Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 20

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 20
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 thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueAgency:Principal and interest$7,600,374 $135,743 $(71,116)$7,665,001 $— $2,789 $(321,829)$7,345,961 Interest-only462,886 27,747 — 27,747 (2,386)473 (3,818)22,016 Total Agency8,063,260 163,490 (71,116)7,692,748 (2,386)3,262 (325,647)7,367,977 Non-Agency503,924 3,724 (16)4,279 (480)244 (309)3,734 Total$8,567,184 $167,214 $(71,132)$7,697,027 $(2,866)$3,506 $(325,956)$7,371,711 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of March 31, 2025:March 31, 2025(in thousands) Agency Non-Agency Total< 1 year$250 $— $250 ≥ 1 and < 3 years10,601 — 10,601 ≥ 3 and < 5 years157,414 63 157,477 ≥ 5 and < 10 years8,434,992 3,266 8,438,258 ≥ 10 years— 284 284 Total$8,603,257 $3,613 $8,606,870 

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Table of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

Measurement of Allowances for Credit Losses on AFS Securities The Company uses a discounted cash flow method to estimate and recognize an allowance for credit losses on both Agency and non-Agency AFS securities that are not accounted for under the fair value option. The following table presents the changes in the allowance for credit losses on Agency and non-Agency AFS securities for the three months ended March 31, 2025 and 2024:Three Months EndedThree Months EndedMarch 31