Company: AX
Filing Date: 2025-04-30
Form Type: 10-Q
Source: 0001299709-25-000087
Chunk: 35

Company: Axos Financial, Inc.
Filing Date: 2025-04-30
Form: 10-Q
Item: Part I, Item 1
Chunk 35
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 (8.6) 9.5 to 11.2% (9.8%)June 30, 2024(Dollars in thousands)Fair ValueValuation TechniqueUnobservable InputRange (Weighted Average)1Available-for-sale securities: Non-Agency MBS$110,928 Discounted Cash FlowProjected Constant Prepayment Rate,Projected Constant Default Rate,Projected Loss Severity,Discount Rate over SOFR Swaps,Credit Enhancement0.0 to 72.1% (38.0%)0.0 to 13.7% (2.8%)0.0 to 68.9% (32.9%)2.5 to 4.9% (2.5%)0.0 to 64.9% (22.8%)Servicing Rights$28,924 Discounted Cash FlowProjected Constant Prepayment Rate,Life (in years),Discount Rate5.5 to 95.2% (11.8%)0.4 to 14.9 (7.9) 9.5 to 11.2% (9.8%)1 The weighted average for Available-for-sale securities: Non-agency MBS is based on the relative fair value of the securities and for Servicing Rights is based on the relative unpaid principal of the loans being serviced.For non-agency mortgage-backed securities, a significant increase (decrease) in default rate, loss severity (potentially offset by the level of credit enhancement) or discount rate in isolation would result in a significantly lower (higher) fair value measurement, while a significant increase in the voluntary prepayment rate would result in a significant increase in fair value if the security is valued below par value, or a significant decrease in fair value if the security is valued above par value. Generally, a change in the assumptions used for the default rate is accompanied by a directionally opposite change in the assumption used for the voluntary prepayment rate. For servicing rights, significant increases in the voluntary prepayment rate or discount rate in isolation would result in a significantly lower fair value measurement, while a significant increase in expected life in isolation would result in a significantly higher fair value measurement. Generally, a change in the voluntary prepayment rate is accompanied by a directionally opposite change in expected life.The aggregate fair value of loans held for sale, carried at fair value, the contractual balance (including accrued interest), and the unrealized gain were:

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(Dollars in thousands)March 31, 2025June 30,