TWO Quarterly report [Sections 13 or 15(d)]

Quarterly report [Sections 13 or 15(d)]

Fair Value (Tables)

Fair Value (Tables)

3 Months Ended

Mar. 31, 2025

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities:


	Recurring Fair Value Measurements
	March 31, 2025
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Available-for-sale securities	$	—	$	8,603,257	$	3,613	$	8,606,870

Mortgage servicing rights	—		—		2,959,773		2,959,773
Mortgage loans held-for-sale	—		8,406		—		8,406

Derivative assets	2,436		24,663		451		27,550

Total Assets	$	2,436	$	8,636,326	$	2,963,837	$	11,602,599
Liabilities:

Derivative liabilities	$	3,044	$	52	$	1	$	3,097
Total Liabilities	$	3,044	$	52	$	1	$	3,097


	Recurring Fair Value Measurements
	December 31, 2024
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Available-for-sale securities	$	—	$	7,367,977	$	3,734	$	7,371,711

Mortgage servicing rights	—		—		2,994,271		2,994,271
Mortgage loans held-for-sale	—		2,334		—		2,334

Derivative assets	732		9,231		151		10,114

Total Assets	$	732	$	7,379,542	$	2,998,156	$	10,378,430
Liabilities:

Derivative liabilities	$	24,883	$	1	$	13	$	24,897
Total Liabilities	$	24,883	$	1	$	13	$	24,897

Schedule of Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present a reconciliation of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:


	Three Months Ended
	March 31, 2025
	Assets									Liabilities
(in thousands)	Available-For-Sale Securities			Mortgage Servicing Rights			Interest Rate Lock Commitments			Interest Rate Lock Commitments
Beginning of period level 3 fair value	$	3,734		$	2,994,271		$	151		$	13




Net gains (losses) included in net (loss) income	(65)		(1)	16,016		(2)	300		(3)	(12)		(3)
Net gains (losses) included in other comprehensive income (loss)	(56)			—			—			—
Purchases/additions	—			1,723			—			—
Sales	—			—			—			—
Settlements	—			(52,237)			—			—
Gross transfers into level 3	—			—			—			—
Gross transfers out of level 3	—			—			—			—
End of period level 3 fair value	$	3,613		$	2,959,773		$	451		$	1
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	$	—	(1)	$	16,016	(2)	$	300	(3)	$	(12)	(3)
Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period	$	(56)		$	—		$	—		$	—


	Three Months Ended
	March 31, 2024
	Assets									Liabilities
(in thousands)	Available-For-Sale Securities			Mortgage Servicing Rights			Interest Rate Lock Commitments			Interest Rate Lock Commitments
Beginning of period level 3 fair value	$	4,150		$	3,052,016		$	—		$	—




Net gains (losses) included in net (loss) income	(220)		(1)	59,780		(2)	—		(3)	—		(3)
Net gains (losses) included in other comprehensive income (loss)	23			—			—			—
Purchases/additions	—			40,072			—			—
Sales	—			(18,221)			—			—
Settlements	—			(48,768)			—			—
Gross transfers into level 3	—			—			—			—
Gross transfers out of level 3	—			—			—			—
End of period level 3 fair value	$	3,953		$	3,084,879		$	—		$	—
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	$	—	(1)	$	59,780	(2)	$	—	(3)	$	—	(3)
Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period	$	23		$	—		$	—		$	—

____________________

(1)Included in loss on investment securities on the consolidated statements of comprehensive income (loss).

(2)Included in (loss) gain on servicing asset on the consolidated statements of comprehensive income (loss).

(3)Included in gain (loss) on mortgage loans held-for-sale on the consolidated statements of comprehensive income (loss).

Schedule of Fair Value Inputs, Assets, Quantitative Information

The tables below present information about the significant unobservable market data used by management as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at March 31, 2025 and December 31, 2024:


March 31, 2025
Unobservable Input	Range			Weighted Average (1)
Constant prepayment speed	4.9%	-	29.6%		6.4%

Option-adjusted spread	5.3%	-	5.3%		5.3%
Per loan annual cost to service	$65.00	-	$73.88		$65.02


December 31, 2024
Unobservable Input	Range			Weighted Average (1)
Constant prepayment speed	5.2%	-	29.3%		6.3%

Option-adjusted spread	5.1%	-	5.1%		5.1%
Per loan annual cost to service	$65.00	-	$73.88		$65.02

___________________

(1)Calculation for constant prepayment speed and per-loan annual cost to service utilizes underlying loan principal balance for weighting purposes. Calculation for OAS utilizes relative MSR market value for weighting purposes.

The Company determines the fair value of its Level 3 IRLCs based on valuation models that incorporate the estimated pull-through rate, which is considered a significant unobservable input. The tables below present information about the pull-through rates used in the valuation of IRLCs at March 31, 2025 and December 31, 2024:


March 31, 2025
Unobservable Input	Range			Weighted Average (1)
Pull-through rate	58.0%	-	100.0%		83.5%


December 31, 2024
Unobservable Input	Range			Weighted Average (1)
Pull-through rate	69.3%	-	99.8%		84.4%

___________________

(1)Calculation utilizes underlying loan principal balance for weighting purposes.

Schedule of Fair Value, by Balance Sheet Grouping

The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at March 31, 2025 and December 31, 2024:


	March 31, 2025				December 31, 2024
(in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Available-for-sale securities	$	8,606,870	$	8,606,870	$	7,371,711	$	7,371,711


Mortgage servicing rights	$	2,959,773	$	2,959,773	$	2,994,271	$	2,994,271
Mortgage loans held-for-sale	$	8,406	$	8,406	$	2,334	$	2,334

Cash and cash equivalents	$	573,882	$	573,882	$	504,613	$	504,613
Restricted cash	$	123,843	$	123,843	$	313,028	$	313,028
Derivative assets	$	27,550	$	27,550	$	10,114	$	10,114
Reverse repurchase agreements	$	227,818	$	227,818	$	355,975	$	355,975
Other assets	$	31,283	$	31,283	$	31,283	$	31,283
Liabilities:
Repurchase agreements	$	9,740,830	$	9,740,830	$	7,805,057	$	7,805,057


Revolving credit facilities	$	933,171	$	933,171	$	1,020,171	$	1,020,171
Warehouse facilities	$	7,971	$	7,971	$	2,032	$	2,032

Convertible senior notes	$	260,591	$	261,338	$	260,229	$	259,241
Derivative liabilities	$	3,097	$	3,097	$	24,897	$	24,897

- 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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