Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 176

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 176
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 HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements

At December 31, 2024, the Company determined the fair value of its MSR internally using a discounted cash flow model. At December 31, 2023, the Company determined the fair value of its MSR based on prices obtained from multiple third-party pricing vendors who also used discounted cash flow models to inform their best estimates of fair value market price. The tables below present information about the significant unobservable market data used by management and/or the third-party pricing vendors 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 December 31, 2024 and December 31, 2023:December 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$65.02December 31, 2023Unobservable InputRangeWeighted Average (2)Constant prepayment speed5.0%-6.9%6.2%Option-adjusted spread4.8%-8.6%5.3%Per loan annual cost to service$66.31-$81.30$68.27___________________(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.(2)Calculated by averaging the weighted average significant unobservable inputs used by the multiple third-party pricing vendors in the fair value measurement of MSR.The Company determines 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 Company did not hold any IRLCs at December 31, 2023. The table below presents information about the pull-through rates used in the valuation of IRLCs at December 31, 2024:December 31, 2024Unobservable InputRangeWeighted Average (1)Pull-through rate69.3%-99.8%84.4%___________________(1)Calculation utilizes underlying loan principal balance for weighting purposes.Certain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on