Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 52

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 52
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 beneficiary (i.e., the Company does not have both the power to direct the activities of the VIEs that most significantly impact the entities’ performance, and the obligation to absorb losses or the right to receive benefits of the entities that could be significant). The Company’s investments in non-Agency securities are issued by entities that are deemed to be VIEs for which the Company has concluded it is not the primary beneficiary and, therefore, has not consolidated. The Company’s maximum exposure to loss from these unconsolidated VIEs is limited to the fair value of the Company’s investments in non-Agency securities issued by such VIEs. As of June 30, 2025 and December 31, 2024, the carrying value of all non-Agency securities issued by unconsolidated VIEs was $3.4 million and $3.7 million, respectively.The following tables present the amortized cost and carrying value of AFS securities by collateral type as of June 30, 2025 and December 31, 2024:June 30, 2025(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueAgency:Principal and interest$8,378,925 $136,588 $(107,891)$8,407,622 $— $28,749 $(140,569)$8,295,802 Interest-only390,314 25,111 — 25,111 (1,894)528 (2,239)21,506 Total Agency8,769,239 161,699 (107,891)8,432,733 (1,894)29,277 (142,808)8,317,308 Non-Agency480,612 3,492 (14)4,010 (341)206 (426)3,449 Total$9,249,851 $165,191 $(107,905)$8,436,743 $(2,235)$29,483 $(143,234)$8,320,757 December 31, 2024(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueAgency:Principal and interest$7,600