Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 23

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 23
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in thousands)20252024Balance at beginning of period$2,994,271 $3,052,016 Purchases of mortgage servicing rights1,493 40,072 Additions from sales of mortgage loans230 — Sales of mortgage servicing rights— (18,221)Changes in fair value due to:Changes in valuation inputs or assumptions used in the valuation model16,016 59,780 Other changes in fair value (1)(52,237)(48,768)Balance at end of period (2)$2,959,773 $3,084,879 ____________________(1)Primarily represents changes due to the realization of cash flows.(2)Based on the prior month-end’s principal balance of the loans underlying the Company’s MSR, increased for current month purchases.At both March 31, 2025 and December 31, 2024, the Company pledged MSR with a carrying value of $3.0 billion as collateral for repurchase agreements and revolving credit facilities. See Note 13 - Repurchase Agreements and Note 14 - Revolving Credit Facilities. 

11

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

As of March 31, 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)March 31,2025December 31, 2024Weighted average prepayment speed:6.4 %6.3 %Impact on fair value of 10% adverse change$(59,687)$(61,975)Impact on fair value of 20% adverse change$(115,972)$(120,142)Weighted average delinquency:0.9 %0.8 %Impact on fair value of 10% adverse change$(1,264)$(1,297)Impact on fair value of 20% adverse change$(2,538)$(2,567)Weighted average option-adjusted spread:5.3 %5.1 %Impact on fair value of 10% adverse change$(74,299)$(70,293)Impact on fair value of 20% adverse change$(145,064)$(137,449)Weighted average per loan annual cost to