Fair Value (Tables)

9 Months Ended

Sep. 30, 2026

Schedule of Fair Value Assets and Liabilities

The carrying amounts and the estimated fair values of our financial instruments and certain of our nonfinancial assets measured at fair value on a recurring or non-recurring basis or disclosed, but not measured, at fair value are as follows:


		September 30, 2026				December 31, 2025
	Level	Carrying Value		Fair Value		Carrying Value		Fair Value
Financial assets
Advances, net (a)	3	$	375.1	$	375.1	$	483.4	$	483.4
Loans held for sale, at fair value (b) (c)	3, 2	2,747.3		2,747.3		1,891.7		1,891.7




Reverse loans held for sale pooled into HMBS, at fair value (b)	3	—		—		9,807.5		9,807.5
Reverse loans held for investment pooled into HMBS, at fair value (b)	3	3,362.6		3,362.6		—		—
Receivables, net (a)	3	270.0		270.0		189.8		189.8
Total		$	6,755.0	$	6,755.0	$	12,372.4	$	12,372.4





Financial liabilities
HMBS-related borrowings, at fair value (b)	3	$	3,335.1	$	3,335.1	$	9,611.7	$	9,611.7




MSR related financing liabilities, at fair value (b)	3	613.1		613.1		842.0		842.0
MSR financing facilities (a) (d)	3	1,699.9		1,695.4		1,285.2		1,278.3
Advance match funded liabilities (a)	3	259.4		259.4		341.9		341.9
Mortgage warehouse facilities (a)	3	1,430.1		1,430.1		1,224.6		1,224.6
Reverse mortgage securitization notes (a) (d)	3	1,699.4		1,658.9		899.3		909.6



Senior notes (a) (d)	2	693.6		647.6		489.6		515.0
Total		$	9,730.6	$	9,639.6	$	14,694.3	$	14,723.1

Derivative financial instrument assets (liabilities), net
Interest rate lock commitments (IRLCs) (b)	3	$	(9.5)	$	(9.5)	$	17.3	$	17.3





Other derivatives (b)	1	28.9		28.9		1.7		1.7


MSRs (b)	3	$	3,360.6	$	3,360.6	$	2,825.3	$	2,825.3

(a)Disclosed, but not measured at fair value in our financial statements.

(b)Measured at fair value on a recurring basis in our financial statements.

(c)The newly originated portfolio of loans held for sale pending securitization with the Agencies or sale is classified as Level 2; all other loans are classified as Level 3.

(d)The carrying values are net of unamortized debt issuance costs and discount. See Note 12 – Borrowings for additional information.

Schedule of Reconciliation of Changes in Fair Value of Level 3 Assets and Liabilities

The following tables present a reconciliation of the changes in fair value of certain Level 3 assets and liabilities that we measure at fair value on a recurring basis (refer to the respective notes for other Level 3 assets and liabilities).


	Three Months Ended September 30,
	2026				2025
	Loans Held for Sale - Fair Value		IRLCs		Loans Held for Sale - Fair Value		IRLCs
Beginning balance	$	1,551.0	$	17.2	$	544.2	$	18.1

Purchases, issuances, sales and settlements
Purchases and other	214.8		—		266.7		—
Issuances (1)	—		24.6		—		68.1

Sales	(161.6)		—		(108.8)		—
Settlements	(97.9)		—		(54.2)		—
Transfers from (to):

Loans held for sale, at fair value (1)	—		43.7		—		(38.7)
Reverse mortgage loans, at fair value (2)	0.5		—		6.1		—
Receivables, net	(66.0)		—		(15.8)		—
REO (Other assets)	(33.2)		—		(15.9)		—

Advances (incl. capitalization upon Ginnie Mae modification)	5.6		—		5.6		—
Other	(1.0)		—		(4.9)		—

Net additions (disposition/derecognition)	(138.8)		68.3		78.7		29.4

Included in earnings:

Change in fair value (1)	21.4		(95.0)		13.7		(34.9)




Ending balance	$	1,433.6	$	(9.5)	$	636.7	$	12.6



	Nine Months Ended September 30,
	2026				2025
	Loans Held for Sale - Fair Value		IRLCs			Loans Held for Sale - Fair Value		IRLCs
Beginning balance	$	780.1	$	17.3		$	472.9	$	(0.5)

Purchases, issuances, sales and settlements
Purchases and other	1,377.8		—			560.5		—
Issuances (1)	—		129.8			—		146.1

Sales	(326.4)		—			(244.0)		—
Settlements	(233.6)		—			(120.0)		—
Transfers from (to):
Loans held for sale, at fair value (1)	—		(92.1)			—		(135.4)
Reverse mortgage loans, at fair value (2)	2.6		—			11.8		—
Receivables, net	(137.7)		—			(36.5)		—
REO (Other assets)	(90.1)		—			(41.3)		—
Advances (incl. capitalization upon Ginnie Mae modification)	17.4		—			15.6		—
Other	(3.6)		—			(4.9)		—
Net additions (disposition/derecognition)	606.4		37.7			141.2		10.7

Included in earnings:

Change in fair value (1)	47.1		(64.5)			22.6		2.4





Ending balance	$	1,433.6	$	(9.5)		$	636.7	$	12.6

(1)IRLC activity (issuances and transfers) represent changes in fair value included in earnings. This activity is presented on a gross basis in the table for disclosure purposes. Total net change in fair value included in earnings attributed to IRLCs is a gain (loss) of $(26.7) million and $(26.8) million for the three and nine months ended September 30, 2026 and $(5.6) million and $13.1 million for the three and nine months ended September 30, 2025, respectively. See Note 15 – Derivative Financial Instruments and Hedging Activities.

(2)For the three and nine months ended September 30, 2025, transfers are from loans held for investment, at fair value.

A reconciliation from the beginning balances to the ending balances of Reverse loans pooled into HMBS, HMBS-related borrowings, MSRs and MSR related financing liabilities that we measure at fair value on a recurring basis is disclosed in Note 5 - Reverse Mortgages, Note 7 – Mortgage Servicing and Note 8 — MSR Related Financing Liabilities, at Fair Value, respectively.

Schedule of Significant Assumptions used in Valuation

For reverse loans, the significant unobservable assumptions include prepayment rate and liquidation timeline as indicated in the table below.


Significant unobservable assumptions	September 30, 2026		December 31, 2025
Life in years
Range	0.2 to 11.1		0.2 to 9.2
Weighted average	1.8		1.8
Conditional prepayment rate (CPR), including voluntary and involuntary prepayments
Range	8.9% to 39.1%		6.6% to 38.5%
Weighted average	32.7	%	25.1	%
Discount rate	7.5	%	7.5	%


Significant unobservable assumptions	September 30, 2026		December 31, 2025
Life in years
Range	0.3 to 6.2		0.6 to 7.8
Weighted average	3.1		4.7
Conditional prepayment rate (CPR), including voluntary and involuntary prepayments (a)
Range	13.3% to 44.5%		13.1% to 26.6%
Weighted average	27.3	%	18.9	%
Discount rate	5.7	%	4.8	%


Significant unobservable assumptions (1)	September 30, 2026								December 31, 2025
	GSE			Ginnie Mae			Non-Agency		GSE			Ginnie Mae			Non-Agency
Discount rate
Range	9.9% to 10.1%			10.5% to 14.7%			10.4% to 11.7%		8.9% to 15.1%			10.5% to 15.0%			9.5% to 14.5%
Weighted average	9.9		%	12.0		%	10.9%		9.2		%	10.6		%	10.4		%
Prepayment speed
Range	3.9% to 7.1%			2.9% to 7.6%			3.3% to 7.2%		4.0% to 10.0%			5.7% to 10.6%			5.4% to 7.5%
Weighted average	5.6		%	4.3		%	4.6%		6.8		%	7.7		%	6.4		%
Delinquency
Range	1.7% to 2.1%			8.2% to 11.8%			12.4% to 14.8%		0.4% to 1.0%			4.8% to 9.1%			9.0% to 17.7%
Weighted average	1.9		%	10.5		%	13.2%		0.5		%	5.6		%	12.0		%
Cost to service (in dollars)
Range	$69 to $73			$105 to $120			$173 to $208		$67 to $69			$92 to $108			$158 to $189
Weighted average	$	72		$	114		$	181	$	67		$	96		$	173

(1)September 30, 2026 assumptions reflect the internal model approach implemented in the quarter ended March 31, 2026, with December 31, 2025 reflecting the assumptions in place under the prior approach.


Significant unobservable assumptions	September 30, 2026		December 31, 2025
Life in years
Range	0.3 to 6.2		0.6 to 7.8
Weighted average	3.1		4.7
Conditional prepayment rate
Range	13.3% to 44.5%		13.1% to 26.6%
Weighted average	27.3	%	18.9	%
Discount rate	5.7	%	4.7	%


Significant unobservable assumptions	September 30, 2026			December 31, 2025
Weighted average prepayment speed	4.4		%	5.2		%
Weighted average delinquency rate	3.7		%	3.3		%
Weighted average subservicing life (in years)	4.8			5.2
Weighted average discount rate	10.1		%	9.6		%
Weighted average cost to service (in dollars)	$	127.8		$	123.9

Summary of Estimated Change in the Value of MSRs Carried at Fair Value

The following table summarizes the estimated change in the value of the MSRs as of September 30, 2026 given hypothetical increases in significant unobservable assumptions:


Adverse change in fair value	10%		20%
Change in weighted average discount rate (in percentage points)	1.1		2.1
Change in fair value due to change in weighted average discount rate	$	(153.2)	$	(292.5)
Change in weighted average prepayment speeds (in percentage points)	0.5		1.1
Change in fair value due to change in weighted average prepayment speeds	$	(72.3)	$	(141.0)
Change in weighted average delinquency (in percentage points)	0.4		0.9
Change in fair value due to change in weighted average delinquency	$	(23.4)	$	(45.6)
Change in weighted average cost to service (in dollars)	8.7		17.5
Change in fair value due to change in weighted average cost to service	$	(37.7)	$	(75.4)

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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