Fair Value (Tables)

9 Months Ended

Sep. 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:


	September 30, 2026
	Level 1		Level 2		Level 3		Total
	(in thousands)
Assets:
Short-term investments	$	148,630	$	—	$	—	$	148,630
Mortgage-backed securities		—		4,230,727		75,264		4,305,991
Loans held for sale		—		2,868,343		2,408		2,870,751
Loans held for investment		—		14,400,024		1,361		14,401,385
Derivative assets with nonaffiliates:
Call options on interest rate futures purchase contracts	88			—		—		88
Put options on interest rate futures purchase contracts		5,566		—		—		5,566
Forward sale contracts		—		89,048		—		89,048
Swaptions		—		54,793		—		54,793
Credit risk transfer derivatives		—		—		30,695		30,695
Total derivative assets with nonaffiliates before netting		5,654		143,841		30,695		180,190
Netting		—		—		—		(127,189	)
Total derivative assets with nonaffiliates after netting		5,654		143,841		30,695		53,001
Derivative assets with PennyMac Financial Services, Inc.:
Forward purchase contracts		—		5,462		—		5,462
Interest rate lock commitments		—		—		370		370
Total derivative assets with PennyMac Financial Services, Inc. before netting		—		5,462		370		5,832
Netting		—		—		—		(164	)
Total derivative assets with PennyMac Financial Services, Inc. after netting		—		5,462		370		5,668
Mortgage servicing rights		—		—		3,513,760		3,513,760
	$	154,284	$	21,648,397	$	3,623,858	$	25,299,186
Liabilities:
Interest-only security payable	$	—	$	—	$	34,608	$	34,608
Asset-backed financings of variable interest entities		—		13,146,200		—		13,146,200
Derivative and credit risk transfer strip liabilities with nonaffiliates:
Forward purchase contracts		—		13,166		—		13,166
Forward sale contracts		—		2,959		—		2,959
Swaptions		—		32		—		32
Total derivative liabilities with nonaffiliates before netting		—		16,157		—		16,157
Netting		—		—		—		(10,055	)
Total derivative liabilities with nonaffiliates after netting		—		16,157		—		6,102
Credit risk transfer strips		—		—		5,231		5,231
Total derivative and credit risk transfer strip liabilities with nonaffiliates		—		16,157		5,231		11,333
Derivative liabilities with PennyMac Financial Services, Inc:
Interest rate lock commitments		—		—		16,456		16,456
Forward purchase contracts		—		164		—		164
Total derivative liabilities with PennyMac Financial Services, Inc before netting		—		164		16,456		16,620
Netting		—		—		—		(164	)
Total derivative liabilities with PennyMac Financial Services, Inc after netting:		—		164		16,456		16,456
	$	—	$	13,162,521	$	56,295	$	13,208,597


	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 September 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, June 30, 2026	$	68,934		$	2,311		$	1,592		$	30,301		$	2,945		$	(5,428	)	$	3,575,603		$	3,676,258
Purchases and issuances		—			2,005			—			—			1,349			—			—			3,354
Repayments and sales		(3,809	)		(1,849	)		(15	)		(2,110	)		—			(7,610	)		(204,172	)		(219,565	)
Accrual of unearned discounts		1,835			—			—			—			—			—			—			1,835
Amounts received pursuant to sales of loans		—			—			—			—			—			—			16,926			16,926
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		8,304			(59	)		(53	)		2,504			(17,451	)		7,807			125,403			126,455
		8,304			(59	)		(53	)		2,504			(17,451	)		7,807			125,403			126,455
Transfers of:
Loans to REO		—			—			(163	)		—			—			—			—			(163	)
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(2,929	)		—			—			(2,929	)
Balance, September 30, 2026	$	75,264		$	2,408		$	1,361		$	30,695		$	(16,086	)	$	(5,231	)	$	3,513,760		$	3,602,171
Changes in fair value recognized during the quarter relating to assets still held at September 30, 2026	$	8,304		$	(3	)	$	(54	)	$	496		$	(16,086	)	$	224		$	125,403		$	118,284

(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 September 30, 2026
	(in thousands)
Interest-only security payable:
Balance, June 30, 2026	$	34,299
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—
Other factors		309
		309
Balance, September 30, 2026	$	34,608
Changes in fair value recognized during the quarter relating to liability outstanding at September 30, 2026	$	309


	Quarter ended September 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, June 30, 2025	$	79,052		$	7,165		$	1,854		$	31,147		$	6,485		$	(10,479	)	$	3,739,106		$	3,854,330
Purchases and issuances		—			(1,305	)		—			—			13,533			—			—			12,228
Repayments and sales		(4,387	)		(3,771	)		(99	)		(2,662	)		—			(9,651	)		—			(20,570	)
Accrual of unearned discounts		2,161			—			—			—			—			—			—			2,161
Amounts received pursuant to sales of loans		—			—			—			—			—			—			45,744			45,744
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		(1,469	)		245			(9	)		2,947			11,290			10,800			(116,379	)		(92,575	)
		(1,469	)		245			(9	)		2,947			11,290			10,800			(116,379	)		(92,575	)
Transfers of:
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(25,819	)		—			—			(25,819	)
Mortgage servicing rights relating to delinquent loans to Agency		—			—			—			—			—			—			284			284
Balance, September 30, 2025	$	75,357		$	2,334		$	1,746		$	31,432		$	5,489		$	(9,330	)	$	3,668,755		$	3,775,783
Changes in fair value recognized during the quarter relating to assets still held at September 30, 2025	$	(1,469	)	$	(15	)	$	(31	)	$	348		$	5,489		$	1,177		$	(116,379	)	$	(110,880	)

(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 September 30, 2025
	(in thousands)
Interest-only security payable:
Balance, June 30, 2025	$	36,553
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—
Other factors		5
		5
Balance, September 30, 2025	$	36,558
Changes in fair value recognized during the quarter relating to liability outstanding at September 30, 2025	$	5


	Nine months ended September 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		—			10,899			—			—			15,577			—			—			26,476
Repayments and sales		(11,870	)		(11,874	)		(85	)		(6,859	)		—			(24,919	)		(204,172	)		(259,779	)
Accrual of unearned discounts		5,645			—			—			—			—			—			—			5,645
Amounts received pursuant to sales of loans		—			—			—			—			—			—			88,188			88,188
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		8,987			(198	)		(96	)		4,895			(20,897	)		25,687			(17,360	)		1,018
		8,987			(198	)		(96	)		4,895			(20,897	)		25,687			(17,360	)		1,018
Transfers of:
Loans to REO		—			—			(163	)		—			—			—			—			(163	)
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(13,114	)		—			—			(13,114	)
Mortgage servicing rights relating to delinquent loans to Agency		—			—			—			—			—			—			2,402			2,402
Balance, September 30, 2026	$	75,264		$	2,408		$	1,361		$	30,695		$	(16,086	)	$	(5,231	)	$	3,513,760		$	3,602,171
Changes in fair value recognized during the period relating to assets still held at September 30, 2026	$	8,987		$	(150	)	$	(84	)	$	(1,705	)	$	(16,086	)	$	905		$	(38,927	)	$	(47,060	)

(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	Nine months ended September 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		(3,042	)
		(3,042	)
Balance, September 30, 2026	$	34,608
Change in fair value recognized during the period relating to liability outstanding at September 30, 2026	$	(3,042	)


	Nine months ended September 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		—			1,826			—			—			21,685			—			—			23,511
Repayments and sales		(13,547	)		(7,989	)		(139	)		(8,247	)		—			(29,496	)		—			(59,418	)
Accrual of unearned discounts		6,611			—			—			—			—			—			—			6,611
Amounts received pursuant to sales of loans		—			—			—			—			—			—			136,783			136,783
Changes in fair value included in income arising from:
Changes in instrument - specific credit risk		—			—			—			—			—			—			—			—
Other factors		(3,967	)		526			19			10,302			23,210			24,226			(336,097	)		(281,781	)
		(3,967	)		526			19			10,302			23,210			24,226			(336,097	)		(281,781	)
Transfers of:
Interest rate lock commitments to loans held for sale (2)		—			—			—			—			(39,850	)		—			—			(39,850	)
Mortgage servicing rights relating to delinquent loans to Agency		—			—			—			—			—			—			675			675
Balance, September 30, 2025	$	75,357		$	2,334		$	1,746		$	31,432		$	5,489		$	(9,330	)	$	3,668,755		$	3,775,783
Changes in fair value recognized during the period relating to assets still held at September 30, 2025	$	(3,967	)	$	89		$	(1	)	$	2,268		$	5,489		$	(5,124	)	$	(336,097	)	$	(337,343	)

(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	Nine months ended September 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		2,336
		2,336
Balance, September 30, 2025	$	36,558
Changes in fair value recognized during the period relating to liability outstanding at September 30, 2025	$	2,336

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:


	September 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	$	2,868,353	$	2,915,235	$	(46,882	)	$	2,696,128	$	2,627,441	$	68,687
90 or more days delinquent:
Not in foreclosure		1,251		1,242		9			1,273		1,271		2
In foreclosure		1,147		1,468		(321	)		1,997		2,289		(292	)
		2,398		2,710		(312	)		3,270		3,560		(290	)
	$	2,870,751	$	2,917,945	$	(47,194	)	$	2,699,398	$	2,631,001	$	68,397
Loans held for investment:
Held in consolidated VIEs:
Current through 89 days delinquent	$	14,394,580	$	14,696,969	$	(302,389	)	$	8,529,906	$	8,353,814	$	176,092
90 or more days delinquent:
Not in foreclosure		5,040		6,080		(1,040	)		700		844		(144	)
In foreclosure		404		478		(74	)		333		428		(95	)
		5,444		6,558		(1,114	)		1,033		1,272		(239	)
		14,400,024		14,703,527		(303,503	)		8,530,939		8,355,086		175,853
Distressed:
Current through 89 days delinquent		379		378		1			371		476		(105	)
90 or more days delinquent:
Not in foreclosure		872		2,566		(1,694	)		942		2,553		(1,611	)
In foreclosure		110		388		(278	)		392		1,120		(728	)
		982		2,954		(1,972	)		1,334		3,673		(2,339	)
		1,361		3,332		(1,971	)		1,705		4,149		(2,444	)
	$	14,401,385	$	14,706,859	$	(305,474	)	$	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 September 30, 2026
	Net loan servicing fees		Net (losses) gains on investments and financings			Net gains on loans held for sale			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—	$	(166,947	)	$	—		$	(15,637	)	$	(182,584	)
Loans held for sale		—		—			(96,355	)		—			(96,355	)
Loans held for investment		—		(531,924	)		—			(22,612	)		(554,536	)
Credit risk transfer derivatives and strips		—		7,807			—			—			7,807
Mortgage servicing rights		125,403		—			—			—			125,403
	$	125,403	$	(691,064	)	$	(96,355	)	$	(38,249	)	$	(700,265	)
Liabilities:
Interest-only security payable	$	—	$	(309	)	$	—		$	—		$	(309	)
Asset-backed financings of VIEs		—		526,604			—			(20,091	)		506,513
	$	—	$	526,295		$	—		$	(20,091	)	$	506,204


	Quarter ended September 30, 2025
	Net loan servicing fees			Net (losses) gains on investments and financings			Net gains on loans held for sale		Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	37,572		$	—	$	20,537		$	58,109
Loans held for sale		—			—			51,146		—			51,146
Loans held for investment		—			48,480			—		(11,240	)		37,240
Credit risk transfer derivatives and strips		—			10,800			—		—			10,800
Mortgage servicing rights		(116,379	)		—			—		—			(116,379	)
	$	(116,379	)	$	96,852		$	51,146	$	9,297		$	40,916
Liabilities:
Interest-only security payable	$	—		$	(5	)	$	—	$	—		$	(5	)
Asset-backed financings of VIEs		—			(35,707	)		—		2,389			(33,318	)
	$	—		$	(35,712	)	$	—	$	2,389		$	(33,323	)


	Nine months ended September 30, 2026
	Net loan servicing fees			Net (losses) gains on investments and financings			Net gains on loans held for sale			Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	(199,928	)	$	—		$	2,367		$	(197,561	)
Loans held for sale		—			—			(67,472	)		—			(67,472	)
Loans held for investment		—			(626,215	)		—			(48,405	)		(674,620	)
Credit risk transfer derivatives and strips		—			25,687			—			—			25,687
Mortgage servicing rights		(17,360	)		—			—			—			(17,360	)
	$	(17,360	)	$	(800,456	)	$	(67,472	)	$	(46,038	)	$	(931,326	)
Liabilities:
Interest-only security payable	$	—		$	3,042		$	—		$	—		$	3,042
Asset-backed financings of VIEs		—			629,492			—			(16,979	)		612,513
	$	—		$	632,534		$	—		$	(16,979	)	$	615,555


	Nine months ended September 30, 2025
	Net loan servicing fees			Net (losses) gains on investments and financings			Net gains on loans held for sale		Net interest expense			Total
	(in thousands)
Assets:
Mortgage-backed securities	$	—		$	116,991		$	—	$	38,189		$	155,180
Loans held for sale		—			—			131,737		—			131,737
Loans held for investment		—			90,820			—		(15,415	)		75,405
Credit risk transfer derivatives and strips		—			24,226			—		—			24,226
Mortgage servicing rights		(336,097	)		—			—		—			(336,097	)
	$	(336,097	)	$	232,037		$	131,737	$	22,774		$	50,451
Liabilities:
Interest-only security payable	$	—		$	(2,336	)	$	—	$	—		$	(2,336	)
Asset-backed financings of VIEs		—			(79,923	)		—		4,262			(75,661	)
	$	—		$	(82,259	)	$	—	$	4,262		$	(77,997	)

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)
September 30, 2026	$	—	$	—	$	608	$	608
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 September 30,						Nine months ended September 30,
	2026			2025			2026			2025
	(in thousands)
Real estate acquired in settlement of loans	$	(52	)	$	(28	)	$	(117	)	$	(78	)

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:


	September 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	$	2,503,473	$	2,512,944	$	2,258,128	$	2,268,438
Unsecured senior notes	$	686,065	$	697,410	$	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:


	September 30, 2026		December 31, 2025
Fair value (in thousands)	$	75,264	$	72,502
Key inputs (1)
Option-adjusted spread (2)
Range	3.1% – 3.5%		4.7% – 4.7%
Weighted average	3.1%		4.7%
Annual total prepayment speed (3)
Range	8.2% – 10.4%		11.0% – 13.6%
Weighted average	8.2%		11.0%
Equivalent life (in years)
Range	4.2 – 8.9		4.0 – 7.7
Weighted average	8.8		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:


	September 30, 2026		December 31, 2025
	(dollars in thousands)
Fair value	$	30,695	$	32,659
UPB of loans in reference pools	$	2,906,185	$	4,555,682
Key inputs (1)
Discount rate
Range	10.1% – 10.1%		8.6% – 14.1%
Weighted average	10.1%		8.8%
Voluntary prepayment speed (2)
Range	7.1% – 7.1%		6.3% – 7.6%
Weighted average	7.1%		7.3%
Involuntary prepayment speed (3)
Range	0.2% – 0.2%		0.1% – 0.3%
Weighted average	0.2%		0.1%
Remaining loss expectation
Range	0.1% – 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:


	September 30, 2026			December 31, 2025
Fair value of net (liabilities) assets (in thousands) (1)	$	(16,086	)	$	2,348
Committed amount (in thousands)	$	883,146		$	1,207,859
Key inputs (2)
Pull-through rate
Range	57.4% – 100%			50.5% – 100%
Weighted average	88.6%			90.9%
MSR fair value expressed as
Servicing fee multiple
Range	3.3 – 7.7			1.7 – 8.4
Weighted average	5.4			5.4
Percentage of unpaid principal balance
Range	0.8% – 2.5%			0.4% – 3.2%
Weighted average	1.4%			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:


	September 30, 2026		December 31, 2025
	(dollars in thousands)
Fair value	$	5,231	$	5,999
Unpaid principal balance of loans in the reference pools	$	13,971,976	$	14,961,848
Key inputs (1)
Discount rate
Range	6.1% – 9.8%		5.0% – 8.6%
Weighted average	9.3%		8.1%
Voluntary prepayment speed (2)
Range	7.1% – 7.4%		7.0% – 7.5%
Weighted average	7.1%		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 September 30,				Nine months ended September 30,
	2026		2025		2026		2025
MSRs recognized (in thousands)	$	16,926	$	45,744	$	88,188	$	136,783
Unpaid principal balance of underlying loans (in thousands)	$	1,162,008	$	2,488,333	$	5,250,518	$	7,433,949
Weighted average annual servicing fee rate (in basis points)	27		32		30		32
Key inputs (1)
Prepayment speed (2)
Range	8.4% – 14.3%		9.8% – 15.3%		8.1% – 14.9%		9.4% – 15.5%
Weighted average	9.2%		9.9%		9.5%		9.8%
Equivalent average life (in years)
Range	5.7 – 8.6		3.8– 8.0		3.7 – 9.0		3.7– 8.2
Weighted average	8.3		7.9		8.2		8.0
Pricing spread (3)
Range	4.8% – 10.3%		5.2% - 7.3%		4.7% – 10.3%		5.2% - 7.3%
Weighted average	7.7%		5.2%		6.8%		5.3%
Annual per-loan cost of servicing
Range	$69 – $137		$68 – $91		$69 – $137		$68 – $91
Weighted average	$88		$68		$78		$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:


	September 30, 2026		December 31, 2025
Fair value (in thousands)	$	3,513,760	$	3,644,702
Unpaid principal balance of underlying loans (in thousands)	$	192,136,463	$	215,781,639
Weighted average annual servicing fee rate (in basis points)	28		28
Weighted average note interest rate	3.8%		3.9%
Key inputs (1)
Prepayment speed (2)
Range	5.9% – 24.4%		7.0% – 21.5%
Weighted average	6.1%		8.4%
Equivalent average life (in years)
Range	1.9 – 10.5		2.1 – 7.9
Weighted average	8.9		7.7
Effect on fair value (in thousands) of (3):
5% adverse change	$(39,462)		$(61,563)
10% adverse change	$(78,145)		$(120,960)
20% adverse change	$(152,834)		$(233,683)
Option-adjusted spread (4)
Range	2.7% – 5.9%		3.6% – 6.2%
Weighted average	4.5%		3.6%
Effect on fair value (in thousands) of (3):
5% adverse change	$(33,437)		$(30,295)
10% adverse change	$(66,364)		$(60,089)
20% adverse change	$(130,368)		$(118,218)
Annual per-loan cost of servicing
Range	$69 – $107		$68 – $90
Weighted average	$69		$68
Effect on fair value (in thousands) of (3):
5% adverse change	$(14,053)		$(15,979)
10% adverse change	$(28,107)		$(31,959)
20% adverse change	$(56,213)		$(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.