfers out of level 3 | — | | | — | | | — | | | — | | | Level 3 fair value at June 30, 2025 | $ | 3,449 | | | $ | 3,015,643 | | | $ | 622 | | | $ | — | | | | | | | | | | | | Level 3 fair value at December 31, 2023 | $ | 4,150 | | | $ | 3,052,016 | | | $ | — | | | $ | — | | | Net gains (losses) included in net (loss) income | (402) | | (1) | 99,953 | | (2) | — | | (3) | — | | (3) | Net gains (losses) included in other comprehensive income (loss) | 194 | | | — | | | — | | | — | | | Purchases/additions | — | | | 43,425 | | | — | | | — | | | | Sales | — | | | (18,221) | | | — | | | — | | | | Settlements | — | | | (111,758) | | | — | | | — | | | | Gross transfers into level 3 | — | | | — | | | — | | | — | | | | Gross transfers out of level 3 | — | | | — | | | — | | | — | | | Level 3 fair value at June 30, 2024 | $ | 3,942 | | | $ | 3,065,415 | | | $ | — | | | $ | — | | | | | | | | | | | | Change in unrealized gains or losses for the period included in earnings for assets and liabilities held at: | | | | | | | | | June 30, 2025 | $ | — | | (1) | $ | 43,373 | | (2) | $ | 471 | | (3) | $ | (13) | | (3) | June 30, 2024 | $ | — | | (1) | $ | 99,953 | | (2) | $ | — | | (3) | $ | — | | (3) | Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets and liabilities held at: | | | | | | | | | June 30, 2025 | $ | (157) | | | $ | — | | | $ | — | | | $ | — | | | June 30, 2024 | $ | 194 | | | $ | — | | | $ | — | | | $ | — | | |
____________________(1)Included in loss on investment securities on the consolidated statements of comprehensive (loss) income. (2)Included in loss on servicing asset on the consolidated statements of comprehensive (loss) income. (3)Included in gain (loss) on mortgage loans held-for-sale on the consolidated statements of comprehensive (loss) income.
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| Schedule of Fair Value Inputs, Assets, Quantitative Information |
The tables below present information about the significant unobservable market data used by management as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at June 30, 2025 and December 31, 2024: | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2025 | | | | Unobservable Input | | Range | | Weighted Average (1) | | | | Constant prepayment speed | | 4.7% | - | 31.8% | | | 6.4% | | | | | | | | | | | | | | | Option-adjusted spread | | 5.2% | - | 5.2% | | | 5.2% | | | | Per loan annual cost to service | | $65.00 | - | $73.88 | | | $65.03 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2024 | | | | Unobservable Input | | Range | | Weighted Average (1) | | | | Constant prepayment speed | | 5.2% | - | 29.3% | | | 6.3% | | | | | | | | | | | | | | | Option-adjusted spread | | 5.1% | - | 5.1% | | | 5.1% | | | | Per loan annual cost to service | | $65.00 | - | $73.88 | | | $65.02 | |
___________________ (1)Calculation for constant prepayment speed and per-loan annual cost to service utilizes underlying loan principal balance for weighting purposes. Calculation for OAS utilizes relative MSR market value for weighting purposes.
The Company determines the fair value of its Level 3 IRLCs based on valuation models that incorporate the estimated pull-through rate, which is considered a significant unobservable input. The tables below present information about the pull-through rates used in the valuation of IRLCs at June 30, 2025 and December 31, 2024: | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2025 | | | | Unobservable Input | | Range | | Weighted Average (1) | | | | Pull-through rate | | 46.5% | - | 100.0% | | | 76.3% | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2024 | | | | Unobservable Input | | Range | | Weighted Average (1) | | | | Pull-through rate | | 69.3% | - | 99.8% | | | 84.4% | |
___________________ (1)Calculation utilizes underlying loan principal balance for weighting purposes.
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| Schedule of Fair Value, by Balance Sheet Grouping |
The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2025 and December 31, 2024: | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2025 | | December 31, 2024 | | (in thousands) | Carrying Value | | Fair Value | | Carrying Value | | Fair Value | | Assets: | | | | | | | | | Available-for-sale securities | $ | 8,320,757 | | | $ | 8,320,757 | | | $ | 7,371,711 | | | $ | 7,371,711 | | | | | | | | | | | | | | | | | | | Mortgage servicing rights | $ | 3,015,643 | | | $ | 3,015,643 | | | $ | 2,994,271 | | | $ | 2,994,271 | | | Mortgage loans held-for-sale | $ | 9,888 | | | $ | 9,888 | | | $ | 2,334 | | | $ | 2,334 | | | | | | | | | | | Cash and cash equivalents | $ | 657,816 | | | $ | 657,816 | | | $ | 504,613 | | | $ | 504,613 | | | Restricted cash | $ | 140,481 | | | $ | 140,481 | | | $ | 313,028 | | | $ | 313,028 | | | Derivative assets | $ | 88,651 | | | $ | 88,651 | | | $ | 10,114 | | | $ | 10,114 | | | Reverse repurchase agreements | $ | 228,587 | | | $ | 228,587 | | | $ | 355,975 | | | $ | 355,975 | | | Other assets | $ | 31,283 | | | $ | 31,283 | | | $ | 31,283 | | | $ | 31,283 | | | Liabilities: | | | | | | | | | Repurchase agreements | $ | 8,782,622 | | | $ | 8,782,622 | | | $ | 7,805,057 | | | $ | 7,805,057 | | | | | | | | | | | | | | | | | | | Revolving credit facilities | $ | 1,011,871 | | | $ | 1,011,871 | | | $ | 1,020,171 | | | $ | 1,020,171 | | Warehouse lines of credit | $ | 9,275 | | | $ | 9,275 | | | $ | 2,032 | | | $ | 2,032 | | | | | | | | | | Senior notes | $ | 110,867 | | | $ | 117,760 | | | $ | — | | | $ | — | | | Convertible senior notes | $ | 260,944 | | | $ | 259,660 | | | $ | 260,229 | | | $ | 259,241 | | | Derivative liabilities | $ | 2,701 | | | $ | 2,701 | | | $ | 24,897 | | | $ | 24,897 | |
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