Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 187

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 187
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 by the VFNs, which are collateralized by portions of the Company’s MSR portfolio. During the six months ended June 30, 2024, all outstanding term notes previously issued by MSR Issuer Trust matured and were repaid.Another of the Company’s subsidiary trust entities, Servicing Advance Receivables Issuer Trust, was formed for the purpose of financing servicing advances through a revolving credit facility, pursuant to which Servicing Advance Receivables Issuer Trust issued a VFN backed by servicing advances pledged to the financing counterparty.Both MSR Issuer Trust and Servicing Advance Receivables Issuer Trust are considered VIEs for financial reporting purposes and were reviewed for consolidation under the applicable consolidation guidance. As the Company has both the power to direct the activities of the trusts 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 is the primary beneficiary and, thus, consolidates the trusts. Additionally, in accordance with arrangements entered into in connection with the securitization transaction and the servicing advance revolving credit facility, the Company has direct financial obligations payable to both MSR Issuer Trust and Servicing Advance Receivables Issuer Trust, which, in turn, support MSR Issuer Trust’s obligations to noteholders under the securitization transaction and Servicing Advance Receivables Issuer Trust’s obligations to the financing counterparty.The following table presents a summary of the assets and liabilities of all consolidated trusts as reported on the consolidated balance sheets as of June 30, 2025 and December 31, 2024:(in thousands)June 30,2025December 31,2024Restricted cash$52,443 $44,631 Other assets92,043 118,686 Total Assets$144,486 $163,317 Revolving credit facilities$89,000 $90,300 Accrued interest payable551 560 Other liabilities51,892 44,071 Total Liabilities$141,443 $134,931 

Note 5. Available-for-Sale Securities, at Fair Value

The Company holds both Agency and non-Agency available-for-sale, or AFS, investment securities which are carried at fair value on the consolidated balance sheets. The following table presents the Company’s AFS investment securities by collateral type as of June 30, 2025 and December 31, 2024:(in thousands)June