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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 10-Q
☒
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the Quarterly Period Ended: March 31, 2023
OR
☐
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission File Number 001-34506
TWO HARBORS INVESTMENT CORP.
(Exact Name of Registrant as Specified in Its Charter)
Maryland 27-0312904
(State or Other Jurisdiction of
Incorporation or Organization)		 (I.R.S. Employer
Identification No.)
1601 Utica Avenue South, Suite 900 
St. Louis Park,Minnesota55416
(Address of Principal Executive Offices) (Zip Code)
(612) 453-4100
(Registrant’s Telephone Number, Including Area Code)
Securities Registered Pursuant to Section 12(b) of the Act:
Title of Each Class:Trading Symbol(s)Name of Exchange on Which Registered:
Common Stock, par value $0.01 per shareTWONew York Stock Exchange
8.125% Series A Cumulative Redeemable Preferred StockTWO PRANew York Stock Exchange
7.625% Series B Cumulative Redeemable Preferred StockTWO PRBNew York Stock Exchange
7.25% Series C Cumulative Redeemable Preferred StockTWO PRCNew York Stock Exchange
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer☒Accelerated filer
☐
Non-accelerated filer
☐
Smaller reporting company
☐
Emerging growth company
☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes ☐ No ☒
As of April 27, 2023, there were 96,664,882 shares of outstanding common stock, par value $0.01 per share, issued and outstanding.

TWO HARBORS INVESTMENT CORP.
INDEX
Page
PART I - FINANCIAL INFORMATION
Item 1.
Financial Statements (unaudited)
PART II - OTHER INFORMATION

i
PART I. FINANCIAL INFORMATION
Item 1. Financial Statements
TWO HARBORS INVESTMENT CORP.
CONDENSED CONSOLIDATED BALANCE SHEETS
(in thousands, except share data)
March 31,
2023		December 31,
2022
ASSETS(unaudited)
Available-for-sale securities, at fair value (amortized cost $9,126,349 and $8,114,627, respectively; allowance for credit losses $5,922 and $6,958, respectively)
$8,960,820 $7,778,734 
Mortgage servicing rights, at fair value3,072,445 2,984,937 
Cash and cash equivalents708,210 683,479 
Restricted cash117,351 443,026 
Accrued interest receivable40,826 36,018 
Due from counterparties317,905 253,374 
Derivative assets, at fair value66,013 26,438 
Reverse repurchase agreements483,916 1,066,935 
Other assets172,805 193,219 
Total Assets (1)
$13,940,291 $13,466,160 
LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities:
Repurchase agreements$9,084,712 $8,603,011 
Revolving credit facilities1,292,831 1,118,831 
Term notes payable398,326 398,011 
Convertible senior notes282,840 282,496 
Derivative liabilities, at fair value1,693 34,048 
Due to counterparties347,337 541,709 
Dividends payable70,746 64,504 
Accrued interest payable74,916 94,034 
Commitments and contingencies (see Note 15)
— — 
Other liabilities141,207 145,991 
Total Liabilities (1)
11,694,608 11,282,635 
Stockholders’ Equity:
Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 26,092,050 and 26,092,050 shares issued and outstanding, respectively ($652,301 and $652,301 liquidation preference, respectively)
630,999 630,999 
Common stock, par value $0.01 per share; 175,000,000 shares authorized and 96,664,318 and 86,428,845 shares issued and outstanding, respectively
967 864 
Additional paid-in capital5,829,676 5,645,998 
Accumulated other comprehensive loss(152,780)(278,711)
Cumulative earnings1,276,563 1,453,371 
Cumulative distributions to stockholders(5,339,742)(5,268,996)
Total Stockholders’ Equity2,245,683 2,183,525 
Total Liabilities and Stockholders’ Equity$13,940,291 $13,466,160 
____________________
(1)The condensed consolidated balance sheets include assets and liabilities of consolidated variable interest entities, or VIEs. At March 31, 2023 and December 31, 2022, assets of the VIEs totaled $486,041 and $497,921, and liabilities of the VIEs totaled $476,932 and $453,952, respectively. See Note 3 - Variable Interest Entities for additional information.

The accompanying notes are an integral part of these condensed consolidated financial statements.

1
TWO HARBORS INVESTMENT CORP.
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE LOSS (unaudited)
(in thousands, except share data)
Three Months Ended
March 31,
20232022
Interest income:
Available-for-sale securities$97,038 $44,647 
Other19,555 199 
Total interest income116,593 44,846 
Interest expense:
Repurchase agreements104,355 8,343 
Revolving credit facilities25,656 5,676 
Term notes payable7,643 3,256 
Convertible senior notes4,836 5,042 
Total interest expense142,490 22,317 
Net interest (expense) income
(25,897)22,529 
Other (loss) income:
Gain (loss) on investment securities
10,798 (52,342)
Servicing income153,320 136,626 
(Loss) gain on servicing asset
(28,079)410,624 
Loss on interest rate swap and swaption agreements
(82,154)(38,041)
Loss on other derivative instruments
(155,771)(101,762)
Other loss— (44)
Total other (loss) income(101,886)355,061 
Expenses:
Servicing expenses28,366 24,704 
Compensation and benefits14,083 12,193 
Other operating expenses10,484 6,625 
Total expenses52,933 43,522 
(Loss) income before income taxes
(180,716)334,068 
(Benefit from) provision for income taxes(3,908)48,798 
Net (loss) income(176,808)285,270 
Dividends on preferred stock(12,365)(13,747)
Net (loss) income attributable to common stockholders
$(189,173)$271,523 
Basic (loss) earnings per weighted average common share
$(2.05)$3.14 
Diluted (loss) earnings per weighted average common share
$(2.05)$2.86 
Weighted average number of shares of common stock:
Basic
92,575,840 85,999,628 
Diluted
92,575,840 96,205,551 

The accompanying notes are an integral part of these condensed consolidated financial statements.
2
TWO HARBORS INVESTMENT CORP.
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE LOSS (unaudited), continued
(in thousands, except share data)
Three Months Ended
March 31,
20232022
Comprehensive loss:
Net (loss) income$(176,808)$285,270 
Other comprehensive income (loss):
Unrealized gain (loss) on available-for-sale securities
125,931 (331,845)
Other comprehensive income (loss)
125,931 (331,845)
Comprehensive loss
(50,877)(46,575)
Dividends on preferred stock(12,365)(13,747)
Comprehensive loss attributable to common stockholders
$(63,242)$(60,322)

The accompanying notes are an integral part of these condensed consolidated financial statements.

3
TWO HARBORS INVESTMENT CORP. 
CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY (unaudited)
(in thousands)

Preferred StockCommon Stock Par ValueAdditional Paid-in CapitalAccumulated Other Comprehensive Income (Loss)Cumulative EarningsCumulative Distributions to StockholdersTotal Stockholders’ Equity
Balance, December 31, 2021$702,550 $860 $5,627,758 $186,346 $1,212,983 $(4,986,544)$2,743,953 
Net income
— — — — 285,270 — 285,270 
Other comprehensive loss before reclassifications
— — — (323,490)— — (323,490)
Amounts reclassified from accumulated other comprehensive income
— — — (8,355)— — (8,355)
Other comprehensive loss
— — — (331,845)— — (331,845)
Issuance of common stock, net of offering costs
— — 323 — — — 323 
Preferred dividends declared
— — — — — (13,747)(13,747)
Common dividends declared
— — — — — (58,811)(58,811)
Non-cash equity award compensation
— — 4,161 — — — 4,161 
Balance, March 31, 2022$702,550 $860 $5,632,242 $(145,499)$1,498,253 $(5,059,102)$2,629,304 
Balance, December 31, 2022$630,999 $864 $5,645,998 $(278,711)$1,453,371 $(5,268,996)$2,183,525 
Net loss— — — — (176,808)— (176,808)
Other comprehensive income before reclassifications
— — — 62,709 — — 62,709 
Amounts reclassified from accumulated other comprehensive income
— — — 63,222 — — 63,222 
Other comprehensive income
— — — 125,931 — — 125,931 
Issuance of common stock, net of offering costs
— 102 177,627 — — — 177,729 
Preferred dividends declared
— — — — — (12,365)(12,365)
Common dividends declared
— — — — — (58,381)(58,381)
Non-cash equity award compensation
— 1 6,051 — — — 6,052 
Balance, March 31, 2023$630,999 $967 $5,829,676 $(152,780)$1,276,563 $(5,339,742)$2,245,683 

The accompanying notes are an integral part of these condensed consolidated financial statements.

4
TWO HARBORS INVESTMENT CORP.
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (unaudited)
(in thousands)
Three Months Ended
March 31,
20232022
Cash Flows From Operating Activities:
Net (loss) income$(176,808)$285,270 
Adjustments to reconcile net (loss) income to net cash provided by (used in) operating activities:
Amortization of premiums and discounts on investment securities, net
7,978 32,504 
Amortization of deferred debt issuance costs on term notes payable and convertible senior notes
659 648 
(Reversal of) provision for credit losses on investment securities(142)1,114 
Realized and unrealized (gains) losses on investment securities(10,656)51,228 
Loss (gain) on servicing asset28,079 (410,624)
Realized and unrealized loss on interest rate swaps and swaptions85,765 37,300 
Unrealized losses (gains) on other derivative instruments67,484 (90,261)
Equity based compensation6,052 4,161 
Net change in assets and liabilities:
(Increase) decrease in accrued interest receivable(4,808)1,106 
(Increase) decrease in deferred income taxes, net(5,997)48,798 
Decrease in accrued interest payable(19,118)(8,391)
Change in other operating assets and liabilities, net21,627 (4,198)
Net cash provided by (used in) operating activities115 (51,345)
Cash Flows From Investing Activities:
Purchases of available-for-sale securities(2,553,519)(2,609,992)
Proceeds from sales of available-for-sale securities1,360,742 2,012,620 
Principal payments on available-for-sale securities139,442 371,666 
Purchases of mortgage servicing rights, net of purchase price adjustments(117,441)(487,761)
Proceeds from sales of mortgage servicing rights
1,854 — 
(Purchases) short sales of derivative instruments, net
(227)40,998 
(Payments for termination and settlement) proceeds from sales and settlement of derivative instruments, net
(224,952)107,472 
Payments for reverse repurchase agreements(966,485)(381,280)
Proceeds from reverse repurchase agreements
1,549,504 377,337 
Decrease in due to counterparties, net(258,903)(142,589)
Net cash used in investing activities$(1,069,985)$(711,529)

The accompanying notes are an integral part of these condensed consolidated financial statements.
5
TWO HARBORS INVESTMENT CORP.
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (unaudited), continued
(in thousands)
Three Months Ended
March 31,
20232022
Cash Flows From Financing Activities:
Proceeds from repurchase agreements$11,321,136 $7,955,364 
Principal payments on repurchase agreements(10,839,435)(7,739,153)
Proceeds from revolving credit facilities174,000 150,000 
Repayment of convertible senior notes— (143,774)
Proceeds from issuance of common stock, net of offering costs177,729 323 
Dividends paid on preferred stock(12,365)(13,747)
Dividends paid on common stock(52,139)(58,665)
Net cash provided by financing activities768,926 150,348 
Net decrease in cash, cash equivalents and restricted cash(300,944)(612,526)
Cash, cash equivalents and restricted cash at beginning of period1,126,505 2,088,670 
Cash, cash equivalents and restricted cash at end of period$825,561 $1,476,144 
Supplemental Disclosure of Cash Flow Information:
Cash paid for interest$153,280 $25,750 
Cash paid (received) for taxes, net$42 $(32)
Noncash Activities:
Dividends declared but not paid at end of period$70,746 $72,558 

The accompanying notes are an integral part of these condensed consolidated financial statements.

6

TWO HARBORS INVESTMENT CORP.
Notes to the Condensed Consolidated Financial Statements (unaudited)
Note 1. Organization and Operations
Two Harbors Investment Corp. is a Maryland corporation that, through its wholly owned subsidiaries (collectively, the Company), invests in and manages Agency residential mortgage-backed securities, or Agency RMBS, mortgage servicing rights, or MSR, and other financial assets. Agency refers to a U.S. government sponsored enterprise, or GSE, such as the Federal National Mortgage Association (or Fannie Mae) or the Federal Home Loan Mortgage Corporation (or Freddie Mac), or a U.S. government agency such as the Government National Mortgage Association (or Ginnie Mae). The investment portfolio is managed as a whole and resources are allocated and financial performance is assessed on a consolidated basis. The Company’s common stock is listed on the NYSE under the symbol “TWO”.
On August 2, 2022, Matrix Financial Services Corporation, or Matrix, a wholly owned subsidiary of the Company, entered into a definitive stock purchase agreement to acquire RoundPoint Mortgage Servicing Corporation, or RoundPoint, from Freedom Mortgage Corporation. In connection with the acquisition, Matrix has agreed to pay a purchase price upon closing in an amount equal to the tangible net book value of RoundPoint, plus a premium amount of $10.5 million, subject to certain additional post-closing adjustments. In connection with the transaction, RoundPoint will divest its retail origination business as well as its RPX servicing exchange platform. Matrix also agreed to engage RoundPoint as a subservicer prior to the closing date and began transferring loans to RoundPoint in the fourth quarter of 2022. Upon closing, all servicing licenses and operational capabilities will remain with RoundPoint, and RoundPoint will become a wholly owned subsidiary of Matrix. The parties expect to close the transaction in 2023, subject to the satisfaction of customary closing conditions and the receipt of required regulatory and GSE approvals.
The Company has elected to be treated as a real estate investment trust, or REIT, as defined under the Internal Revenue Code of 1986, as amended, or the Code, for U.S. federal income tax purposes. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income which will not be qualifying income for REIT purposes. The Company has designated certain of its subsidiaries as taxable REIT subsidiaries, or TRSs, as defined in the Code, to engage in such activities.

Note 2. Basis of Presentation and Significant Accounting Policies
Consolidation and Basis of Presentation
The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or the SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading.
The condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. All trust entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of a trust 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 consolidates the trust. Certain prior period amounts have been reclassified to conform to the current period presentation. All per share amounts, common shares outstanding and common equity-based awards for all prior periods reflect the Company’s one-for-four reverse stock split effected on November 1, 2022 at 5:01 p.m. Eastern Time (refer to Note 16 - Stockholders’ Equity for additional information). The accompanying condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at March 31, 2023 and results of operations for all periods presented have been made. The results of operations for the three months ended March 31, 2023 should not be construed as indicative of the results to be expected for future periods or the full year.
7

TWO HARBORS INVESTMENT CORP.
Notes to the Condensed Consolidated Financial Statements (unaudited)
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make a number of significant estimates. These include estimates of fair value of certain assets and liabilities, amount and timing of credit losses, prepayment rates, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes due to supply and demand in the market, credit performance, prepayments, interest rates, or other reasons) will occur in the near term. The Company’s estimates are inherently subjective in nature and actual results could differ from its estimates and the differences may be material.
Significant Accounting Policies
Included in Note 2 to the Consolidated Financial Statements of the Company’s 2022 Annual Report on Form 10-K is a summary of the Company’s significant accounting policies.
Recently Issued and/or Adopted Accounting Standards
Facilitation of the Effects of Reference Rate Reform on Financial Reporting
The London Interbank Offered Rate, or LIBOR, has been used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives. On March 5, 2021, Intercontinental Exchange Inc. announced that ICE Benchmark Administration Limited, the administrator of LIBOR, intends to stop publication of the majority of USD-LIBOR tenors on June 30, 2023. In the U.S., the Alternative Reference Rates Committee, or ARRC, has identified the Secured Overnight Financing Rate, or SOFR, as its preferred alternative rate for U.S. dollar-based LIBOR. SOFR is a measure of the cost of borrowing cash overnight, collateralized by U.S. Treasury securities, and is based on directly observable U.S. Treasury-backed repurchase transactions. Numerous industry wide and company-specific transitions as it relates to derivatives and cash markets exposed to LIBOR are in process, if not completed.
In March 2020, the FASB issued Accounting Standards Update (ASU) No. 2020-04, which provides temporary optional expedients and exceptions on accounting for contract modifications and hedging relationships in anticipation of the replacement of LIBOR with another reference rate. The guidance also provides a one-time election to sell held-to-maturity debt securities or to transfer such securities to the available-for-sale or trading category. The majority of the Company’s material contracts that are or were indexed to USD-LIBOR have been amended to transition to an alternative benchmark, where necessary. As of March 31, 2023, only the Company’s term notes incorporate LIBOR as the referenced rate and mature after the phase-out of LIBOR. However, the related agreements have provisions in place that provide for an alternative to LIBOR upon its phase-out. Additionally, as of March 31, 2023, the Company held exchange-traded Eurodollar futures, whose prices move in response to LIBOR and were set to mature after the phase-out of LIBOR. In April 2023, each of the Company’s outstanding Eurodollar futures contracts with maturities after June 30, 2023 was converted into three-month SOFR futures contracts with similar characteristics. As of March 31, 2023, the Company had no other financing arrangements or derivative instruments that incorporate LIBOR as the referenced rate and are set to mature after the phase-out of LIBOR. Additionally, each series of the Company’s fixed-to-floating preferred stock that becomes redeemable at the time the stock begins to pay a LIBOR-based rate has existing LIBOR cessation fallback language. The ASU was effective immediately for all entities and expires after December 31, 2024. The Company’s adoption of this ASU did not have an impact on the Company’s financial condition, results of operations or financial statement disclosures.

Note 3. Variable Interest Entities
The Company enters into transactions with subsidiary trust entities that are established for limited purposes. One of the Company’s subsidiary trust entities, MSR Issuer Trust, was formed for the purpose of financing MSR through securitization, pursuant to which, through two of the Company’s wholly owned subsidiaries, MSR is pledged to MSR Issuer Trust and in return, MSR Issuer Trust issues term notes to qualified institutional buyers and a variable funding note, or VFN, to one of the subsidiaries, in each case secured on a pari passu basis. The Company has one repurchase facility that is secured by the VFN, which is collateralized by the Company’s MSR.
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.
8

TWO HARBORS INVESTMENT CORP.
Notes to the Condensed Consolidated Financial Statements (unaudited)
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 condensed consolidated balance sheets as of March 31, 2023 and December 31, 2022:
(in thousands)March 31,
2023		December 31,
2022
Note receivable (1)
$398,326 $398,011 
Restricted cash29,332 31,691 
Accrued interest receivable (1)
425 400 
Other assets57,958 67,819 
Total Assets$486,041 $497,921 
Term notes payable$398,326 $398,011 
Revolving credit facilities48,850 23,850 
Accrued interest payable681 560 
Other liabilities29,075 31,531 
Total Liabilities$476,932 $453,952 
____________________
(1)Receivables due from a wholly owned subsidiary of the Company to the trusts are eliminated in consolidation in accordance with U.S. GAAP.

Additionally, as discussed in Note 1 - Organization and Operations, the Company has entered into a definitive stock purchase agreement to acquire RoundPoint whereby the purchase price will be subject to an adjustment based on RoundPoint’s aggregate “earnings” (as defined in the agreement) from October 1, 2022 through the closing date, or the Interim Period, in addition to other post-closing adjustments. The manner in which the purchase price is calculated represents an implicit guarantee of the value of RoundPoint’s net book value, in which the Company holds the variable interests. These terms also indicate that RoundPoint meets the criteria to be considered a VIE that the Company must review for consolidation. As the Company has the obligation to absorb losses and the right to receive benefits of RoundPoint during the Interim Period that could be significant, but not the power to direct the activities of RoundPoint that most significantly impacts its performance, the Company is not the primary beneficiary and, thus, does not consolidate RoundPoint.

9

TWO HARBORS INVESTMENT CORP.
Notes to the Condensed Consolidated Financial Statements (unaudited)
Note 4. 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 condensed consolidated balance sheets. The following table presents the Company’s AFS investment securities by collateral type as of March 31, 2023 and December 31, 2022:
(in thousands)March 31,
2023		December 31,
2022
Agency:
Federal National Mortgage Association$4,968,798 $4,112,556 
Federal Home Loan Mortgage Corporation3,615,921 3,332,314 
Government National Mortgage Association75,975 208,706 
Other172,846 — 
Non-Agency127,280 125,158 
Total available-for-sale securities$8,960,820 $7,778,734 

At March 31, 2023 and December 31, 2022, the Company pledged AFS securities with a carrying value of $9.0 billion and $7.4 billion, respectively, as collateral for repurchase agreements. See Note 11 - Repurchase Agreements.
At March 31, 2023 and December 31, 2022, 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 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 these unconsolidated VIEs include all non-Agency securities, which are classified within available-for-sale securities, at fair value on the condensed consolidated balance sheets. As of March 31, 2023 and December 31, 2022, the carrying value, which also represents the maximum exposure to loss, of all non-Agency securities in unconsolidated VIEs was $127.3 million and $125.2 million, respectively.
The following tables present the amortized cost and carrying value of AFS securities by collateral type as of March 31, 2023 and December 31, 2022:
March 31, 2023
(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying Value
Agency:
Principal and interest
$8,848,397 $189,182 $(84,550)$8,953,029 $— $32,146 $(185,516)$8,799,659 
Interest-only875,510 42,232 — 42,232 (5,274)1,579 (4,656)33,881 
Total Agency9,723,907 231,414 (84,550)8,995,261 (5,274)33,725 (190,172)8,833,540 
Non-Agency
1,242,893 8,070 (326)131,088 (648)523 (3,683)127,280 
Total$10,966,800 $239,484 $(84,876)$9,126,349 $(5,922)$34,248 $(193,855)$8,960,820 
10

TWO HARBORS INVESTMENT CORP.
Notes to the Condensed Consolidated Financial Statements (unaudited)
December 31, 2022
(in thousands)Principal/ Current FaceUn-amortized PremiumAccretable Purchase DiscountAmortized CostAllowance for Credit LossesUnrealized GainUnrealized LossCarrying Value
Agency:
Principal and interest
$7,781,277 $189,246 $(33,413)$7,937,110 $— $6,310 $(325,960)$7,617,460 
Interest-only963,866 45,882 — 45,882 (6,785)1,890 (4,871)36,116 
Total Agency8,745,143 235,128 (33,413)7,982,992 (6,785)8,200 (330,831)7,653,576 
Non-Agency
1,263,789 8,511 (225)