Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 47

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 47
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FS securities. The significant unobservable inputs used by the third-party pricing vendors included expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement.The Company determines the fair value of its MSR internally using a discounted cash flow model. 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 September 30, 2025 and December 31, 2024:September 30, 2025Unobservable InputRangeWeighted Average (1)Constant prepayment speed5.0%-43.4%6.9%Option-adjusted spread5.2%-5.2%5.2%Per loan annual cost to service$65.00-$73.88$65.03December 31, 2024Unobservable InputRangeWeighted Average (1)Constant prepayment speed5.2%-29.3%6.3%Option-adjusted spread5.1%-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 September 30, 2025 and December 31, 2024:September 30, 2025Unobservable InputRangeWeighted Average (1)Pull-through rate48.8%-100.0%81.3%December 31, 2024Unobservable InputRangeWeighted Average (1)Pull-through rate69.3%-99.8%84.4%___________________(1)Calculation utilizes underlying loan principal balance for weighting purposes.

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

Nonrecurring Fair ValueCertain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on