Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 144

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 144
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 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 December 31, 2024 and December 31, 2023, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $3.7 million and $4.2 million, respectively.

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

The following tables present the amortized cost and carrying value of AFS securities by collateral type as of December 31, 2024 and December 31, 2023:December 31, 2024(in 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 December 31, 2023(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueAgency:Principal and interest$8,421,733 $155,171 $(130,932)$8,445,972 $— $22,677 $(196,748)$8,