Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 175

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 175
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— — Gross transfers out of level 3— — — — End of period level 3 fair value$4,150 $3,052,016 $— $— Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period$— (4)$119,164 (5)$— (6)$— (6)Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period$1,112 $— $— $— ____________________(1)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option was recorded in loss on investment securities on the consolidated statements of comprehensive income (loss).(2)The change in unrealized gains or losses on MSR was recorded in (loss) gain on servicing asset on the consolidated statements of comprehensive income (loss).(3)The change in unrealized gains or losses on IRLCs was recorded in gain on mortgage loans held-for-sale on the consolidated statements of comprehensive income (loss)(4)The change in unrealized gains or losses on available-for-sale securities accounted for under the fair value option that were held at the end of the reporting period was recorded in loss on investment securities on the consolidated statements of comprehensive income (loss).(5)The change in unrealized gains or losses on MSR that were held at the end of the reporting period was recorded in (loss) gain on servicing asset on the consolidated statements of comprehensive income (loss).(6)The change in unrealized gains or losses on IRLCs that were held at the end of the reporting period was recorded in gain on mortgage loans held-for-sale on the consolidated statements of comprehensive income (loss).No transfers between Level 1, Level 2 or Level 3 were made during the years ended December 31, 2024 and 2023. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place.The Company used multiple third-party pricing vendors in the fair value measurement of its Level 3 AFS securities. The significant unobservable inputs used by the third-party pricing vendors included expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement.

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