Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 146

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 146
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 the fair value hierarchy.Securities that are priced using third-party broker quotations are valued at the bid price (in the case of long positions) or the ask price (in the case of short positions) at the close of trading on the date as of which value is determined. Exchange-traded securities for which no bid or ask price is available are valued at the last traded price. OTC derivative contracts, including interest rate swap and swaption agreements, are valued by the Company using observable inputs, specifically quotations received from third-party brokers. Exchange-traded derivative instruments, including futures and options on futures, are valued based on quoted prices for identical instruments in active markets.The following tables present a reconciliation of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:Three Months EndedMarch 31, 2025AssetsLiabilities(in thousands)Available-For-Sale SecuritiesMortgage Servicing RightsInterest Rate Lock CommitmentsInterest Rate Lock CommitmentsBeginning of period level 3 fair value$3,734 $2,994,271 $151 $13 Net gains (losses) included in net (loss) income(65)(1)16,016 (2)300 (3)(12)(3)Net gains (losses) included in other comprehensive income (loss)(56)— — — Purchases/additions— 1,723 — — Sales— — — — Settlements— (52,237)— — Gross transfers into level 3— — — — Gross transfers out of level 3— — — — End of period level 3 fair value$3,613 $2,959,773 $451 $1 Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period$— (1)$16,016 (2)$300 (3)$(12)(3)Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period$(56)$— $— $— 

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

Three Months EndedMarch 31, 2024AssetsLiabilities(in thousands)Available-For-Sale SecuritiesMortgage Servicing Rights