Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 122

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 122
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 MSR Holdings acquires MSR from third-party originators through flow and bulk purchases, as well as through the recapture of MSR on loans in its MSR portfolio that refinance. Beginning in 2024, TH MSR Holdings also acquires MSR on loans originated by its subsidiary, RoundPoint, through purchases and recapture of MSR. TH MSR Holdings does not directly service mortgage loans; instead, it engages its wholly owned subsidiary, RoundPoint, to handle substantially all servicing functions for the mortgage loans underlying the Company’s MSR. RoundPoint also services mortgage loans underlying MSR owned by third parties. RoundPoint has approvals from Fannie Mae and Freddie Mac to service residential mortgage loans.The following table summarizes activity related to the Company’s MSR portfolio for the three months ended March 31, 2025 and 2024:Three Months EndedMarch 31,(in thousands)20252024Balance at beginning of period$2,994,271 $3,052,016 Purchases of mortgage servicing rights1,493 40,072 Additions from sales of mortgage loans230 — Sales of mortgage servicing rights— (18,221)Changes in fair value due to:Changes in valuation inputs or assumptions used in the valuation model16,016 59,780 Other changes in fair value (1)(52,237)(48,768)Balance at end of period (2)$2,959,773 $3,084,879 ____________________(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 both March 31, 2025 and December 31, 2024, the Company pledged MSR with a carrying value of $3.0 billion as collateral for repurchase agreements and revolving credit facilities. See Note 13 - Repurchase Agreements and Note 14 - Revolving Credit Facilities. 

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

As of March 31, 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)March 31,2025December 31, 2024Weighted average prepayment speed:6.4