Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 118

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 118
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%422,043 — 6 7,684,861 7,674,492 9.0 %92.1 %6.2 %7,785,347 — 27 Other P&I694,064 621,310 5.6 %— %5.7 %622,275 — 17 Interest-only390,314 21,506 9.0 %— %5.4 %25,111 (1,894)180 Agency Derivatives1,259,132 69,760 11.3 %— %7.1 %70,322 — 38 Total Agency RMBS$10,028,371 $8,387,068 84.2 %$8,503,055 $(1,894)

December 31, 2024(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%$220,041 $188,239 4.9 %85.7 %3.7 %$195,717 $— 38 3.5%109,474 97,261 3.1 %84.3 %4.1 %97,831 — 51 4.0%585,683 537,910 9.4 %100.0 %4.6 %577,462 — 55 4.5%2,076,840 1,972,162 7.5 %100.0 %5.1 %2,123,706 — 52 5.0%1,759,213 1,713,538 6.9 %100.0 %5.8 %1,791,565 — 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 —