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, 2026

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, 2026
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Available-for-sale securities	$	—	$	6,504,232	$	3,149	$	6,507,381

Mortgage servicing rights	—		—		2,380,983		2,380,983
Mortgage loans held-for-sale	—		18,536		—		18,536

Derivative assets	6,065		64,352		796		71,213

Total Assets	$	6,065	$	6,587,120	$	2,384,928	$	8,978,113
Liabilities:

Derivative liabilities	$	11,228	$	—	$	26	$	11,254
Total Liabilities	$	11,228	$	—	$	26	$	11,254


	Recurring Fair Value Measurements
	December 31, 2025
(in thousands)	Level 1		Level 2		Level 3		Total
Assets:
Available-for-sale securities	$	—	$	6,511,212	$	3,259	$	6,514,471

Mortgage servicing rights	—		—		2,421,910		2,421,910
Mortgage loans held-for-sale	—		13,630		—		13,630

Derivative assets	18,365		68,303		881		87,549

Total Assets	$	18,365	$	6,593,145	$	2,426,050	$	9,037,560
Liabilities:

Derivative liabilities	$	4,254	$	—	$	—	$	4,254
Total Liabilities	$	4,254	$	—	$	—	$	4,254

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

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




	Recurring Fair Value Measurements
	Assets									Liabilities
(in thousands)	Available-For-Sale Securities			Mortgage Servicing Rights			Interest Rate Lock Commitments			Interest Rate Lock Commitments
Level 3 fair value at December 31, 2025	$	3,259		$	2,421,910		$	881		$	—
Net gains (losses) included in net income (loss)	(206)		(1)	5,848		(2)	(85)		(3)	26		(3)
Net gains (losses) included in other comprehensive (loss) income	96			—			—			—
Purchases/additions	—			1,600			—			—
Sales	—			—			—			—
Settlements	—			(48,375)			—			—


Level 3 fair value at March 31, 2026	$	3,149		$	2,380,983		$	796		$	26

Level 3 fair value at December 31, 2024	$	3,734		$	2,994,271		$	151		$	13
Net gains (losses) included in net income (loss)	(65)		(1)	16,016		(2)	300		(3)	(12)		(3)
Net gains (losses) included in other comprehensive (loss) income	(56)			—			—			—
Purchases/additions	—			1,723			—			—
Sales	—			—			—			—
Settlements	—			(52,237)			—			—


Level 3 fair value at March 31, 2025	$	3,613		$	2,959,773		$	451		$	1

Change in unrealized gains or losses for the period included in earnings for assets and liabilities held at:
March 31, 2026	$	—	(1)	$	4,366	(2)	$	796	(3)	$	26	(3)
March 31, 2025	$	—	(1)	$	16,016	(2)	$	451	(3)	$	1	(3)
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets and liabilities held at:
March 31, 2026	$	96		$	—		$	—		$	—
March 31, 2025	$	(56)		$	—		$	—		$	—

____________________

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

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

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

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, 2026 and December 31, 2025:


March 31, 2026
Unobservable Input	Range			Weighted Average (1)
Constant prepayment speed	4.8%	-	30.8%		6.6%
Option-adjusted spread	5.2%	-	5.2%		5.2%
Per loan annual cost to service	$65.00	-	$73.88		$65.03


December 31, 2025
Unobservable Input	Range			Weighted Average (1)
Constant prepayment speed	4.8%	-	47.3%		6.8%
Option-adjusted spread	5.2%	-	5.2%		5.2%
Per loan annual cost to service	$65.00	-	$73.88		$65.03

___________________

(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, 2026 and December 31, 2025:


March 31, 2026
Unobservable Input	Range			Weighted Average (1)
Pull-through rate	52.6%	-	100.0%		86.4%


December 31, 2025
Unobservable Input	Range			Weighted Average (1)
Pull-through rate	54.5%	-	100.0%		76.2%

___________________

(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, 2026 and December 31, 2025:


	March 31, 2026				December 31, 2025
(in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets:
Available-for-sale securities	$	6,507,381	$	6,507,381	$	6,514,471	$	6,514,471


Mortgage servicing rights	$	2,380,983	$	2,380,983	$	2,421,910	$	2,421,910
Mortgage loans held-for-sale	$	18,536	$	18,536	$	13,630	$	13,630

Cash and cash equivalents	$	476,307	$	476,307	$	842,319	$	842,319
Restricted cash	$	283,842	$	283,842	$	219,633	$	219,633
Derivative assets	$	71,213	$	71,213	$	87,549	$	87,549
Reverse repurchase agreements	$	170,855	$	170,855	$	157,120	$	157,120
Other assets	$	28,073	$	28,073	$	28,073	$	28,073
Liabilities:
Repurchase agreements	$	7,245,287	$	7,245,287	$	7,255,540	$	7,255,540

Revolving credit facilities	$	916,871	$	916,871	$	919,371	$	919,371
Warehouse lines of credit	$	12,694	$	12,694	$	9,406	$	9,406
Senior notes	$	111,200	$	115,644	$	111,055	$	118,542
Convertible senior notes	$	—	$	—	$	261,810	$	262,095
Derivative liabilities	$	11,254	$	11,254	$	4,254	$	4,254

- 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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