Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 188

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 188
---
697,027 $(2,866)$3,506 $(325,956)$7,371,711 The following table presents the Company’s AFS securities according to their estimated weighted average life classifications as of September 30, 2025:September 30, 2025(in thousands) Agency Non-Agency Total< 1 year$228 $— $228 ≥ 1 and < 3 years10,650 — 10,650 ≥ 3 and < 5 years747,342 — 747,342 ≥ 5 and < 10 years5,550,284 3,284 5,553,568 ≥ 10 years36,369 — 36,369 Total$6,344,873 $3,284 $6,348,157 

10

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 tables present the changes in the allowance for credit losses on Agency and non-Agency AFS securities for the three and nine months ended September 30, 2025 and 2024:Three Months EndedNine Months EndedSeptember 30, 2025September 30, 2025(in thousands)AgencyNon-AgencyTotalAgencyNon-AgencyTotalAllowance for credit losses at beginning of period$(1,894)$(341)$(2,235)$(2,386)$(480)$(2,866)Additions on securities for which credit losses were not previously recorded(1)(54)(55)(35)(54)(89)Decrease (increase) on securities with previously recorded credit losses119 27 146 68 134 202 Write-offs282 8 290 859 40 899 Allowance for credit losses at end of period$(1,494)$(360)$(1,854)$(1,494)$(360)$(1,854)Three Months EndedNine Months EndedSeptember 30, 2024September 30, 2024(in thousands)AgencyNon-AgencyTotalAgencyNon-AgencyTotalAllowance for credit losses at beginning of period$(2,893