Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 191

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 191
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 PriceP&I securities$8,632,420 $111,008 $8,743,428 $— $18,926 $(181,155)$8,581,199 5.25 %$101.50 Interest-only securities424,848 26,419 26,419 (2,273)505 (2,593)22,058 2.03 %$26.13 Total$9,057,268 $137,427 $8,769,847 $(2,273)$19,431 $(183,748)$8,603,257 

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 both March 31, 2025 and December 31, 2024, our MSR had a fair market value of $3.0 billion.

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As of March 31, 2025, our MSR portfolio included MSR on 794,466 loans with an unpaid principal balance of approximately $196.8 billion. The following table summarizes certain characteristics of the loans underlying our MSR by gross weighted average coupon rate types and ranges at March 31, 2025:

March 31, 2025(dollars in thousands)Number of LoansUnpaid Principal BalanceWeighted Average Gross Coupon RateWeighted Average Current Loan SizeWeighted Average Loan Age (months)Weighted Average Original FICOWeighted Average Original LTV60+ Day Delinquencies3-Month CPRNet Servicing Fee (bps)30-Year Fixed:≤ 3.25%288,800 $88,127,009 2.8 %$361 50 768 70.9 %0.4 %3.1 %25.1 > 3.25 - 3.75%138,217 34,682,304 3.4 %320 62 753 74.1 %0.