Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 120

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 120
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,992 3,266 8,438,258 ≥ 10 years— 284 284 Total$8,603,257 $3,613 $8,606,870 

9

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, 2025March 31, 2024(in thousands)AgencyNon-AgencyTotalAgencyNon-AgencyTotalAllowance for credit losses at beginning of period$(2,386)$(480)$(2,866)$(3,619)$(324)$(3,943)Additions on securities for which credit losses were not previously recorded(31)— (31)(37)(17)(54)Decrease (increase) on securities with previously recorded credit losses(109)46 (63)24 (50)(26)Write-offs253 27 280 415 1 416 Allowance for credit losses at end of period$(2,273)$(407)$(2,680)$(3,217)$(390)$(3,607)The following tables present the components comprising the carrying value of AFS securities for which an allowance for credit losses has not been recorded by length of time that the securities had an unrealized loss position as of March 31, 2025 and December 31, 2024. At March 31, 2025 and December 31, 2024, the Company held 893 and 632 AFS securities, respectively; of the securities for which an allowance for credit losses has not been recorded, 198 and 159 were in an unrealized loss position for less than twelve consecutive months and 321 and 370 were in an unrealized loss position for more than twelve consecutive months, respectively.March 31, 2025Unrealized Loss Position forLess than 12 Months12 Months or MoreTotal(in thousands)Estimated Fair ValueGross Unrealized LossesEstimated Fair ValueGross