Fair Value (Tables)
|
6 Months Ended |
Jun. 30, 2025 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Summary of Financial Statement Items Measured at Fair Value on Recurring Basis |
Following is a summary of financial statement items that are measured at fair value on a recurring basis:
|
|
|
|
|
|
|
|
|
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|
|
|
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|
|
|
June 30, 2025 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
(in thousands) |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments |
|
$ |
108,586 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
108,586 |
|
Mortgage-backed securities |
|
|
— |
|
|
|
3,887,993 |
|
|
|
79,052 |
|
|
|
3,967,045 |
|
Loans acquired for sale |
|
|
— |
|
|
|
2,609,086 |
|
|
|
7,165 |
|
|
|
2,616,251 |
|
Loans held for investment |
|
|
— |
|
|
|
4,564,678 |
|
|
|
1,854 |
|
|
|
4,566,532 |
|
Derivative assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Call options on interest rate futures purchase contracts |
|
|
8,638 |
|
|
|
— |
|
|
|
— |
|
|
|
8,638 |
|
Put options on interest rate futures purchase contracts |
|
59 |
|
|
|
— |
|
|
|
— |
|
|
|
59 |
|
Forward purchase contracts |
|
|
— |
|
|
|
21,510 |
|
|
|
— |
|
|
|
21,510 |
|
Forward sale contracts |
|
|
— |
|
|
|
227 |
|
|
|
— |
|
|
|
227 |
|
Credit risk transfer derivatives |
|
|
— |
|
|
|
— |
|
|
|
31,147 |
|
|
|
31,147 |
|
Interest rate lock commitments |
|
|
— |
|
|
|
— |
|
|
|
6,666 |
|
|
|
6,666 |
|
Total derivative assets before netting |
|
|
8,697 |
|
|
|
21,737 |
|
|
|
37,813 |
|
|
|
68,247 |
|
Netting |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(16,321 |
) |
Total derivative assets after netting |
|
|
8,697 |
|
|
|
21,737 |
|
|
|
37,813 |
|
|
|
51,926 |
|
Derivative assets with PennyMac Financial Services, Inc |
|
|
— |
|
|
|
1,038 |
|
|
|
— |
|
|
|
1,038 |
|
Mortgage servicing rights |
|
|
— |
|
|
|
— |
|
|
|
3,739,106 |
|
|
|
3,739,106 |
|
|
|
$ |
117,283 |
|
|
$ |
11,084,532 |
|
|
$ |
3,864,990 |
|
|
$ |
15,050,484 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Interest-only security payable |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
36,553 |
|
|
$ |
36,553 |
|
Asset-backed financings of the variable interest entities |
|
|
— |
|
|
|
4,176,128 |
|
|
|
— |
|
|
|
4,176,128 |
|
Derivative and credit risk transfer strip liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Forward purchase contracts |
|
|
— |
|
|
|
16 |
|
|
|
— |
|
|
|
16 |
|
Forward sales contracts |
|
|
— |
|
|
|
75,443 |
|
|
|
— |
|
|
|
75,443 |
|
Interest rate lock commitments |
|
|
— |
|
|
|
— |
|
|
|
181 |
|
|
|
181 |
|
Total derivative liabilities before netting |
|
|
— |
|
|
|
75,459 |
|
|
|
181 |
|
|
|
75,640 |
|
Netting |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(72,645 |
) |
Total derivative liabilities after netting |
|
|
— |
|
|
|
75,459 |
|
|
|
181 |
|
|
|
2,995 |
|
Credit risk transfer strips |
|
|
— |
|
|
|
— |
|
|
|
10,479 |
|
|
|
10,479 |
|
Total derivative and credit risk transfer strip liabilities |
|
|
— |
|
|
|
75,459 |
|
|
|
10,660 |
|
|
|
13,474 |
|
|
|
$ |
— |
|
|
$ |
4,251,587 |
|
|
$ |
47,213 |
|
|
$ |
4,226,155 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2024 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
(in thousands) |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments |
|
$ |
103,198 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
103,198 |
|
Mortgage-backed securities |
|
|
— |
|
|
|
3,977,446 |
|
|
|
86,260 |
|
|
|
4,063,706 |
|
Loans acquired for sale |
|
|
— |
|
|
|
2,108,347 |
|
|
|
7,971 |
|
|
|
2,116,318 |
|
Loans held for investment |
|
|
— |
|
|
|
2,191,709 |
|
|
|
1,866 |
|
|
|
2,193,575 |
|
Derivative assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Call options on interest rate futures purchase contracts |
|
|
156 |
|
|
|
— |
|
|
|
— |
|
|
|
156 |
|
Put options on interest rate futures purchase contracts |
|
|
6,372 |
|
|
|
— |
|
|
|
— |
|
|
|
6,372 |
|
Forward purchase contracts |
|
|
— |
|
|
|
614 |
|
|
|
— |
|
|
|
614 |
|
Forward sale contracts |
|
|
— |
|
|
|
54,056 |
|
|
|
— |
|
|
|
54,056 |
|
MBS put options |
|
|
— |
|
|
|
2,114 |
|
|
|
— |
|
|
|
2,114 |
|
CRT derivatives |
|
|
— |
|
|
|
— |
|
|
|
29,377 |
|
|
|
29,377 |
|
Interest rate lock commitments |
|
|
— |
|
|
|
— |
|
|
|
3,562 |
|
|
|
3,562 |
|
Total derivative assets before netting |
|
|
6,528 |
|
|
|
56,784 |
|
|
|
32,939 |
|
|
|
96,251 |
|
Netting |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(39,411 |
) |
Total derivative assets after netting |
|
|
6,528 |
|
|
|
56,784 |
|
|
|
32,939 |
|
|
|
56,840 |
|
Mortgage servicing rights |
|
|
— |
|
|
|
— |
|
|
|
3,867,394 |
|
|
|
3,867,394 |
|
|
|
$ |
109,726 |
|
|
$ |
8,334,286 |
|
|
$ |
3,996,430 |
|
|
$ |
12,401,031 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Interest-only security payable |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
34,222 |
|
|
$ |
34,222 |
|
Asset-backed financings of the variable interest entities |
|
|
— |
|
|
|
2,040,375 |
|
|
|
— |
|
|
|
2,040,375 |
|
Derivative liabilities and credit risk transfer strips: |
|
|
|
|
|
|
|
|
|
|
|
|
Forward purchase contracts |
|
|
— |
|
|
|
6,336 |
|
|
|
— |
|
|
|
6,336 |
|
Forward sales contracts |
|
|
— |
|
|
|
1,753 |
|
|
|
— |
|
|
|
1,753 |
|
Interest rate lock commitments |
|
|
— |
|
|
|
— |
|
|
|
3,118 |
|
|
|
3,118 |
|
Total derivative liabilities before netting |
|
|
— |
|
|
|
8,089 |
|
|
|
3,118 |
|
|
|
11,207 |
|
Netting |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(7,916 |
) |
Total derivative liabilities after netting |
|
|
— |
|
|
|
8,089 |
|
|
|
3,118 |
|
|
|
3,291 |
|
Credit risk transfer strips |
|
|
— |
|
|
|
— |
|
|
|
4,060 |
|
|
|
4,060 |
|
Total derivative and credit risk transfer strip liabilities |
|
|
— |
|
|
|
8,089 |
|
|
|
7,178 |
|
|
|
7,351 |
|
|
|
$ |
— |
|
|
$ |
2,048,464 |
|
|
$ |
41,400 |
|
|
$ |
2,081,948 |
|
|
| Summary of Changes in Items Measured Using Level 3 Inputs on Recurring Basis |
The following is a summary of changes in items measured at fair value on a recurring basis using Level 3 inputs that are significant to the estimation of the fair values of the assets and liabilities at either the beginning or end of the periods presented:
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|
|
|
|
|
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|
|
|
|
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|
|
|
Quarter ended June 30, 2025 |
|
Assets (1) |
|
Interest-only stripped mortgage-backed securities |
|
|
Loans
acquired
for sale |
|
|
Loans
held for investment |
|
|
CRT
derivatives |
|
|
Interest rate
lock
commitments |
|
|
CRT
strips |
|
|
Mortgage
servicing
rights |
|
|
Total |
|
|
|
(in thousands) |
|
Balance, March 31, 2025 |
|
$ |
81,043 |
|
|
$ |
5,451 |
|
|
$ |
1,815 |
|
|
$ |
28,474 |
|
|
$ |
4,619 |
|
|
$ |
(15,885 |
) |
|
$ |
3,770,034 |
|
|
$ |
3,875,551 |
|
Purchases and issuances |
|
|
— |
|
|
|
3,103 |
|
|
|
— |
|
|
|
— |
|
|
|
3,553 |
|
|
|
— |
|
|
|
— |
|
|
|
6,656 |
|
Repayments and sales |
|
|
(4,524 |
) |
|
|
(1,540 |
) |
|
|
(20 |
) |
|
|
(2,702 |
) |
|
|
— |
|
|
|
(10,068 |
) |
|
|
— |
|
|
|
(18,854 |
) |
Accrual of unearned discounts |
|
|
2,165 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2,165 |
|
Amounts received pursuant to
sales of loans |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
44,030 |
|
|
|
44,030 |
|
Changes in fair value included in
results of operations arising from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in instrument - specific
credit risk |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other factors |
|
|
368 |
|
|
|
151 |
|
|
|
59 |
|
|
|
5,375 |
|
|
|
4,529 |
|
|
|
15,474 |
|
|
|
(75,128 |
) |
|
|
(49,172 |
) |
|
|
|
368 |
|
|
|
151 |
|
|
|
59 |
|
|
|
5,375 |
|
|
|
4,529 |
|
|
|
15,474 |
|
|
|
(75,128 |
) |
|
|
(49,172 |
) |
Transfers of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate lock commitments to
loans acquired for sale (2) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(6,216 |
) |
|
|
— |
|
|
|
— |
|
|
|
(6,216 |
) |
Mortgage servicing rights relating
to delinquent loans to Agency |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
170 |
|
|
|
170 |
|
Balance, June 30, 2025 |
|
$ |
79,052 |
|
|
$ |
7,165 |
|
|
$ |
1,854 |
|
|
$ |
31,147 |
|
|
$ |
6,485 |
|
|
$ |
(10,479 |
) |
|
$ |
3,739,106 |
|
|
$ |
3,854,330 |
|
Changes in fair value recognized
during the quarter relating to
assets still held at June 30, 2025 |
|
$ |
368 |
|
|
$ |
(96 |
) |
|
$ |
58 |
|
|
$ |
2,743 |
|
|
$ |
6,485 |
|
|
$ |
5,524 |
|
|
$ |
(75,128 |
) |
|
$ |
(60,046 |
) |
(1)For the purpose of this table, CRT derivative, interest rate lock commitment (“IRLC”), and CRT strip asset and liability positions are shown net. (2)The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale upon purchase of the respective loans.
|
|
|
|
|
Liabilities |
|
Quarter ended June 30, 2025 |
|
|
|
(in thousands) |
|
Interest-only security payable: |
|
|
|
Balance, March 31, 2025 |
|
$ |
35,954 |
|
Changes in fair value included in results of operations arising from: |
|
|
|
Changes in instrument - specific credit risk |
|
|
— |
|
Other factors |
|
|
599 |
|
|
|
|
599 |
|
Balance, June 30, 2025 |
|
$ |
36,553 |
|
Changes in fair value recognized during the quarter relating
to liability outstanding at June 30, 2025 |
|
$ |
599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended June 30, 2024 |
|
Assets (1) |
|
Interest-only stripped mortgage-backed securities |
|
|
Loans
acquired
for sale |
|
|
Loans
held for investment |
|
|
CRT
derivatives |
|
|
Interest
rate lock
commitments |
|
|
CRT
strips |
|
|
Mortgage
servicing
rights |
|
|
Total |
|
|
|
(in thousands) |
|
Balance, March 31, 2024 |
|
$ |
94,667 |
|
|
$ |
5,096 |
|
|
$ |
2,034 |
|
|
$ |
22,899 |
|
|
$ |
4,845 |
|
|
$ |
(17,352 |
) |
|
$ |
3,951,737 |
|
|
$ |
4,063,926 |
|
Purchases and issuances (purchase
adjustment) |
|
|
— |
|
|
|
4,013 |
|
|
|
— |
|
|
|
— |
|
|
|
4,760 |
|
|
|
— |
|
|
|
(13 |
) |
|
|
8,760 |
|
Repayments and sales |
|
|
(4,984 |
) |
|
|
(1,018 |
) |
|
|
(32 |
) |
|
|
(3,633 |
) |
|
|
— |
|
|
|
(11,693 |
) |
|
|
— |
|
|
|
(21,360 |
) |
Accrual of unearned discount |
|
|
2,390 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2,390 |
|
Amounts received pursuant to
sales of loans |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
40,619 |
|
|
|
40,619 |
|
Changes in fair value included in
results of operations arising from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in instrument -
specific credit risk |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other factors |
|
|
(4,232 |
) |
|
|
(97 |
) |
|
|
(4 |
) |
|
|
5,039 |
|
|
|
(4,147 |
) |
|
|
12,071 |
|
|
|
(50,556 |
) |
|
|
(41,926 |
) |
|
|
|
(4,232 |
) |
|
|
(97 |
) |
|
|
(4 |
) |
|
|
5,039 |
|
|
|
(4,147 |
) |
|
|
12,071 |
|
|
|
(50,556 |
) |
|
|
(41,926 |
) |
Transfers of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate lock commitments
to loans acquired for sale (2) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(3,906 |
) |
|
|
— |
|
|
|
— |
|
|
|
(3,906 |
) |
Mortgage servicing rights relating
to delinquent loans to Agency |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
74 |
|
|
|
74 |
|
Balance, June 30, 2024 |
|
$ |
87,841 |
|
|
$ |
7,994 |
|
|
$ |
1,998 |
|
|
$ |
24,305 |
|
|
$ |
1,552 |
|
|
$ |
(16,974 |
) |
|
$ |
3,941,861 |
|
|
$ |
4,048,577 |
|
Changes in fair value recognized
during the quarter relating to
assets still held at June 30, 2024 |
|
$ |
(4,232 |
) |
|
$ |
(112 |
) |
|
$ |
(11 |
) |
|
$ |
5,039 |
|
|
$ |
1,552 |
|
|
$ |
378 |
|
|
$ |
(50,556 |
) |
|
$ |
(47,942 |
) |
(1)For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2)The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale upon purchase of the respective loans.
|
|
|
|
|
Liabilities |
|
Quarter ended June 30, 2024 |
|
|
|
(in thousands) |
|
Interest-only security payable: |
|
|
|
Balance, March 31, 2024 |
|
$ |
32,227 |
|
Changes in fair value included in income arising from: |
|
|
|
Changes in instrument - specific credit risk |
|
|
— |
|
Other factors |
|
|
481 |
|
|
|
|
481 |
|
Balance, June 30, 2024 |
|
$ |
32,708 |
|
Changes in fair value recognized during the quarter relating
to liability outstanding at June 30, 2024 |
|
$ |
481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, 2025 |
|
Assets (1) |
|
Interest-only stripped mortgage-backed securities |
|
|
Loans
acquired
for sale |
|
|
Loans
held for investment |
|
|
CRT
derivatives |
|
|
Interest rate
lock
commitments |
|
|
CRT
strips |
|
|
Mortgage
servicing
rights |
|
|
Total |
|
|
|
(in thousands) |
|
Balance, December 31, 2024 |
|
$ |
86,260 |
|
|
$ |
7,971 |
|
|
$ |
1,866 |
|
|
$ |
29,377 |
|
|
$ |
444 |
|
|
$ |
(4,060 |
) |
|
$ |
3,867,394 |
|
|
$ |
3,989,252 |
|
Purchases and issuances |
|
|
— |
|
|
|
3,131 |
|
|
|
— |
|
|
|
— |
|
|
|
8,152 |
|
|
|
— |
|
|
|
— |
|
|
|
11,283 |
|
Repayments and sales |
|
|
(9,160 |
) |
|
|
(4,218 |
) |
|
|
(40 |
) |
|
|
(5,585 |
) |
|
|
— |
|
|
|
(19,845 |
) |
|
|
— |
|
|
|
(38,848 |
) |
Accrual of unearned discounts |
|
|
4,450 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,450 |
|
Amounts received pursuant to
sales of loans |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
91,039 |
|
|
|
91,039 |
|
Changes in fair value included in results
of operations arising from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in instrument - specific
credit risk |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other factors |
|
|
(2,498 |
) |
|
|
281 |
|
|
|
28 |
|
|
|
7,355 |
|
|
|
11,920 |
|
|
|
13,426 |
|
|
|
(219,718 |
) |
|
|
(189,206 |
) |
|
|
|
(2,498 |
) |
|
|
281 |
|
|
|
28 |
|
|
|
7,355 |
|
|
|
11,920 |
|
|
|
13,426 |
|
|
|
(219,718 |
) |
|
|
(189,206 |
) |
Transfers of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate lock commitments to
loans acquired for sale (2) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(14,031 |
) |
|
|
— |
|
|
|
— |
|
|
|
(14,031 |
) |
Mortgage servicing rights relating to
delinquent loans to Agency |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
391 |
|
|
|
391 |
|
Balance, June 30, 2025 |
|
$ |
79,052 |
|
|
$ |
7,165 |
|
|
$ |
1,854 |
|
|
$ |
31,147 |
|
|
$ |
6,485 |
|
|
$ |
(10,479 |
) |
|
$ |
3,739,106 |
|
|
$ |
3,854,330 |
|
Changes in fair value recognized during
the period relating to assets still held
at June 30, 2025 |
|
$ |
(2,498 |
) |
|
$ |
(56 |
) |
|
$ |
27 |
|
|
$ |
1,920 |
|
|
$ |
6,485 |
|
|
$ |
(6,301 |
) |
|
$ |
(219,718 |
) |
|
$ |
(220,141 |
) |
(1)For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2)The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale upon purchase of the respective loans.
|
|
|
|
|
Liabilities |
|
Six months ended June 30, 2025 |
|
|
|
(in thousands) |
|
Interest-only security payable: |
|
|
|
Balance, December 31, 2024 |
|
$ |
34,222 |
|
Changes in fair value included in results of operations arising from: |
|
|
|
Changes in instrument - specific credit risk |
|
|
— |
|
Other factors |
|
|
2,331 |
|
|
|
|
2,331 |
|
Balance, June 30, 2025 |
|
$ |
36,553 |
|
Changes in fair value recognized during the period relating
to liability outstanding at June 30, 2025 |
|
$ |
2,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, 2024 |
|
Assets (1) |
|
Interest-only stripped mortgage-backed securities |
|
|
Loans
acquired
for sale |
|
|
Loans
held for investment |
|
|
CRT
derivatives |
|
|
Interest
rate lock
commitments |
|
|
CRT strips |
|
|
Mortgage
servicing
rights |
|
|
Total |
|
|
|
(in thousands) |
|
Balance, December 31, 2023 |
|
$ |
94,231 |
|
|
$ |
6,318 |
|
|
$ |
2,131 |
|
|
$ |
16,160 |
|
|
$ |
7,532 |
|
|
$ |
(46,692 |
) |
|
$ |
3,919,107 |
|
|
$ |
3,998,787 |
|
Purchases and issuances |
|
|
— |
|
|
|
5,497 |
|
|
|
— |
|
|
|
— |
|
|
|
7,871 |
|
|
|
— |
|
|
|
29,428 |
|
|
|
42,796 |
|
Repayments and sales |
|
|
(10,054 |
) |
|
|
(3,676 |
) |
|
|
(91 |
) |
|
|
(7,084 |
) |
|
|
— |
|
|
|
(23,378 |
) |
|
|
— |
|
|
|
(44,283 |
) |
Accrual of unearned discount |
|
|
4,606 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
4,606 |
|
Amounts received pursuant to
sales of loans |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
71,868 |
|
|
|
71,868 |
|
Changes in fair value included in results
of operations arising from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Changes in instrument -
specific credit risk |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Other factors |
|
|
(942 |
) |
|
|
(145 |
) |
|
|
(42 |
) |
|
|
15,229 |
|
|
|
(5,002 |
) |
|
|
53,096 |
|
|
|
(78,758 |
) |
|
|
(16,564 |
) |
|
|
|
(942 |
) |
|
|
(145 |
) |
|
|
(42 |
) |
|
|
15,229 |
|
|
|
(5,002 |
) |
|
|
53,096 |
|
|
|
(78,758 |
) |
|
|
(16,564 |
) |
Transfers of: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
|
Interest rate lock commitments
to loans acquired for sale (2) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(8,849 |
) |
|
|
— |
|
|
|
— |
|
|
|
(8,849 |
) |
Mortgage servicing rights relating to
delinquent loans to Agency |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
216 |
|
|
|
216 |
|
Balance, June 30, 2024 |
|
$ |
87,841 |
|
|
$ |
7,994 |
|
|
$ |
1,998 |
|
|
$ |
24,305 |
|
|
$ |
1,552 |
|
|
$ |
(16,974 |
) |
|
$ |
3,941,861 |
|
|
$ |
4,048,577 |
|
Changes in fair value recognized during
the period relating to assets still held
at June 30, 2024 |
|
$ |
(942 |
) |
|
$ |
(199 |
) |
|
$ |
(52 |
) |
|
$ |
8,256 |
|
|
$ |
1,552 |
|
|
$ |
29,718 |
|
|
$ |
(78,758 |
) |
|
$ |
(40,425 |
) |
(1)For the purpose of this table, CRT derivative, IRLC, and CRT strip asset and liability positions are shown net. (2)The Company had transfers among the fair value levels arising from transfers of IRLCs to loans acquired for sale upon purchase of the respective loans.
|
|
|
|
|
Liabilities |
|
Six months ended June 30, 2024 |
|
|
|
(in thousands) |
|
Interest-only security payable: |
|
|
|
Balance, December 31, 2023 |
|
$ |
32,667 |
|
Changes in fair value included in income arising from: |
|
|
|
Changes in instrument - specific credit risk |
|
|
— |
|
Other factors |
|
|
41 |
|
|
|
|
41 |
|
Balance, June 30, 2024 |
|
$ |
32,708 |
|
Changes in fair value recognized during the period relating
to liability outstanding at June 30, 2024 |
|
$ |
41 |
|
|
| Fair Values and Related Principal Amounts Due upon Maturity of Mortgage Loans Accounted for Under Fair Value Option |
Following are the fair values and related principal amounts due upon maturity of loans accounted for under the fair value option (including loans acquired for sale, loans held in consolidated VIEs, and distressed loans):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
|
|
Fair value |
|
|
Principal
amount due
upon maturity |
|
|
Difference |
|
|
Fair value |
|
|
Principal
amount due
upon maturity |
|
|
Difference |
|
|
|
(in thousands) |
|
Loans acquired for sale: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current through 89 days delinquent |
|
$ |
2,614,499 |
|
|
$ |
2,550,108 |
|
|
$ |
64,391 |
|
|
$ |
2,114,556 |
|
|
$ |
2,092,030 |
|
|
$ |
22,526 |
|
90 or more days delinquent: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Not in foreclosure |
|
|
910 |
|
|
|
941 |
|
|
|
(31 |
) |
|
|
1,687 |
|
|
|
2,114 |
|
|
|
(427 |
) |
In foreclosure |
|
|
842 |
|
|
|
1,002 |
|
|
|
(160 |
) |
|
|
75 |
|
|
|
96 |
|
|
|
(21 |
) |
|
|
|
1,752 |
|
|
|
1,943 |
|
|
|
(191 |
) |
|
|
1,762 |
|
|
|
2,210 |
|
|
|
(448 |
) |
|
|
$ |
2,616,251 |
|
|
$ |
2,552,051 |
|
|
$ |
64,200 |
|
|
$ |
2,116,318 |
|
|
$ |
2,094,240 |
|
|
$ |
22,078 |
|
Loans held for investment: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Held in consolidated VIEs: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current through 89 days delinquent |
|
$ |
4,563,339 |
|
|
$ |
4,646,273 |
|
|
$ |
(82,934 |
) |
|
$ |
2,190,432 |
|
|
$ |
2,413,214 |
|
|
$ |
(222,782 |
) |
90 or more days delinquent: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Not in foreclosure |
|
|
1,339 |
|
|
|
1,635 |
|
|
|
(296 |
) |
|
|
1,277 |
|
|
|
1,658 |
|
|
|
(381 |
) |
In foreclosure |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
1,339 |
|
|
|
1,635 |
|
|
|
(296 |
) |
|
|
1,277 |
|
|
|
1,658 |
|
|
|
(381 |
) |
|
|
|
4,564,678 |
|
|
|
4,647,908 |
|
|
|
(83,230 |
) |
|
|
2,191,709 |
|
|
|
2,414,872 |
|
|
|
(223,163 |
) |
Distressed: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Current through 89 days delinquent |
|
|
423 |
|
|
|
567 |
|
|
|
(144 |
) |
|
|
445 |
|
|
|
595 |
|
|
|
(150 |
) |
90 or more days delinquent: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Not in foreclosure |
|
|
1,242 |
|
|
|
3,245 |
|
|
|
(2,003 |
) |
|
|
1,421 |
|
|
|
3,796 |
|
|
|
(2,375 |
) |
In foreclosure |
|
|
189 |
|
|
|
539 |
|
|
|
(350 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
1,431 |
|
|
|
3,784 |
|
|
|
(2,353 |
) |
|
|
1,421 |
|
|
|
3,796 |
|
|
|
(2,375 |
) |
|
|
|
1,854 |
|
|
|
4,351 |
|
|
|
(2,497 |
) |
|
|
1,866 |
|
|
|
4,391 |
|
|
|
(2,525 |
) |
|
|
$ |
4,566,532 |
|
|
$ |
4,652,259 |
|
|
$ |
(85,727 |
) |
|
$ |
2,193,575 |
|
|
$ |
2,419,263 |
|
|
$ |
(225,688 |
) |
|
| Summary of Changes in Fair Value Included in Current Period Results of Operations |
Following are the changes in fair value included in current period results of operations by consolidated statement of operations line item for financial statement items accounted for under the fair value option:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended June 30, 2025 |
|
|
|
Net gains (losses) on investments and financings |
|
|
Net gains on loans acquired
for sale |
|
|
Net loan
servicing fees |
|
|
Net interest
expense |
|
|
Total |
|
|
|
(in thousands) |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities |
|
$ |
14,564 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
7,582 |
|
|
$ |
22,146 |
|
Loans acquired for sale |
|
|
— |
|
|
|
34,080 |
|
|
|
— |
|
|
|
— |
|
|
|
34,080 |
|
Loans held for investment |
|
|
13,659 |
|
|
|
— |
|
|
|
— |
|
|
|
(3,488 |
) |
|
|
10,171 |
|
Credit risk transfer strips |
|
|
15,474 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
15,474 |
|
Mortgage servicing rights |
|
|
— |
|
|
|
— |
|
|
|
(75,128 |
) |
|
|
— |
|
|
|
(75,128 |
) |
|
|
$ |
43,697 |
|
|
$ |
34,080 |
|
|
$ |
(75,128 |
) |
|
$ |
4,094 |
|
|
$ |
6,743 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-only security payable |
|
$ |
(599 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(599 |
) |
Asset-backed financings of VIEs |
|
|
(14,793 |
) |
|
|
— |
|
|
|
— |
|
|
|
505 |
|
|
|
(14,288 |
) |
|
|
$ |
(15,392 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
505 |
|
|
$ |
(14,887 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended June 30, 2024 |
|
|
|
Net gains (losses) on investments and financings |
|
|
Net gains on loans acquired
for sale |
|
|
Net loan
servicing fees |
|
|
Net interest
expense |
|
|
Total |
|
|
|
(in thousands) |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities |
|
$ |
(34,925 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
6,586 |
|
|
$ |
(28,339 |
) |
Loans acquired for sale |
|
|
— |
|
|
|
1,969 |
|
|
|
— |
|
|
|
— |
|
|
|
1,969 |
|
Loans held for investment |
|
|
(2,742 |
) |
|
|
— |
|
|
|
— |
|
|
|
(605 |
) |
|
|
(3,347 |
) |
Credit risk transfer strips |
|
|
12,071 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
12,071 |
|
Mortgage servicing rights |
|
|
— |
|
|
|
— |
|
|
|
(50,556 |
) |
|
|
— |
|
|
|
(50,556 |
) |
|
|
$ |
(25,596 |
) |
|
$ |
1,969 |
|
|
$ |
(50,556 |
) |
|
$ |
5,981 |
|
|
$ |
(68,202 |
) |
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-only security payable |
|
$ |
(481 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(481 |
) |
Asset-backed financings of VIEs |
|
|
1,295 |
|
|
|
— |
|
|
|
— |
|
|
|
(604 |
) |
|
|
691 |
|
|
|
$ |
814 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(604 |
) |
|
$ |
210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, 2025 |
|
|
|
Net gains (losses) on investments and financings |
|
|
Net gains on loans acquired
for sale |
|
|
Net loan
servicing fees |
|
|
Net interest
expense |
|
|
Total |
|
|
|
(in thousands) |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities |
|
$ |
79,419 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
17,652 |
|
|
$ |
97,071 |
|
Loans acquired for sale |
|
|
— |
|
|
|
80,591 |
|
|
|
— |
|
|
|
— |
|
|
|
80,591 |
|
Loans held for investment |
|
|
42,340 |
|
|
|
— |
|
|
|
— |
|
|
|
(4,175 |
) |
|
|
38,165 |
|
Credit risk transfer strips |
|
|
13,426 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
13,426 |
|
Mortgage servicing rights |
|
|
— |
|
|
|
— |
|
|
|
(219,718 |
) |
|
|
— |
|
|
|
(219,718 |
) |
|
|
$ |
135,185 |
|
|
$ |
80,591 |
|
|
$ |
(219,718 |
) |
|
$ |
13,477 |
|
|
$ |
9,535 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-only security payable |
|
$ |
(2,331 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(2,331 |
) |
Asset-backed financings of VIEs |
|
|
(44,216 |
) |
|
|
— |
|
|
|
— |
|
|
|
1,873 |
|
|
|
(42,343 |
) |
|
|
$ |
(46,547 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,873 |
|
|
$ |
(44,674 |
) |
|
| Summary of Carrying Value of Financial Statement Items Remeasured Based on Fair Value on Nonrecurring Basis |
Following is a summary of the carrying value of assets that were remeasured during the period based on fair value on a nonrecurring basis:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real estate acquired in settlement of loans |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
(in thousands) |
|
June 30, 2025 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
271 |
|
|
$ |
271 |
|
December 31, 2024 |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
532 |
|
|
$ |
532 |
|
|
| Summary of Changes in Fair Value Recognized in Assets that Remeasured at Fair Value on a Nonrecurring Basis |
The following table summarizes the fair value changes recognized during the period on assets held at period end that were remeasured at fair value on a nonrecurring basis:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended June 30, |
|
|
Six months ended June 30, |
|
|
|
2025 |
|
|
2024 |
|
|
2025 |
|
|
2024 |
|
|
|
(in thousands) |
|
Real estate acquired in settlement of loans |
|
$ |
(14 |
) |
|
$ |
(246 |
) |
|
$ |
(50 |
) |
|
$ |
(150 |
) |
|
| Carrying and Fair Values of Notes Payable Secured by Credit Risk Transfer and Mortgage Servicing Rights and Exchangeable Senior Notes |
The fair values and carrying values of these liabilities are summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
Instrument |
|
Carrying value |
|
|
Fair value |
|
|
Carrying value |
|
|
Fair value |
|
|
|
(in thousands) |
|
Notes payable secured by credit risk transfer
and mortgage servicing assets |
|
$ |
2,666,133 |
|
|
$ |
2,685,857 |
|
|
$ |
2,929,790 |
|
|
$ |
2,944,956 |
|
Unsecured senior notes |
|
$ |
875,225 |
|
|
$ |
894,341 |
|
|
$ |
605,860 |
|
|
$ |
606,185 |
|
|
| Key Inputs Used in Determining Fair Value of IO Securities |
Following are the key inputs used in determining the fair value of IO stripped MBS:
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
Fair value (in thousands) |
|
$ |
79,052 |
|
|
$ |
86,260 |
|
Key inputs (1) |
|
|
|
|
|
|
Pricing spread (2) |
|
|
|
|
|
|
Range |
|
5.9% – 6.5% |
|
|
5.9% – 6.5% |
|
Weighted average |
|
6.5% |
|
|
6.5% |
|
Annual total prepayment speed (3) |
|
|
|
|
|
|
Range |
|
10.6% – 11.9% |
|
|
9.4% – 10.2% |
|
Weighted average |
|
10.6% |
|
|
9.4% |
|
Equivalent life (in years) |
|
|
|
|
|
|
Range |
|
4.3 – 7.5 |
|
|
4.6 – 8.0 |
|
Weighted average |
|
7.5 |
|
|
7.9 |
|
(1)Weighted-average inputs are based on the UPB of the underlying loans. (2)Pricing spread represents a margin that is applied to a reference forward rate to develop periodic discount rates. The Company uses the pricing spread over a derived United States Treasury Securities (“Treasury”) yield curve for the purpose of discounting cash flows relating to IO stripped MBS. (3)Prepayment speed is measured using life total Conditional Prepayment Rate (“CPR”). Equivalent life is provided as supplementary information.
|
| Quantitative Summary of Key Unobservable Inputs Used in Valuation of CRT Derivatives |
Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of broker-provided fair values for CRT derivatives:
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
|
|
(dollars in thousands) |
|
Fair value |
|
$ |
31,147 |
|
|
$ |
29,377 |
|
UPB of loans in reference pools |
|
$ |
4,731,905 |
|
|
$ |
4,961,644 |
|
Key inputs (1) |
|
|
|
|
|
|
Discount rate |
|
|
|
|
|
|
Range |
|
8.7% – 18.7% |
|
|
9.0% – 11.4% |
|
Weighted average |
|
8.9% |
|
|
9.3% |
|
Voluntary prepayment speed (2) |
|
|
|
|
|
|
Range |
|
6.8% – 8.3% |
|
|
7.0% – 7.6% |
|
Weighted average |
|
7.2% |
|
|
7.3% |
|
Involuntary prepayment speed (3) |
|
|
|
|
|
|
Range |
|
0.1% – 0.3% |
|
|
0.1% – 0.2% |
|
Weighted average |
|
0.1% |
|
|
0.1% |
|
Remaining loss expectation |
|
|
|
|
|
|
Range |
|
0.0% – 0.1% |
|
|
0.0% – 0.2% |
|
Weighted average |
|
0.1% |
|
|
0.1% |
|
(1)Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2)Voluntary prepayment speed is measured using life voluntary CPR. (3)Involuntary prepayment speed is measured using life involuntary CPR.
|
| Quantitative Summary of Key Unobservable Inputs Used in Valuation of Interest Rate Lock Commitments |
Following is a quantitative summary of key unobservable inputs used in the valuation of IRLCs:
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
Fair value (in thousands) (1) |
|
$ |
6,485 |
|
|
$ |
444 |
|
Committed amount (in thousands) |
|
$ |
936,725 |
|
|
$ |
1,166,566 |
|
Key inputs (2) |
|
|
|
|
|
|
Pull-through rate |
|
|
|
|
|
|
Range |
|
56.7% – 100% |
|
|
51.0% – 98.0% |
|
Weighted average |
|
88.6% |
|
|
86.3% |
|
MSR fair value expressed as |
|
|
|
|
|
|
Servicing fee multiple |
|
|
|
|
|
|
Range |
|
1.5 – 8.2 |
|
|
2.6 – 7.8 |
|
Weighted average |
|
5.6 |
|
|
5.7 |
|
Percentage of unpaid principal balance |
|
|
|
|
|
|
Range |
|
0.4% – 2.7% |
|
|
0.6% – 2.7% |
|
Weighted average |
|
1.7% |
|
|
1.9% |
|
(1)For purposes of this table, IRLC asset and liability positions are shown net. (2)Weighted-average inputs are based on the committed amounts.
|
| Summary of Key Unobservable Inputs Used in Valuation of Credit Risk Transfer Strip Liabilities |
Following is a quantitative summary of key unobservable inputs used in the Company’s review and approval of the broker-provided fair values used to derive the fair value of the CRT strip liabilities:
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
|
|
(dollars in thousands) |
|
Fair value |
|
$ |
10,479 |
|
|
$ |
4,060 |
|
Unpaid principal balance of loans in the reference pools |
|
$ |
15,624,260 |
|
|
$ |
16,287,660 |
|
Key inputs (1) |
|
|
|
|
|
|
Discount rate |
|
|
|
|
|
|
Range |
|
6.1% – 8.8% |
|
|
7.1% – 9.1% |
|
Weighted average |
|
8.4% |
|
|
8.8% |
|
Voluntary prepayment speed (2) |
|
|
|
|
|
|
Range |
|
6.9% – 7.5% |
|
|
6.9% – 7.5% |
|
Weighted average |
|
7.0% |
|
|
7.0% |
|
Involuntary prepayment speed (3) |
|
|
|
|
|
|
Range |
|
0.1% – 0.3% |
|
|
0.1% – 0.3% |
|
Weighted average |
|
0.1% |
|
|
0.1% |
|
Remaining loss expectation |
|
|
|
|
|
|
Range |
|
0.4% – 1.5% |
|
|
0.4% – 1.5% |
|
Weighted average |
|
0.5% |
|
|
0.5% |
|
(1)Weighted average inputs are based on fair value amounts of the CRT arrangements, except for remaining loss expectation which is based on the UPB of the loans in the reference pools. (2)Voluntary prepayment speed is measured using life voluntary CPR. (3)Involuntary prepayment speed is measured using life involuntary CPR.
|
| Key Assumptions Used in Determining Fair Value of MSRs at Time of Initial Recognition |
Following are the key inputs used in determining the fair value of MSRs at the time of initial recognition:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarter ended June 30, |
|
|
Six months ended June 30, |
|
|
|
2025 |
|
|
2024 |
|
|
2025 |
|
|
2024 |
|
MSRs recognized (in thousands) |
|
$ |
44,030 |
|
|
$ |
40,619 |
|
|
$ |
91,039 |
|
|
$ |
71,868 |
|
Unpaid principal balance of underlying loans (in thousands) |
|
$ |
2,350,978 |
|
|
$ |
2,242,511 |
|
|
$ |
4,945,616 |
|
|
$ |
4,073,529 |
|
Weighted average annual servicing fee rate (in basis points) |
|
32 |
|
|
35 |
|
|
32 |
|
|
35 |
|
Key inputs (1) |
|
|
|
|
|
|
|
|
|
|
|
|
Prepayment speed (2) |
|
|
|
|
|
|
|
|
|
|
|
|
Range |
|
9.4% – 15.5% |
|
|
10.8% – 17.8% |
|
|
9.4% – 15.5% |
|
|
10.8% – 17.8% |
|
Weighted average |
|
9.6% |
|
|
11.5% |
|
|
9.7% |
|
|
12.4% |
|
Equivalent average life (in years) |
|
|
|
|
|
|
|
|
|
|
|
|
Range |
|
3.8 – 8.2 |
|
|
3.4 – 7.2 |
|
|
3.7 – 8.2 |
|
|
3.4 – 7.2 |
|
Weighted average |
|
8.1 |
|
|
7.1 |
|
|
8.0 |
|
|
6.8 |
|
Pricing spread (3) |
|
|
|
|
|
|
|
|
|
|
|
|
Range |
|
5.2% – 7.3% |
|
|
5.9% – 8.1% |
|
|
5.2% – 7.3% |
|
|
5.5% – 8.5% |
|
Weighted average |
|
5.3% |
|
|
6.0% |
|
|
5.4% |
|
|
5.8% |
|
Annual per-loan cost of servicing |
|
|
|
|
|
|
|
|
|
|
|
|
Range |
|
$69 – $87 |
|
|
$69 – $87 |
|
|
$68 – $87 |
|
|
$69 – $87 |
|
Weighted average |
|
$69 |
|
|
$69 |
|
|
$69 |
|
|
$70 |
|
(1)Weighted average inputs are based on UPB of the underlying loans. (2)Prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3)The Company uses the pricing spread over a derived Treasury yield curve for the purpose of discounting cash flows relating to MSRs.
|
| Quantitative Summary of Key Assumptions Used in Valuation of MSRs as of Dates Presented, and Effect on Estimated Fair Value from Adverse Changes in Those Inputs |
Following is a quantitative summary of key inputs used in the valuation of MSRs as of the dates presented, and the effect on the fair value from adverse changes in those inputs:
|
|
|
|
|
|
|
|
|
|
|
June 30, 2025 |
|
|
December 31, 2024 |
|
Fair value (in thousands) |
|
$ |
3,739,106 |
|
|
$ |
3,867,394 |
|
Unpaid principal balance of underlying loans (in thousands) |
|
$ |
221,632,326 |
|
|
$ |
226,237,613 |
|
Weighted average annual servicing fee rate (in basis points) |
|
27 |
|
|
27 |
|
Weighted average note interest rate |
|
3.9% |
|
|
3.8% |
|
Key inputs (1) |
|
|
|
|
|
|
Prepayment speed (2) |
|
|
|
|
|
|
Range |
|
7.1% – 18.5% |
|
|
6.5% – 17.7% |
|
Weighted average |
|
7.3% |
|
|
6.7% |
|
Equivalent average life (in years) |
|
|
|
|
|
|
Range |
|
2.3 – 8.7 |
|
|
2.4 – 8.9 |
|
Weighted average |
|
8.3 |
|
|
8.6 |
|
Effect on fair value (in thousands) of (3): |
|
|
|
|
|
|
5% adverse change |
|
$(54,493) |
|
|
$(51,798) |
|
10% adverse change |
|
$(107,260) |
|
|
$(102,010) |
|
20% adverse change |
|
$(207,940) |
|
|
$(197,970) |
|
Pricing spread (4) |
|
|
|
|
|
|
Range |
|
5.4% – 8.1% |
|
|
5.4% – 8.1% |
|
Weighted average |
|
5.4% |
|
|
5.4% |
|
Effect on fair value (in thousands) of (3): |
|
|
|
|
|
|
5% adverse change |
|
$(46,780) |
|
|
$(47,568) |
|
10% adverse change |
|
$(92,450) |
|
|
$(94,018) |
|
20% adverse change |
|
$(180,597) |
|
|
$(183,710) |
|
Annual per-loan cost of servicing |
|
|
|
|
|
|
Range |
|
$69 – $89 |
|
|
$69 – $89 |
|
Weighted average |
|
$69 |
|
|
$69 |
|
Effect on fair value (in thousands) of (3): |
|
|
|
|
|
|
5% adverse change |
|
$(16,355) |
|
|
$(16,645) |
|
10% adverse change |
|
$(32,710) |
|
|
$(33,291) |
|
20% adverse change |
|
$(65,421) |
|
|
$(66,582) |
|
(1)Weighted-average inputs are based on the UPB of the underlying loans. (2)Prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information. (3)These sensitivity analyses are limited in that they were performed as of a particular date; only account for the estimated effect of the movements in the indicated inputs; do not incorporate changes in those inputs in relation to other inputs; are subject to the accuracy of the models and inputs used; and do not incorporate other factors that would affect the Company’s overall financial performance in such events, including operational adjustments to account for changing circumstances. For these reasons, these analyses should not be viewed as earnings forecasts. (4)The Company uses a pricing spread over a derived Treasury yield curve for the purpose of discounting cash flows relating to MSRs.
|