Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 88

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 88
---
4.48 %5.01 %4.84 %7.39 %4.74 %December 31, 2024Collateral Type(dollars in thousands)Agency RMBSNon-Agency SecuritiesAgency DerivativesMortgage Servicing RightsTotal Amount OutstandingWithin 30 days$2,373,562$—$4,262$—$2,377,82430 to 59 days2,316,237———2,316,23760 to 89 days1,304,175207731—1,305,11390 to 119 days759,177———759,177120 to 364 days291,706——75,000366,706One year and over———680,000680,000Total$7,044,857$207$4,993$755,000$7,805,057Weighted average days to maturity49661752094Weighted average borrowing rate4.90 %5.39 %5.31 %7.44 %5.15 %

34

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

The following table summarizes assets at carrying value that are pledged or restricted as collateral for the future payment obligations of the Company’s repurchase agreements:(in thousands)June 30,2025December 31,2024Available-for-sale securities, at fair value$8,207,842 $7,097,561 Mortgage servicing rights, at fair value (1)1,328,463 1,355,639 Restricted cash44,216 218,363 Due from counterparties38,221 25,231 Derivative assets, at fair value65,676 5,031 Total$9,684,418 $8,701,825 ____________________(1)As of June 30, 2025 and December 31, 2024, MSR repurchase agreements totaling $790.0 million and $755.0 million, respectively, were secured by VFNs issued in connection with the Company’s securitization of MSR. The VFNs are collateralized by portions of the Company’s MSR portfolio.Although the transactions under repurchase agreements represent committed borrowings until maturity, the respective lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets would require the Company to