Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 91

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 91
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4Balance Sheet Data:Available-for-sale securities$8,606,870 $7,371,711 Mortgage servicing rights$2,959,773 $2,994,271 Total assets$13,683,313 $12,204,319 Repurchase agreements$9,740,830 $7,805,057 Revolving credit facilities$933,171 $1,020,171 Convertible senior notes$260,591 $260,229 Total stockholders’ equity$2,146,789 $2,122,509 

Available-for-Sale Securities, at Fair Value

The majority of our AFS investment securities portfolio is comprised of fixed rate Agency mortgage-backed securities backed by single-family and multi-family mortgage loans. We also hold $3.6 million in tranches of mortgage-backed and asset-backed P&I and interest-only non-Agency securities. All of our P&I Agency RMBS AFS are Fannie Mae or Freddie Mac mortgage pass-through certificates or collateralized mortgage obligations, or Ginnie Mae mortgage pass-through certificates, which are backed by the guarantee of the U.S. government. The majority of our Agency RMBS portfolio is comprised of whole pool certificates.

The table below summarizes certain characteristics of our Agency RMBS AFS at March 31, 2025:

March 31, 2025(dollars in thousands, except purchase price)Principal/ Current FaceNet (Discount) PremiumAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueWeighted Average Coupon RateWeighted Average Purchase PriceP&I securities$8,632,420 $111,008 $8,743,428 $— $18,926 $(181,155)$8,581,199 5.25 %$101.50 Interest-only securities424,848 26,419 26,419 (2,273)505 (2,593)22,058 2.03 %$26.13 Total$9,057,268 $137,427 $8,769,847 $(2,273)$19,431 $(183,748)$8,603,257 

Mortgage Servicing Rights, at Fair Value

One of our wholly owned subsidiaries, TH MSR Holdings, has approvals from Fannie Mae and Freddie Mac to own and manage MSR, which represent the right to control