Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 217

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 217
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 of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

The following tables present a reconciliation of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:Recurring Fair Value MeasurementsAssetsLiabilities(in thousands)Available-For-Sale SecuritiesMortgage Servicing RightsInterest Rate Lock CommitmentsInterest Rate Lock CommitmentsLevel 3 fair value at June 30, 2025$3,449 $3,015,643 $622 $— Net gains (losses) included in net (loss) income(128)(1)(38,686)(2)446 (3)— (3)Net gains (losses) included in other comprehensive income(37)— — — Purchases/additions— 9,037 — — Sales— (293,078)— — Settlements— (66,210)— — Gross transfers into level 3— — — — Gross transfers out of level 3— — — — Level 3 fair value at September 30, 2025$3,284 $2,626,706 $1,068 $— Level 3 fair value at June 30, 2024$3,942 $3,065,415 $— $— Net gains (losses) included in net (loss) income(136)(1)(70,868)(2)478 (3)— (3)Net gains (losses) included in other comprehensive income53 — — — Purchases/additions— 43,341 — — Sales— (91,103)— — Settlements— (62,481)— — 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)$(38,686)(2)$446 (3)$— (3)September 30, 2024$— (