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November 3, 2023

United States Securities and Exchange Commission

Division of Corporation Finance

Office of Real Estate & Construction

100 F. Street, N.E.

Washington, D.C. 20549

Attention: Babette Cooper and Jennifer Monick

    Re:
    Two Harbors
    Investment Corp.

    Form 10-K for the Fiscal
    Year Ended December 31, 2022

    Filed February 28, 2023

    Form 8-K filed July 31,
    2023

    File No. 001-34506

Dear Ms. Cooper and Ms. Monick:

We refer to the comment letter dated October 20, 2023 from the Staff
of the Securities and Exchange Commission concerning the Form 10-K for the year ended December 31, 2022, filed on February 28, 2023 and
the Form 8-K filed on July 31, 2023 for Two Harbors Investment Corp. (the “Company”). We have set forth in boldface type
the text of the Staff’s comments in the aforementioned comment letter, followed by the Company’s responses in plain text.

Form 10-K for the year ended December 31, 2022

Item 7. Management’s Discussion and Analysis of Financial
Condition and Results of Operations General, page 28

 1. We note your response to our comment 1 stating it would
                                            be difficult to reconcile the average portfolio yield, average cost of financing, and net
                                            spread to similar GAAP measures. We also note your disclosure stating that the average portfolio
                                            yield and average cost of financing measures include a non-GAAP measure in their calculations.
                                            Please tell us why you believe you can present ratios where a non-GAAP financial measure
                                            is included in the numerator and/or denominator without also presenting the ratio calculated
                                            using the most directly comparable GAAP measure(s) with equal or greater prominence. Also,
                                            please tell us what consideration you gave to providing reconciliations of the numerators
                                            and denominators of these measures. Please refer to Question 102.10(a) of our Compliance
                                            & Disclosure Interpretations for Non-GAAP Financial Measures and Item 10(e) of Regulation
                                            S-K.

Response:

The Company’s disclosure of average portfolio yield, average
cost of financing, and net spread has been designed to be reflective of the Company’s aggregate portfolio assets and liabilities
and related derivative hedges. The calculation of these metrics includes adjustments for certain non-GAAP financial measures (such as
MSR estimated amortization and TBA dollar roll income) as well as calculations of yield or cost of financing, income or expense, amortized
cost, or outstanding borrowings on items for which GAAP presentation and disclosure requirements do not define or include concepts of
yield or cost of financing, income or expense, amortized cost, or outstanding borrowings. Accordingly, the non-GAAP figures do not alone
represent the numerator or denominator (as described in Question 102.10(a)) in the referenced ratios, but one of numerous components,
and adjusting solely for non-GAAP adjustments would not produce a GAAP-equivalent ratio.

As disclosed in our letter to the Staff dated October 11, 2023, the Company
believes the presentation of average portfolio yield, average cost of financing, and net spread is useful to investors in understanding
the Company’s financial performance. The Company has disclosed these metrics for its aggregate portfolio in its Annual Reports
on Form 10-K, Quarterly Reports on Form 10-Q as well as in quarterly earnings releases filed as exhibits to Current Reports on Form 8-K.
The Company has also historically provided more detailed information on portfolio yields and costs in its quarterly earnings presentations
filed as exhibits to Current Reports on Form 8-K. These more detailed presentations provide information by asset class and financing
type used to derive the average portfolio yield, average cost of financing, and net spread for the aggregate portfolio.

The Company respectfully acknowledges the Staff’s comment and
in future filings will remove from its Form 10-K, Form 10-Q and quarterly earnings releases the abbreviated tables that only provide
aggregate portfolio yield and cost. Further, the Company will continue to provide the more detailed presentation of portfolio yields
and financing costs, by asset class and financing type, in its quarterly earnings presentations. In this presentation, the Company will
first disclose the yield, financing costs and net spread on available-for-sale (AFS) securities, which management views as the GAAP measure
most directly comparable to the above reference aggregate portfolio yield and cost. The yield earned on AFS securities is based on GAAP
interest income earned divided by GAAP average amortized cost; the cost of financing on AFS securities is based on GAAP interest expense
incurred on the repurchase agreements related to the AFS securities divided by the GAAP average outstanding balances of the repurchase
agreements; and the resulting GAAP net spread represents the GAAP yield less the GAAP cost of financing on its AFS securities.

The proposed table and accompanying end notes are set forth below:

    Three
Months Ended September 30, 2023

($ thousands)

    Portfolio
    Asset Type
    Measure
    Average
    Amortized

    Cost
    Income(1)
    Average
    Yield

    Available-for-sale
    securities
    GAAP
    $                        9,284,380

    $                       107,827

    4.65%

    Adjustments
    to include other portfolio items:

    Mortgage
    servicing rights(2)(3)
    Non-GAAP
    2,029,201
    59,276
    11.68%

    Agency
    derivatives(2)(4)
    Non-GAAP
    18,257
    91
    1.99%

    TBAs(2)(5)
    Non-GAAP
    2,599,044
    22,517
    3.47%

    Total
    portfolio
    Non-GAAP
    $                     13,930,882

    $                       189,711

    5.45%

    Financing
    Collateral Type
    Measure
    Average

    Outstanding

    Balance
    Expense(6)
    Average
    Cost

    Borrowings
    collateralized by available-for-sale securities
    GAAP
    $                        8,757,647

    $                       122,746

    5.61%

    Adjustments
    to include other financing items:

    Borrowings
    collateralized by mortgage servicing rights and advances
    GAAP
    2,021,279
    45,539
    9.01%

    Borrowings
    collateralized by Agency derivatives(4)
    GAAP
    11,679
    173
    5.93%

    Convertible
senior notes
    GAAP
    268,043
    4,636
    6.92%

    Interest
    rate swaps(2)(7)
    Non-GAAP

    (6,851)
    (0.20)%

    U.S.
    Treasury futures(2)(8)
    Non-GAAP

    (11,174)
    (0.33)%

    TBAs(2)(5)
    Non-GAAP
    2,599,044
    24,623
    3.79%

    Total
    financing
    Non-GAAP
    $                      13,657,692

    $                       179,692

    5.26%

    Net
    Spread
    Measure

    Average
    Yield, less

    Cost

    Net
    spread on AFS securities
    GAAP

    (0.96)%

    Net
    spread on total portfolio
    Non-GAAP

    0.19%

1. Includes interest
income, net of premium amortization/discount accretion, on Agency and non-Agency investment securities, servicing income, net of
estimated amortization and servicing expenses, on MSR, and the implied asset yield portion of dollar roll income on TBAs.
Amortization on MSR refers to the portion of change in fair value of MSR primarily attributed to the realization of expected cash
flows (runoff) of the portfolio, which is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair
value. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase
agreements.

2.
As reported elsewhere in the company’s filings with the Securities and Exchange Commission, MSR, Agency derivatives, TBA,
interest rate swap agreements and U.S. Treasury futures are reported at fair value in the company’s consolidated financial
statements in accordance with GAAP, and the GAAP presentation and disclosure requirements for these items do not define or include
the concepts of yield or cost of financing, amortized cost, or outstanding borrowings.

3.
Amortized cost on MSR for a given period equals the net present value of the remaining future cash flows (obtained by applying
original prepayment assumptions to the actual unpaid principal balance at the start of the period) using a discount rate equal to
the original pricing yield. Original pricing yield is the discount rate which makes the net present value of the cash flows
projected at purchase equal to the purchase price. MSR amortized cost is deemed a non-GAAP measure due to the company’s
decision to account for MSR at fair value.

4.
Represents inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP.

5.
Both the implied asset yield and implied financing benefit/cost of dollar roll income on TBAs are calculated using the average cost
basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS
using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP.

6.
Includes interest expense and amortization of deferred debt issuance costs on borrowings under repurchase agreements (excluding
those collateralized by U.S. Treasuries), revolving credit facilities, term notes payable and convertible senior notes, interest
spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements, and
the implied financing benefit/cost portion of dollar roll income on TBAs. TBA dollar roll income is the non-GAAP economic equivalent
to holding and financing Agency RMBS using short-term repurchase agreements.

7.
The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company’s outstanding
borrowings is calculated using average borrowings balance as the denominator.

8.
The cost of financing on U.S. Treasury futures held to mitigate interest rate risk associated with the company’s outstanding
borrowings is calculated using average borrowings balance as the denominator. U.S. Treasury futures income is the economic
equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase
agreements.

Form 8-K filed July 31, 2023

Exhibit 99.1

Reconciliation of GAAP to Non-GAAP Financial Information, page
11

 2. We note your response to our comment 2 stating that the
                                            litigation expenses pertain to ongoing litigation with PRCM Advisers LLC. It appears that
                                            such litigation expenses occurred in both 2022 and 2023. Please tell us why you believe this
                                            adjustment is appropriately labeled as "Other nonrecurring expenses" given its
                                            ongoing nature. Please refer to Question 102.03 of our Compliance & Disclosure Interpretations
                                            for Non-GAAP Financial Measures and Item 10(e) of Regulation S-K.

Response:

As disclosed in our response letter dated October 11, 2023, management
does not view these litigation expenses as being recurring in nature, as they are not normal operating expenses incurred in connection
with the Company’s business of investing in and managing Agency RMBS and MSR or operating as a real estate investment trust, as
defined under the Internal Revenue Code of 1986, as amended. However, the Company respectfully acknowledges the Staff’s comment
and in future filings will rename the adjustment for “Other nonrecurring expenses” as “Certain operating expenses.”
Footnote disclosure will be provided to indicate that such amount predominantly consists of expenses incurred in connection with the
Company’s ongoing litigation with PRCM Advisers LLC and that it also includes certain transaction expenses incurred in connection
with the Company’s acquisition of RoundPoint Mortgage Servicing LLC.

 3. We note your response to our comment 3. Please address
                                            the following regarding your non-GAAP financial measure labeled Income Excluding Market-Driven
                                            Value Changes:

 · Please
                                            revise your disclosure in future earnings releases to more clearly describe the measure.
                                            Please refer to Question 100.05 of our Compliance & Disclosure Interpretations for Non-GAAP
                                            Financial Measures.

 · We
                                            note your response states that the purpose of presenting this measure is to allow investors
                                            to better understand the sources of returns from the Company’s investment portfolio,
                                            operating expenses and tax expenses. As this measure appears to isolate income excluding
                                            market-driven changes, please tell us what consideration you gave to supplementing your presentation
                                            with the other sources of returns (i.e. market-driven changes) that are not presented in
                                            this measure.

In your response, please provide an example
of any intended revisions to your disclosure.

Response:

The Company has evaluated its disclosures of Income Excluding Market-Driven
Value Changes, or IXM, and proposes to make certain revisions that are designed to more clearly describe the calculation of this measure,
explain its purpose and to make it easier for analysts and investors to reconcile back to the most comparable GAAP measure. As discussed
with the Staff on October 25, 2023, the Company has historically provided a more detailed presentation of IXM in its quarterly earnings
presentations filed as exhibits to Current Reports on Form 8-K. The proposed updates to these slides and the accompanying end notes are
set forth below. Revisions that have been incorporated include: (i) updating the line items on the “Results and Return Contributions”
and “IXM Quarterly Review” slides such that each line item therein can be mapped back to a specific GAAP income statement
line item; (ii) expanding the “Comparison of GAAP and Non-GAAP Measures” slide to the appendix to provide a mapping
of the various IXM line items to specific GAAP income statement line items; and (iii) updating end note disclosures to align with the
description of IXM and calculation of market-driven value changes provided in our letter to the Staff dated October 11, 2023.

Results and Return Contributions

    Three
    Months Ended September 30, 2023

    ($ in thousands)
    Total

    Comprehensive

    Loss
    Market-Driven

    Value Changes

    and Certain

    Operating

    Expenses (1)(2)
    Income

    Excluding Market-

    Driven Value

    Changes (IXM) (3)

    RMBS
    and other Agency securities (4)

    Coupon
    income
     $                      114,170

    $
                                          ---
     $                      114,170

    Amortization
    (6,652)
    ---
    (6,652)

    Realized
    and unrealized, and provision for credit losses
    (353,528)
    (391,159)
    37,631

    Funding
    expense
    (122,919)
    ---
    (122,919)

    MSR

    Servicing
    fee income
    141,816

    ---
    141,816

    Float,
    ancillary and other inc