Fair Value (Tables)

6 Months Ended

Jun. 30, 2026

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:


	June 30, 2026
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	195,612	$	—	$	—	$	195,612
Mortgage-backed securities		—		4,006,726		68,934		4,075,660
Loans held for sale		—		3,193,032		2,311		3,195,343
Loans held for investment		—		12,456,657		1,592		12,458,249
Derivative assets with nonaffiliates:
Put options on interest rate futures purchase contracts		6,410		—		—		6,410
Forward purchase contracts		—		500		—		500
Forward sale contracts		—		3,769		—		3,769
Swaptions		—		14,091		—		14,091
Credit risk transfer derivatives		—		—		30,301		30,301
Total derivative assets with nonaffiliates before netting		6,410		18,360		30,301		55,071
Netting		—		—		—		(10,887	)
Total derivative assets with nonaffiliates after netting		6,410		18,360		30,301		44,184
Derivative assets with PennyMac Financial Services, Inc.:
Forward purchase contracts		—		1,088		—		1,088
Interest rate lock commitments		—		—		4,179		4,179
Total derivative assets with PennyMac Financial Services, Inc. before netting		—		1,088		4,179		5,267
Netting		—		—		—		(28	)
Total derivative assets with PennyMac Financial Services, Inc. after netting		—		1,088		4,179		5,239
Mortgage servicing rights		—		—		3,575,603		3,575,603
	$	202,022	$	19,675,863	$	3,682,920	$	23,549,890
Liabilities:
Interest-only security payable	$	—	$	—	$	34,299	$	34,299
Asset-backed financings of variable interest entities		—		11,358,602		—		11,358,602
Derivative and credit risk transfer strip liabilities with nonaffiliates:
Forward purchase contracts		—		42		—		42
Forward sale contracts		—		14,435		—		14,435
Total derivative liabilities with nonaffiliates before netting		—		14,477		—		14,477
Netting		—		—		—		(10,858	)
Total derivative liabilities with nonaffiliates after netting		—		14,477		—		3,619
Credit risk transfer strips		—		—		5,428		5,428
Total derivative and credit risk transfer strip liabilities with nonaffiliates		—		14,477		5,428		9,047
Derivative liabilities with PennyMac Financial Services, Inc:
Forward purchase contracts		—		28		—		28
Interest rate lock commitments		—		—		1,234		1,234
Total derivative liabilities with PennyMac Financial Services, Inc before netting		—		28		1,234		1,262
Netting		—		—		—		(28	)
Total derivative liabilities with PennyMac Financial Services, Inc after netting:		—		28		1,234		1,234
	$	—	$	11,373,107	$	40,961	$	11,403,182


	December 31, 2025
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	190,518	$	—	$	—	$	190,518
Mortgage-backed securities		—		4,380,357		72,502		4,452,859
Loans held for sale		—		2,695,817		3,581		2,699,398
Loans held for investment		—		8,530,939		1,705		8,532,644
Derivative assets with nonaffiliates:
Call options on interest rate futures purchase contracts		1,289		—		—		1,289
Put options on interest rate futures purchase contracts		4,109		—		—		4,109
Forward purchase contracts		—		4,113		—		4,113
Forward sale contracts		—		2,381		—		2,381
Credit risk transfer derivatives		—		—		32,659		32,659
Total derivative assets with nonaffiliates before netting		5,398		6,494		32,659		44,551
Netting		—		—		—		5,145
Total derivative assets with nonaffiliates after netting		5,398		6,494		32,659		49,696
Derivative assets with PennyMac Financial Services, Inc.:
Interest rate lock commitments		—		—		4,605		4,605
Forward purchase contracts		—		1,784		—		1,784
Total derivative assets with PennyMac Financial Services, Inc. before netting		—		1,784		4,605		6,389
Netting		—		—		—		(142	)
Total derivative assets with PennyMac Financial Services, Inc. after netting		—		1,784		4,605		6,247
Mortgage servicing rights		—		—		3,644,702		3,644,702
	$	195,916	$	15,615,391	$	3,759,754	$	19,576,064
Liabilities:
Interest-only security payable	$	—	$	—	$	37,650	$	37,650
Asset-backed financings of variable interest entities		—		7,789,303		—		7,789,303
Derivative and credit risk transfer strip liabilities with nonaffiliates:
Forward purchase contracts		—		158		—		158
Forward sale contracts		—		17,340		—		17,340
Total derivative liabilities with nonaffiliates before netting		—		17,498		—		17,498
Netting		—		—		—		(16,565	)
Total derivative liabilities with nonaffiliates after netting		—		17,498		—		933
Credit risk transfer strips		—		—		5,999		5,999
Total derivative and credit risk transfer strip liabilities with nonaffiliates		—		17,498		5,999		6,932
Derivative liabilities with PennyMac Financial Services, Inc:
Interest rate lock commitments		—		—		2,257		2,257
Forward purchase contracts		—		142		—		142
Total derivative liabilities with PennyMac Financial Services, Inc before netting		—		142		2,257		2,399
Netting		—		—		—		(142	)
Total derivative liabilities with PennyMac Financial Services, Inc after netting:		—		142		2,257		2,257
	$	—	$	7,806,943	$	45,906	$	7,836,142

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:


	Quarter ended June 30, 2026
Assets (1)	Interest-only stripped mortgage-backed securities			Loans held for sale			Loans held for investment			CRT derivatives			Interest rate lock commitments with PFSI			CRT strips			Mortgage servicing rights			Total
	(in thousands)
Balance, March 31, 2026	$	71,429		$	2,084		$	1,650		$	30,174		$	(3,273	)	$	(4,062	)	$	3,623,979		$	3,721,981
Purchases and issuances		—			5,293			—			—			8,958			—			—			14,251
Repayments and sales		(3,954	)		(5,075	)		(54	)		(2,132	)		—			(8,885	)		—			(20,100	)
Accrual of unearned discounts		1,845			—			—			—			—			—			—			1,845
Amounts received pursuant to sales of loans		—			—			—			—			—			—			30,981			30,981
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		(386	)		9			(4	)		2,259			490			7,519			(81,464	)		(71,577	)
		(386	)		9			(4	)		2,259			490			7,519			(81,464	)		(71,577	)
Transfers of:
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(3,230	)		—			—			(3,230	)
Mortgage servicing rights relating to delinquent loans to Agency		—			—			—			—			—			—			2,107			2,107
Balance, June 30, 2026	$	68,934		$	2,311		$	1,592		$	30,301		$	2,945		$	(5,428	)	$	3,575,603		$	3,676,258
Changes in fair value recognized during the quarter relating to assets still held at June 30, 2026	$	(386	)	$	(4	)	$	(7	)	$	215		$	2,945		$	(1,125	)	$	(81,464	)	$	(79,826	)

(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 held for sale at fair value upon purchase of the respective loans.


Liabilities	Quarter ended June 30, 2026
	(in thousands)
Interest-only security payable:
Balance, March 31, 2026	$	34,232
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—
Other factors		67
		67
Balance, June 30, 2026	$	34,299
Changes in fair value recognized during the quarter relating to liability outstanding at June 30, 2026	$	67


	Quarter ended June 30, 2025
Assets (1)	Interest-only stripped mortgage-backed securities			Loans held 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 income 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 held 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, 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 held for sale at fair value upon purchase of the respective loans.


Liabilities	Quarter ended June 30, 2025
	(in thousands)
Interest-only security payable:
Balance, March 31, 2025	$	35,954
Change in fair value included in income arising from:
Change 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


	Six months ended June 30, 2026
Assets (1)	Interest-only stripped mortgage-backed securities			Loans held for sale			Loans held for investment			CRT derivatives			Interest rate lock commitments with PFSI			CRT strips			Mortgage servicing rights			Total
	(in thousands)
Balance, December 31, 2025	$	72,502		$	3,581		$	1,705		$	32,659		$	2,348		$	(5,999	)	$	3,644,702		$	3,751,498
Purchases and issuances		—			8,894			—			—			14,228			—			—			23,122
Repayments and sales		(8,061	)		(10,025	)		(70	)		(4,749	)		—			(17,309	)		—			(40,214	)
Accrual of unearned discounts		3,810			—			—			—			—			—			—			3,810
Amounts received pursuant to sales of loans		—			—			—			—			—			—			71,262			71,262
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		683			(139	)		(43	)		2,391			(3,446	)		17,880			(142,763	)		(125,437	)
		683			(139	)		(43	)		2,391			(3,446	)		17,880			(142,763	)		(125,437	)
Transfers of:
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(10,185	)		—			—			(10,185	)
Mortgage servicing rights relating to delinquent loans to Agency		—			—			—			—			—			—			2,402			2,402
Balance, June 30, 2026	$	68,934		$	2,311		$	1,592		$	30,301		$	2,945		$	(5,428	)	$	3,575,603		$	3,676,258
Changes in fair value recognized during the period relating to assets still held at June 30, 2026	$	683		$	(150	)	$	(47	)	$	(2,201	)	$	2,945		$	681		$	(142,763	)	$	(140,852	)

(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 held for sale at fair value upon purchase of the respective loans.


Liabilities	Six months ended June 30, 2026
	(in thousands)
Interest-only security payable:
Balance, December 31, 2025	$	37,650
Change in fair value included in income arising from:
Change in instrument - specific credit risk		—
Other factors		(3,351	)
		(3,351	)
Balance, June 30, 2026	$	34,299
Change in fair value recognized during the period relating to liability outstanding at June 30, 2026	$	(3,351	)


	Six months ended June 30, 2025
Assets (1)	Interest-only stripped mortgage-backed securities			Loans held 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 discount		4,450			—			—			—			—			—			—			4,450
Amounts received pursuant to sales of loans		—			—			—			—			—			—			91,039			91,039
Changes in fair value included in income 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 held 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 held for sale at fair value 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 income 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

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:


	June 30, 2026							December 31, 2025
	Fair value		Principal amount due upon maturity		Difference			Fair value		Principal amount due upon maturity		Difference
	(in thousands)
Loans held for sale:
Current through 89 days delinquent	$	3,193,864	$	3,131,455	$	62,409		$	2,696,128	$	2,627,441	$	68,687
90 or more days delinquent:
Not in foreclosure		134		134		—			1,273		1,271		2
In foreclosure		1,345		1,653		(308	)		1,997		2,289		(292	)
		1,479		1,787		(308	)		3,270		3,560		(290	)
	$	3,195,343	$	3,133,242	$	62,101		$	2,699,398	$	2,631,001	$	68,397
Loans held for investment:
Held in consolidated VIEs:
Current through 89 days delinquent	$	12,452,163	$	12,246,747	$	205,416		$	8,529,906	$	8,353,814	$	176,092
90 or more days delinquent:
Not in foreclosure		4,494		5,255		(761	)		700		844		(144	)
In foreclosure		—		—		—			333		428		(95	)
		4,494		5,255		(761	)		1,033		1,272		(239	)
		12,456,657		12,252,002		204,655			8,530,939		8,355,086		175,853
Distressed:
Current through 89 days delinquent		315		407		(92	)		371		476		(105	)
90 or more days delinquent:
Not in foreclosure		1,072		2,949		(1,877	)		942		2,553		(1,611	)
In foreclosure		205		725		(520	)		392		1,120		(728	)
		1,277		3,674		(2,397	)		1,334		3,673		(2,339	)
		1,592		4,081		(2,489	)		1,705		4,149		(2,444	)
	$	12,458,249	$	12,256,083	$	202,166		$	8,532,644	$	8,359,235	$	173,409

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 statements of operations line item, for financial statement items accounted for under the fair value option:


	Quarter ended June 30, 2026
	Net loan servicing fees			Net gains on loans held for sale		Net gains (losses) on investments and financings			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	—	$	426		$	9,604		$	10,030
Loans held for sale		—			29,400		—			—			29,400
Loans held for investment		—			—		(28,488	)		(16,569	)		(45,057	)
Credit risk transfer strips		—			—		7,519			—			7,519
Mortgage servicing rights		(81,464	)		—		—			—			(81,464	)
	$	(81,464	)	$	29,400	$	(20,543	)	$	(6,965	)	$	(79,572	)
Liabilities:
Interest-only security payable	$	—		$	—	$	(67	)	$	—		$	(67	)
Asset-backed financings of VIEs		—			—		40,652			(819	)		39,833
	$	—		$	—	$	40,585		$	(819	)	$	39,766


	Quarter ended June 30, 2025
	Net loan servicing fees			Net gains on loans held for sale		Net gains (losses) on investments and financings			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	—	$	14,564		$	7,582		$	22,146
Loans held 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	)
	$	(75,128	)	$	34,080	$	43,697		$	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	)


	Six months ended June 30, 2026
	Net loan servicing fees			Net gains on loans held for sale		Net gains (losses) on investments and financings			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	—	$	(32,981	)	$	18,004		$	(14,977	)
Loans held for sale		—			28,981		—			—			28,981
Loans held for investment		—			—		(94,291	)		(25,793	)		(120,084	)
Credit risk transfer strips		—			—		17,880			—			17,880
Mortgage servicing rights		(142,763	)		—		—			—			(142,763	)
	$	(142,763	)	$	28,981	$	(109,392	)	$	(7,789	)	$	(230,963	)
Liabilities:
Interest-only security payable	$	—		$	—	$	3,351		$	—		$	3,351
Asset-backed financings of VIEs		—			—		102,888			3,112			106,000
	$	—		$	—	$	106,239		$	3,112		$	109,351


	Six months ended June 30, 2025
	Net loan servicing fees			Net gains on loans held for sale		Net gains (losses) on investments and financings			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	—	$	79,419		$	17,652		$	97,071
Loans held 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	)
	$	(219,718	)	$	80,591	$	135,185		$	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, 2026	$	—	$	—	$	164	$	164
December 31, 2025	$	—	$	—	$	30	$	30

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,
	2026			2025			2026			2025
	(in thousands)
Real estate acquired in settlement of loans	$	(61	)	$	(14	)	$	(65	)	$	(50	)

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, 2026				December 31, 2025
Instrument	Carrying value		Fair value		Carrying value		Fair value
	(in thousands)
Notes payable secured by credit risk transfer and mortgage servicing assets	$	2,481,131	$	2,490,007	$	2,258,128	$	2,268,438
Unsecured senior notes	$	685,276	$	706,427	$	1,028,300	$	1,073,341

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, 2026		December 31, 2025
Fair value (in thousands)	$	68,934	$	72,502
Key inputs (1)
Option-adjusted spread (2)
Range	3.8% – 4.2%		4.7% – 4.7%
Weighted average	3.8%		4.7%
Annual total prepayment speed (3)
Range	10.6% – 12.6%		11.0% – 13.6%
Weighted average	10.6%		11.0%
Equivalent life (in years)
Range	4.0 – 7.4		4.0 – 7.7
Weighted average	7.4		7.6

(1)

Weighted-average inputs are based on the UPB of the underlying loans.

(2)

The Company applies an OAS to multiple simulated paths of a derived United States Treasury securities (“Treasury") yield curve for purposes 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, 2026		December 31, 2025
	(dollars in thousands)
Fair value	$	30,301	$	32,659
UPB of loans in reference pools	$	3,783,818	$	4,555,682
Key inputs (1)
Discount rate
Range	9.3% – 10.4%		8.6% – 14.1%
Weighted average	9.3%		8.8%
Voluntary prepayment speed (2)
Range	7.3% – 8.3%		6.3% – 7.6%
Weighted average	7.4%		7.3%
Involuntary prepayment speed (3)
Range	0.1% – 0.2%		0.1% – 0.3%
Weighted average	0.2%		0.1%
Remaining loss expectation
Range	0.0% – 0.1%		0.0% – 0.1%
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, 2026		December 31, 2025
Fair value of net (liabilities) assets (in thousands) (1)	$	2,945	$	2,348
Committed amount (in thousands)	$	1,049,341	$	1,207,859
Key inputs (2)
Pull-through rate
Range	48.5% – 100%		50.5% – 100%
Weighted average	80.9%		90.9%
MSR fair value expressed as
Servicing fee multiple
Range	2.9 – 7.9		1.7 – 8.4
Weighted average	4.8		5.4
Percentage of unpaid principal balance
Range	0.7% – 2.9%		0.4% – 3.2%
Weighted average	1.3%		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, 2026		December 31, 2025
	(dollars in thousands)
Fair value	$	5,428	$	5,999
Unpaid principal balance of loans in the reference pools	$	14,306,037	$	14,961,848
Key inputs (1)
Discount rate
Range	5.3% – 8.9%		5.0% – 8.6%
Weighted average	8.4%		8.1%
Voluntary prepayment speed (2)
Range	7.1% – 7.5%		7.0% – 7.5%
Weighted average	7.2%		7.1%
Involuntary prepayment speed (3)
Range	0.1% – 0.3%		0.1% – 0.3%
Weighted average	0.2%		0.1%
Remaining loss expectation
Range	0.4% – 1.4%		0.4% – 1.4%
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,
	2026		2025		2026		2025
MSRs recognized (in thousands)	$	30,981	$	44,030	$	71,262	$	91,039
Unpaid principal balance of underlying loans (in thousands)	$	1,890,845	$	2,350,978	$	4,088,510	$	4,945,616
Weighted average annual servicing fee rate (in basis points)	29		32		31		32
Key inputs (1)
Prepayment speed (2)
Range	8.1% – 14.6%		9.4% – 15.5%		8.1% – 14.9%		9.4% – 15.5%
Weighted average	9.7%		9.6%		9.5%		9.7%
Equivalent average life (in years)
Range	5.5 – 9.0		3.8 – 8.2		3.7 – 9.0		3.7 – 8.2
Weighted average	8.1		8.1		8.1		8.0
Pricing spread (3)
Range	4.7% – 9.7%		5.2% – 7.3%		4.7% – 10.0%		5.2% – 7.3%
Weighted average	6.9%		5.3%		6.6%		5.4%
Annual per-loan cost of servicing
Range	$69 – $122		$69 – $87		$69 – $122		$68 – $87
Weighted average	$78		$69		$75		$69

(1)

Weighted-average inputs are based on the UPB of the underlying loans.

(2)

Annual total prepayment speed is measured using life total CPR, which includes both voluntary and involuntary prepayments. Equivalent average life is provided as supplementary information.

(3)

Pricing spread represents a margin that is applied to a reference interest rate’s forward rate curve to develop periodic discount rates. The Company applies a pricing spread to a derived Treasury yield curve for purposes of discounting cash flows in its initial recognition of 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, 2026		December 31, 2025
Fair value (in thousands)	$	3,575,603	$	3,644,702
Unpaid principal balance of underlying loans (in thousands)	$	208,426,764	$	215,781,639
Weighted average annual servicing fee rate (in basis points)	28		28
Weighted average note interest rate	3.9%		3.9%
Key inputs (1)
Prepayment speed (2)
Range	6.9% – 26.8%		7.0% – 21.5%
Weighted average	7.1%		8.4%
Equivalent average life (in years)
Range	2.0 – 8.9		2.1 – 7.9
Weighted average	8.5		7.7
Effect on fair value (in thousands) of (3):
5% adverse change	$(42,931)		$(61,563)
10% adverse change	$(85,475)		$(120,960)
20% adverse change	$(168,902)		$(233,683)
Option-adjusted spread (4)
Range	3.2% – 6.3%		3.6% – 6.2%
Weighted average	4.6%		3.6%
Effect on fair value (in thousands) of (3):
5% adverse change	$(33,357)		$(30,295)
10% adverse change	$(67,581)		$(60,089)
20% adverse change	$(134,995)		$(118,218)
Annual per-loan cost of servicing
Range	$69 – $100		$68 – $90
Weighted average	$69		$68
Effect on fair value (in thousands) of (3):
5% adverse change	$(14,469)		$(15,979)
10% adverse change	$(28,939)		$(31,959)
20% adverse change	$(57,877)		$(63,918)

(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 contemplate the movements in the indicated inputs; do not incorporate changes 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 made to account for changing circumstances. For these reasons, these analyses should not be viewed as projections of the effect of shock events or as earnings forecasts.

(4)

The OAS is a margin that is applied to a reference interest rate’s projected curve to develop periodic discount rates. The Company applies an OAS to multiple simulated paths of a derived Treasury yield curve for purposes of discounting cash flows relating to period-end MSRs.