Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 178

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 178
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 arrive at fair value that considers prices obtained from third-party pricing vendors, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels, and credit losses). The Company categorizes the fair value measurement of these liabilities as Level 2.•Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price nearest to December 31, 2024. The Company categorizes the fair value measurement of these assets as Level 2.The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at December 31, 2024 and December 31, 2023:December 31, 2024December 31, 2023(in thousands)Carrying ValueFair ValueCarrying ValueFair ValueAssets:Available-for-sale securities$7,371,711 $7,371,711 $8,327,149 $8,327,149 Mortgage servicing rights$2,994,271 $2,994,271 $3,052,016 $3,052,016 Mortgage loans held-for-sale$2,334 $2,334 $332 $332 Cash and cash equivalents$504,613 $504,613 $729,732 $729,732 Restricted cash$313,028 $313,028 $65,101 $65,101 Derivative assets$10,114 $10,114 $85,291 $85,291 Reverse repurchase agreements$355,975 $355,975 $284,091 $284,091 Other assets$31,283 $31,283 $31,373 $31,373 Liabilities:Repurchase agreements$7,805,057 $7,805,057 $8,020,207 $8,020,207 Revolving credit facilities$1,020,171 $1,020,171 $1,329,171 $1,329,171 Warehouse facilities$2