Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 215

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 215
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The following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities:Recurring Fair Value MeasurementsSeptember 30, 2025(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $6,344,873 $3,284 $6,348,157 Mortgage servicing rights— — 2,626,706 2,626,706 Mortgage loans held-for-sale— 12,635 — 12,635 Derivative assets1,050 133,313 1,068 135,431 Total Assets$1,050 $6,490,821 $2,631,058 $9,122,929 Liabilities:Derivative liabilities$7,720 $— $— $7,720 Total Liabilities$7,720 $— $— $7,720 Recurring Fair Value MeasurementsDecember 31, 2024(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $7,367,977 $3,734 $7,371,711 Mortgage servicing rights— — 2,994,271 2,994,271 Mortgage loans held-for-sale— 2,334 — 2,334 Derivative assets732 9,231 151 10,114 Total Assets$732 $7,379,542 $2,998,156 $10,378,430 Liabilities:Derivative liabilities$24,883 $1 $13 $24,897 Total Liabilities$24,883 $1 $13 $24,897 The valuation of Level 3 instruments requires significant judgment by management and its third-party pricing vendors. Both management and the third-party pricing vendors rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and