Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 77

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 7
Chunk 77
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%6.4 %1,422,048 — 25 6.0%499,542 505,297 13.0 %91.5 %6.9 %509,491 — 25 ≥ 6.5%377,197 388,924 9.7 %100.0 %7.5 %389,382 — 12 7,039,215 6,805,015 7.7 %98.7 %5.7 %7,107,202 — 37 Other P&I561,159 540,946 0.1 %— %5.4 %557,799 — 15 Interest-only462,886 22,016 10.1 %— %5.4 %27,747 (2,386)172 Agency Derivatives135,310 8,988 9.9 %— %6.6 %14,731 — 235 Total Agency RMBS$8,198,570 $7,376,965 91.1 %$7,707,479 $(2,386)

December 31, 2023(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:≤ 2.5%$420,720 $359,801 3.6 %— %3.3 %$359,188 $— 30 3.0%237,874 211,852 2.6 %85.4 %3.7 %210,850 — 26 3.5%125,647 115,675 2.0 %84.9 %4.3 %113,092 — 22 4.0%503,451 479,715 5.2 %100.0 %4.6 %508,294 — 49 4.5%2,331,021 2,281,535 5.2 %100.0 %5.1 %2,384,460 — 40