Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 253

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 253
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 — 33 5.5%1,411,225 1,401,684 6.7 %99.8 %6.4 %1,422,048 — 25 6.0%499,542 505,297 13.0 %91.5 %6.9 %509,491 — 25 ≥ 6.5%377,197 388,924 9.7 %100.0 %7.5 %389,382 — 12 7,039,215 6,805,015 7.7 %98.7 %5.7 %7,107,202 — 37 Other P&I561,159 540,946 0.1 %— %5.4 %557,799 — 15 Interest-only462,886 22,016 10.1 %— %5.4 %27,747 (2,386)172 Agency Derivatives135,310 8,988 9.9 %— %6.6 %14,731 — 235 Total Agency RMBS$8,198,570 $7,376,965 91.1 %$7,707,479 $(2,386)

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(1)Weighted average actual one-month CPR released at the beginning of the following month based on RMBS held as of the preceding month-end.

52

Our MSR portfolio offers attractive spreads and has many risk reducing characteristics when paired with our Agency RMBS portfolio. The following table summarizes activity related to the UPB of loans underlying our MSR portfolio for the three months ended September 30, 2025, and the four immediately preceding quarters:

Three Months Ended(in thousands)September 30,2025June 30,2025March 31,2025December 312024September 30,2024UPB at beginning of period$198,822,611 $196,773,345 $200,317,009 $202,052,184 $209,389,409 Purchases of mortgage servicing rights663,744 6,554,362 154,724 2,439,058 3,287,735 Origination and recapture of mortgage servicing rights34,497 34,054 20,225 43