Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 149

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 149
---
 agreements and revolving credit facilities. See Note 13 - Repurchase Agreements and Note 14 - Revolving Credit Facilities. At December 31, 2023, the Company pledged MSR with a carrying value of $3.0 billion as collateral for repurchase agreements, revolving credit facilities and term notes payable. See Note 13 - Repurchase Agreements, Note 14 - Revolving Credit Facilities and Note 16 - Term Notes Payable.As of December 31, 2024 and December 31, 2023, the key economic assumptions and sensitivity of the fair value of MSR to immediate 10% and 20% adverse changes in these assumptions were as follows:(dollars in thousands, except per loan data)December 31,2024December 31,2023Weighted average prepayment speed:6.3 %6.2 %Impact on fair value of 10% adverse change$(61,975)$(74,042)Impact on fair value of 20% adverse change$(120,142)$(146,237)Weighted average delinquency:0.8 %0.9 %Impact on fair value of 10% adverse change$(1,297)$(4,654)Impact on fair value of 20% adverse change$(2,567)$(12,376)Weighted average option-adjusted spread:5.1 %5.3 %Impact on fair value of 10% adverse change$(70,293)$(59,285)Impact on fair value of 20% adverse change$(137,449)$(119,776)Weighted average per loan annual cost to service:$65.02 $68.27 Impact on fair value of 10% adverse change$(36,191)$(24,111)Impact on fair value of 20% adverse change$(72,381)$(48,985)

80

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

These assumptions and sensitivities are hypothetical and should be considered with caution. Changes in fair value based on 10% and 20% variations in assumptions generally cannot be extrapolated because the relationship of the change in assumptions to the change in fair value may not be linear. Also, the effect of a variation in a particular assumption on the fair value of MSR is calculated without changing any other assumptions. In reality, changes in one factor may result in changes in