Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 57

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 57
---
 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 to service:$65.03 $65.02 Impact on fair value of 10% adverse change$(37,578)$(36,191)Impact on fair value of 20% adverse change$(75,157)$(72,381)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 another (e.g., increased market interest rates may result in lower prepayments and increased credit losses) that could magnify or counteract the sensitivities. Further, these sensitivities show only the change in the asset balances and do not show any expected change in the fair value of the instruments used to manage the interest rates and prepayment risks associated with these assets.

13

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

Risk Mitigation ActivitiesThe primary risks associated with the Company’s MSR are