Updated
The most significant concentration Two Harbors Investment discloses is Fannie Mae, Freddie Mac, and Ginnie Mae at 100%, classified HIGH by disclosed size. Below: the full set from the latest 10-K — verbatim quotes, filing references, and a synthesis of what these exposures mean together.
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Source: Two Harbors Investment’s SEC Form 10-K filed — view the filing on SEC EDGAR ↗
Each card carries a disclosed-size chip (HIGH / MEDIUM / LOW — how large the exposure is as a share of revenue, not how dangerous it is) and a nature tag: Built-in(the company’s own model, geography, or products) or Outside party (an external customer, supplier, or distributor it relies on).
“10-K Item 1: 'All of our principal and interest Agency RMBS are Fannie Mae or Freddie Mac mortgage pass-through certificates ... or Ginnie Mae mortgage pass-through certificates'”
Two Harbors' disclosed concentration is a counterparty exposure embedded in its core asset class: all of the company's principal and interest Agency RMBS consist of Fannie Mae, Freddie Mac, or Ginnie Mae mortgage pass-through certificates, a concentration disclosed at a high share level and classified as mixed in character. The mixed classification reflects two overlapping realities — on one hand, reliance on three specific government-sponsored entities is a dependency on a limited set of counterparties; on the other, holding only Agency-guaranteed RMBS is a deliberate feature of Two Harbors' investment strategy, since Agency paper is what defines this asset class in the first place. Because describes the entirety of the company's principal and interest Agency RMBS holdings, there is no diversification within this book by issuer type — Two Harbors' credit and prepayment risk on this portfolio is tied to the guarantee and structural framework of these three entities rather than to a broader pool of private-label or non-agency issuers. For investors, this concentration is best read as a defining characteristic of an Agency RMBS-focused REIT rather than an idiosyncratic risk that diversification could reduce, since the strategy itself is built around these guarantors.
For the engine’s reasoning on TWO’s current verdict — including which dimensions drove the score — see the per-dimension breakdown.
| Symbol | Name | HIGH | MEDIUM | LOW | Total |
|---|---|---|---|---|---|
| ABR | Arbor Realty Trust | 2 | 0 | 2 | 4 |
| TWO● | Two Harbors Investment Corp | 1 | 0 | 0 | 1 |
| AGNC | AGNC Investment Corp. | 0 | 2 | 0 | 2 |
| AGNCM | AGNC Investment Corp. - Deposit | 0 | 2 | 0 | 2 |
| ADAM | Adamas Trust, Inc. | 0 | 0 | 0 | 0 |
| AGNCN | AGNC Investment Corp. - Deposit | 0 | 0 | 0 | 0 |
Concentration counts reflect items disclosed in each peer’s most recent 10-K; disclosed-size classification uses TrendMatrix’s internal 10-K extraction taxonomy.