Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 14

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 14
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 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 unconsolidated VIEs was $3.3 million and $3.7 million, respectively.The following tables present the amortized cost and carrying value of AFS securities by collateral type as of September 30, 2025 and December 31, 2024:September 30, 2025(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying ValueAgency:Principal and interest$6,281,036 $119,311 $(25,022)$6,375,325 $— $27,015 $(77,712)$6,324,628 Interest-only358,471 23,887 — 23,887 (1,494)405 (2,553)20,245 Total Agency6,639,507 143,198 (25,022)6,399,212 (1,494)27,420 (80,265)6,344,873 Non-Agency466,657 3,400 (14)3,902 (360)199 (457)3,284 Total$7,106,164 $146,598 $(25,036)$6,403,114 $(1,854)$27,619 $(80,722)$6,348,157 December 31, 2024(in thousands)Principal/ Current FaceUn-amortized Premium