Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 119

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 119
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 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)

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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.

51

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 June 30, 2025, and the four immediately preceding quarters:

Three Months Ended(in thousands)June 30,2025March 31,2025December 31,2024September 302024June 30,2024UPB at beginning of period$196,773,345 $200,317,009 $202,052,184 $209,389,409 $213,596,880 Purchases of mortgage servicing rights6,554,362 154,724 2,439,058 3,287,735 327,750 Origination and recapture of mortgage servicing rights34,054 20,225 43,132 17,359 — Sales of mortgage servicing rights— — 2,828 (6,247,585)— Scheduled payments(1,637,296)(1,623,566)(1,647,137)(1,640,591)(1,639,278)Prepaid(2,913,721)(2,110,028)(2,545,