Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 15

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 15
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Accretable 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 September 30, 2025:September 30, 2025(in thousands) Agency Non-Agency Total< 1 year$228 $— $228 ≥ 1 and < 3 years10,650 — 10,650 ≥ 3 and < 5 years747,342 — 747,342 ≥ 5 and < 10 years5,550,284 3,284 5,553,568 ≥ 10 years36,369 — 36,369 Total$6,344,873 $3,284 $6,348,157 

10

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 tables present the changes in the allowance for credit losses on Agency and non-Agency AFS securities for the three and nine months ended September 30, 2025 and 2024:Three Months EndedNine Months EndedSeptember 30, 2025September