Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 94

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 7
Chunk 94
---
748 $(2,386)$3,262 $(325,647)$7,367,977 

December 31, 2023(dollars in thousands, except purchase price)Principal/ Current FaceNet (Discount) PremiumAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueWeighted Average Coupon RateWeighted Average Purchase PriceP&I securities$8,421,733 $24,239 $8,445,972 $— $22,677 $(196,748)$8,271,901 4.65 %$100.65 Interest-only securities840,723 58,567 58,567 (3,619)907 (4,757)51,098 2.08 %$17.25 Total$9,262,456 $82,806 $8,504,539 $(3,619)$23,584 $(201,505)$8,322,999 

43

Mortgage Servicing Rights, at Fair Value

One of our wholly owned subsidiaries, TH MSR Holdings, has approvals from Fannie Mae and Freddie Mac to own and manage MSR, which represent the right to control the servicing of residential mortgage loans. TH 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. As of December 31, 2024 and December 31, 2023, our MSR had a fair market value of $3.0 billion and $3.1 billion, respectively.

As of December 31, 2024 and December 31, 2023, our MSR portfolio included MSR on 803,091 and 848,264 loans with an unpaid principal balance of approximately $200.3 billion and $215.6 billion, respectively. The following tables summarize certain characteristics of the loans underlying our MSR by gross weighted average coupon rate types and ranges at December 31, 2024 and December 31, 2023:

December 31, 2024(dollars in thousands)Number of LoansUnpaid Principal BalanceWeighted Average Gross Coupon RateWeighted Average Current Loan SizeWeighted Average Loan Age (months)Weighted Average Original FICO