Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 193

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 193
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,879 $2,994,271 $3,052,016 Purchases of mortgage servicing rights91,356 3,353 92,849 43,425 Additions from sales of mortgage loans408 — 638 — Sales of mortgage servicing rights— — — (18,221)Changes in fair value due to:Changes in valuation inputs or assumptions used in the valuation model27,357 40,173 43,373 99,953 Other changes in fair value (1)(63,251)(62,990)(115,488)(111,758)Balance at end of period (2)$3,015,643 $3,065,415 $3,015,643 $3,065,415 ____________________(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 June 30, 2025 and December 31, 2024, the Company pledged MSR with a carrying value of $2.9 billion and $3.0 billion, respectively, as collateral for repurchase agreements and revolving credit facilities. See Note 13 - Financing. As of June 30, 2025 and December 31, 2024, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows:(dollars in thousands, except per loan data)June 30,2025December 31,2024Weighted average prepayment speed:6.4 %6.3 %Impact on fair value of 10% adverse change$(60,933)$(61,975)Impact on fair value of 20% adverse change$(118,972)$(120,142)Weighted average delinquency:0.8 %0.8 %Impact on fair value of 10% adverse change$(1,163)$(1,297)Impact on fair value of 20% adverse change$(2,301)$(2,567)Weighted average option-adjusted spread:5.2 %5.1 %Impact on fair value of 10% adverse change$(76,239)$(70,293)Impact on fair value of 20% adverse change$(148,848)$(137,449)Weighted average per loan annual cost