Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 191

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 191
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, to service residential mortgage loans.

12

Table of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

The following table summarizes activity related to the Company’s MSR portfolio for the three and nine months ended September 30, 2025 and 2024:Three Months EndedNine Months EndedSeptember 30,September 30,(in thousands)2025202420252024Balance at beginning of period$3,015,643 $3,065,415 $2,994,271 $3,052,016 Purchases of mortgage servicing rights8,610 43,175 101,459 86,600 Additions from sales of mortgage loans427 166 1,065 166 Sales of mortgage servicing rights(293,078)(91,103)(293,078)(109,324)Changes in fair value due to:Changes in valuation inputs or assumptions used in the valuation model(38,686)(70,868)4,687 29,085 Other changes in fair value (1)(66,210)(62,481)(181,698)(174,239)Balance at end of period (2)$2,626,706 $2,884,304 $2,626,706 $2,884,304 ____________________(1)Primarily represents changes due to the realization of cash flows.(2)Based on the prior month-end’s principal balance of the loans underlying the Company’s MSR, increased for current month purchases.At September 30, 2025 and December 31, 2024, the Company pledged MSR with a carrying value of $2.6 billion and $3.0 billion, respectively, as collateral for repurchase agreements and revolving credit facilities. See Note 13 - Financing. As of September 30, 2025 and December 31, 2024, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows:(dollars in thousands, except per loan data)September 30,2025December 31,2024Weighted average prepayment speed:6.9 %6.3 %Impact on fair value of 10% adverse change$(52,310)$(61,975)Impact on fair value of 20% adverse change$(101,980)$(120,142)Weighted average delinquency: