Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 10

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 2
Chunk 10
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-rate mortgage loans. Our Agency portfolio also includes securities with implicit prepayment protection, including lower loan balances (securities collateralized by loans of less than $300,000 in initial principal balance), higher LTVs (securities collateralized by loans with LTVs greater than or equal to 80%), certain geographic concentrations, loans secured by investor-owned properties and lower FICO scores. Our overall allocation of Agency RMBS and holdings of pools with specific characteristics are viewed in the context of our aggregate portfolio strategy, including MSR and related derivative hedging instruments. Additionally, the selection of securities with certain attributes is driven by the perceived relative value of the securities, which factors in the opportunities in the marketplace, the cost of financing and the cost of hedging interest rate, prepayment, credit and other portfolio risks. Accordingly, our Agency RMBS capital allocation reflects management’s flexible approach to investing in the marketplace.

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The following tables provide the carrying value of our Agency RMBS portfolio by underlying mortgage loan rate type:

June 30, 2025(dollars in thousands)Principal/ Current FaceCarrying ValueWeighted Average CPR (1)% Prepayment ProtectedGross Weighted Average Coupon RateAmortized CostAllowance for Credit LossesWeighted Average Loan Age (months)Agency RMBS AFS:30-Year Fixed:3.0%$— $— — %— %— %$— $— — 3.5%— — — %— %— %— — — 4.0%193,317 182,284 8.6 %100.0 %4.5 %200,289 — 104 4.5%1,720,795 1,662,477 8.3 %85.7 %5.1 %1,722,471 — 46 5.0%1,601,163 1,584,002 13.6 %100.0 %5.7 %1,629,102 — 39 5.5%1,292,700 1,302,231 9.5 %99.8 %6.4 %1,302,482 — 31 6.0%2,468,457 2,519,481 7.0 %87.1 %6.9 %2,508,