Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 88

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 7
Chunk 88
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Total realized losses on sales(6,760)(82,901)(39,304)(118,876)(Provision for) reversal of provision for credit losses(284)328 (259)545 Other(965)104 (475)48,361 Loss on investment securities$(8,009)$(82,469)$(40,038)$(69,970)

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In the ordinary course of our business, we make investment decisions and allocate capital in accordance with our views on the changing risk/reward dynamics in the market and in our portfolio. We do not expect to sell assets on a frequent basis, but may sell assets to reallocate capital into new assets that we believe have higher risk-adjusted returns.

We use a discounted cash flow method to estimate and recognize an allowance for credit losses on AFS securities. Subsequent adverse or favorable changes in expected cash flows are recognized immediately in earnings as a provision for or reversal of provision for credit losses (within loss on investment securities).

The majority of the “other” component of loss on investment securities is related to changes in unrealized gains (losses) on certain AFS securities for which we have elected the fair value option. Fluctuations in this line item are primarily driven by the reclassification of unrealized gains and losses to realized gains and losses upon sale, as well as changes in fair value assumptions.

Gain (Loss) On Servicing Asset

The following table presents the components of gain (loss) on servicing asset for the three and twelve months ended December 31, 2024 and 2023:

Three Months EndedYear EndedDecember 31,December 31,(in thousands)2024202320242023Changes in fair value due to changes in valuation inputs or assumptions used in the valuation model$139,393 $(115,944)$140,168 $97,859 Changes in fair value due to realization of cash flows (runoff)(57,367)(55,486)(231,606)(227,663)Gains (losses) on sales (1)494 (1,159)28,764 18,184 Gain (loss) on servicing asset$82,520 $(172,589)$(62,674)$(111,620)

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(1)During the year ended December 31, 2023, excess MSR was transferred to Agency-sponsored trusts in exchange for stripped mortgage backed securities, or SMBS. In each transaction, a portion of the SMBS was