Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 19

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 19
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ated Financial Statements (unaudited)

At March 31, 2025 and December 31, 2024, the Company did not have any securities purchased from and financed with the same counterparty that did not meet the conditions of ASC 860, Transfers and Servicing, to be considered linked transactions and, therefore, classified as derivatives.The Company is not required to consolidate VIEs for which it has concluded it 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 these unconsolidated VIEs include all non-Agency securities, which are classified within available-for-sale securities, at fair value on the consolidated balance sheets. As of March 31, 2025 and December 31, 2024, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $3.6 million and $3.7 million, respectively.The following tables present the amortized cost and carrying value of AFS securities by collateral type as of March 31, 2025 and December 31, 2024:March 31, 2025(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueAgency:Principal and interest$8,632,420 $150,466 $(39,458)$8,743,428 $— $18,926 $(181,155)$8,581,199 Interest-only424,848 26,419 — 26,419 (2,273)505 (2,593)22,058 Total Agency9,057,268 176,885 (39,458)8,769,847 (2,273)19,431 (183,748)8,603,257 Non-Agency494,482 3,590 (15)4,140 (407)214 (334)3,613 Total$9,551,750 $180,475 $(39,473)$8,773,987 $(2,680)$19,645 $(184,082)$8,606,870 December 31, 2024(in