Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 241

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 2
Chunk 241
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24,451 10.6 %— %7.1 %28,484 — 99 Total Agency RMBS$9,439,647 $8,627,708 88.9 %$8,798,331 $(2,273)

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 — 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.