Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 78

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 7
Chunk 78
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5.0%2,084,422 2,078,510 3.6 %100.0 %5.8 %2,125,950 — 21 5.5%1,358,288 1,370,920 5.4 %99.8 %6.4 %1,371,534 — 18 6.0%779,560 795,963 6.1 %99.8 %6.9 %799,184 — 17 ≥ 6.5%8,448 8,853 7.4 %97.8 %7.8 %9,084 — 249 7,849,431 7,702,824 4.7 %94.7 %5.5 %7,881,636 — 28 Other P&I572,302 569,077 0.8 %— %5.3 %564,336 — 9 Interest-only840,723 51,098 5.3 %— %4.3 %58,567 (3,619)100 Agency Derivatives163,735 12,246 8.0 %— %6.7 %17,814 — 225 Total Agency RMBS$9,426,191 $8,335,245 87.5 %$8,522,353 $(3,619)

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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.

33

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 December 31, 2024, and the four immediately preceding quarters:

Three Months Ended(in thousands)December 31,2024September 30,2024June 30,2024March 31,2024December 31,2023UPB at beginning of period$202,052,184 $209,389,409 $213,596,880 $215,647,172 $218,662,270 Purchases of mortgage servicing rights2,439,058 3,287,