Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 46

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 46
---
$2,626,706 $1,068 $— Level 3 fair value at December 31, 2023$4,150 $3,052,016 $— $— Net gains (losses) included in net (loss) income(538)(1)29,085 (2)478 (3)— (3)Net gains (losses) included in other comprehensive income247 — — — Purchases/additions— 86,766 — — Sales— (109,324)— — Settlements— (174,239)— — Gross transfers into level 3— — — — Gross transfers out of level 3— — — — Level 3 fair value at September 30, 2024$3,859 $2,884,304 $478 $— Change in unrealized gains or losses for the period included in earnings for assets and liabilities held at:September 30, 2025$— (1)$4,687 (2)$917 (3)$(13)(3)September 30, 2024$— (1)$29,085 (2)$478 (3)$— (3)Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets and liabilities held at:September 30, 2025$(194)$— $— $— September 30, 2024$(535)$— $— $— ____________________(1)Included in (loss) gain on investment securities on the consolidated statements of comprehensive (loss) income.(2)Included in loss on servicing asset on the consolidated statements of comprehensive (loss) income.(3)Included in gain on mortgage loans held-for-sale on the consolidated statements of comprehensive (loss) income.No transfers between Level 1, Level 2 or Level 3 were made during the three and nine months ended September 30, 2025 and 2024. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place.

31

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

The Company used multiple third-party pricing vendors in the fair value measurement of its Level 3 A