Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 180

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 180
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,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.

46

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 March 31, 2025, and the four immediately preceding quarters:

Three Months Ended(in thousands)March 31,2025December 31,2024September 30,2024June 30,2024March 31,2024UPB at beginning of period$200,317,009 $202,052,184 $209,389,409 $213,596,880 $215,647,172 Purchases of mortgage servicing rights154,724 2,439,058 3,287,735 327,750 3,116,814 Origination and recapture of mortgage servicing rights20,225 43,132 17,359 — — Sales of mortgage servicing rights— 2,828 (6,247,585)— (1,430,294)Scheduled payments(1,623,566)(1,647,137)(1,640,591)(1,639,278)(1,645,501)Prepaid(2,110,028)(2,545,452)(2,779,533)(2,872,850)(2,110,763)Other changes14,981 (27,604)25,390 (23,093)19,452 UPB at end of period$196,773,345 $200,317,009 $202,052,184 $209,389,409 $213,596,880 

Counterparty exposure and leverage ratio 

We monitor counterparty exposure amongst our broker, banking and lending counterparties on a daily basis. We believe our broker and banking counterparties are well-capitalized organizations, and we attempt to manage our cash balances across these organizations to reduce our exposure to any single counterparty.

As of March 31, 2025, we had entered into repurchase agreements with 33 counterparties, 19 of which had outstanding balances. In addition, we held short- and long-term borrowings under revolving credit facilities, warehouse facilities and unsecured convertible senior notes. As of March 31,