Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 186

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 186
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,006 $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 September 30, 2025 and December 31, 2024:(in thousands)September 30,2025December 31,2024Agency:Federal National Mortgage Association$3,907,082 $4,764,502 Federal Home Loan Mortgage Corporation2,254,707 2,505,390 Government National Mortgage Association183,084 98,085 Non-Agency3,284 3,734 Total available-for-sale securities$6,348,157 $7,371,711 At September 30, 2025 and December 31, 2024, the Company pledged AFS securities with a carrying value of $6.2 billion and $7.1 billion, respectively, as collateral for repurchase agreements. See Note 13 - Financing.

9

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

At September 30, 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 is not the primary beneficiary (i.e., the Company 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 non-Agency securities are issued by entities that are deemed to be VIEs for which the Company has concluded it is not the primary beneficiary and, therefore, has not consolidated. The Company’s maximum exposure to loss from these unconsolidated VIEs is limited to the fair value of the Company’s investments in non-Agency securities issued by such VIEs. As of September 30, 2025 and December 31, 2024, the carrying value of all non-Agency securities issued by unconsolid