Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 172

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 172
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 1Level 2Level 3TotalAssets:Available-for-sale securities$— $7,367,977 $3,734 $7,371,711 Mortgage servicing rights— — 2,994,271 2,994,271 Mortgage loans held-for-sale— 2,334 — 2,334 Derivative assets732 9,231 151 10,114 Total assets$732 $7,379,542 $2,998,156 $10,378,430 Liabilities:Derivative liabilities$24,883 $1 $13 $24,897 Total liabilities$24,883 $1 $13 $24,897 Recurring Fair Value MeasurementsDecember 31, 2023(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $8,322,999 $4,150 $8,327,149 Mortgage servicing rights— — 3,052,016 3,052,016 Mortgage loans held-for-sale— 332 — 332 Derivative assets72,980 12,311 — 85,291 Total assets$72,980 $8,335,642 $3,056,166 $11,464,788 Liabilities:Derivative liabilities$21,506 $— $— $21,506 Total liabilities$21,506 $— $— $21,506 The valuation of Level 3 instruments requires significant judgment by management and its third-party pricing vendors. Both management and the third-party pricing vendors rely on inputs such as market price quotations from market makers (either market or indicative levels), original transaction price, recent transactions in the same or similar instruments, and changes in financial ratios or cash flows to determine fair value. Level 3 instruments may also be discounted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by management and the third-party pricing vendors in the absence of market information. Assumptions used by management and the third-party pricing vendors due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s consolidated financial statements. 

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

The Company’s valuation committee reviews all valuations