Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 144

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 2
Chunk 144
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 obligations, or Ginnie Mae mortgage pass-through certificates, which are backed by the guarantee of the U.S. government. The majority of our Agency RMBS portfolio is comprised of whole pool certificates.

The table below summarizes certain characteristics of our Agency RMBS AFS at September 30, 2025:

September 30, 2025(dollars in thousands, except purchase price)Principal/ Current FaceNet (Discount) PremiumAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueWeighted Average Coupon RateWeighted Average Purchase PriceP&I securities$6,281,036 $94,289 $6,375,325 $— $27,015 $(77,712)$6,324,628 5.26 %$101.68 Interest-only securities358,471 23,887 23,887 (1,494)405 (2,553)20,245 2.06 %$27.52 Total$6,639,507 $118,176 $6,399,212 $(1,494)$27,420 $(80,265)$6,344,873 

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Mortgage Servicing Rights, at Fair Value

One of our wholly owned subsidiaries, TH MSR Holdings, has approvals from Fannie Mae and Freddie Mac to own and manage MSR, which represent the right to control the servicing of residential mortgage loans. TH MSR Holdings acquires MSR from third-party originators through flow and bulk purchases, as well as through the recapture of MSR on loans in its MSR portfolio that refinance. Beginning in 2024, TH MSR Holdings also acquires MSR on loans originated by its subsidiary, RoundPoint, through purchases and recapture of MSR. As of both September 30, 2025 and December 31, 2024, our MSR had a fair market value of $2.6 billion.

As of September 30, 2025, our MSR portfolio included MSR on 720,038 loans with an unpaid principal balance of approximately $175.8 billion. The following table summarizes certain characteristics of the loans underlying our MSR by gross weighted average coupon rate types and ranges at September 30, 2025:

September 30, 2025(dollars in thousands)Number of LoansUnpaid Principal BalanceWeighted Average Gross Coupon RateWeighted Average Current Loan SizeWeighted Average Loan Age (months)Weighted Average Original