Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 79

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 79
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 the counterparty. Posting of cash margin typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash margin posting at low posting thresholds, credit exposure to the Company and/or to the counterparty or clearing agency is considered materially mitigated. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit.

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Table of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

Recurring Fair ValueThe 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 MeasurementsJune 30, 2025(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $8,317,308 $3,449 $8,320,757 Mortgage servicing rights— — 3,015,643 3,015,643 Mortgage loans held-for-sale— 9,888 — 9,888 Derivative assets17,981 70,048 622 88,651 Total Assets$17,981 $8,397,244 $3,019,714 $11,434,939 Liabilities:Derivative liabilities$2,701 $— $— $2,701 Total Liabilities$2,701 $— $— $2,701 Recurring Fair Value MeasurementsDecember 31, 2024(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $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