Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 220

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 220
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31, 2024Unobservable InputRangeWeighted Average (1)Constant prepayment speed5.2%-29.3%6.3%Option-adjusted spread5.1%-5.1%5.1%Per loan annual cost to service$65.00-$73.88$65.02___________________(1)Calculation for constant prepayment speed and per-loan annual cost to service utilizes underlying loan principal balance for weighting purposes. Calculation for OAS utilizes relative MSR market value for weighting purposes.The Company determines the fair value of its Level 3 IRLCs based on valuation models that incorporate the estimated pull-through rate, which is considered a significant unobservable input. The tables below present information about the pull-through rates used in the valuation of IRLCs at September 30, 2025 and December 31, 2024:September 30, 2025Unobservable InputRangeWeighted Average (1)Pull-through rate48.8%-100.0%81.3%December 31, 2024Unobservable InputRangeWeighted Average (1)Pull-through rate69.3%-99.8%84.4%___________________(1)Calculation utilizes underlying loan principal balance for weighting purposes.

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

Nonrecurring Fair ValueCertain assets are measured at fair value on a nonrecurring basis; that is, they are not measured at fair value on an ongoing basis but are subject to fair value adjustments only in certain circumstances, such as when there is evidence of impairment. Upon the occurrence of certain events, the Company re-measures the fair value of long-lived assets, including property, plant and equipment, operating lease right of use assets, intangible assets and goodwill if an impairment or observable price adjustment is recognized in the current period. No instances requiring re-measurement of assets measured at fair value on a nonrecurring basis occurred during the three and nine months ended September 30, 2025 and 2024.Fair Value of Financial InstrumentsIn accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the consolidated balance sheets, for which fair value can be estimated.The following describes the Company’s methods for estimating the fair value for financial instruments.•AFS securities, MSR, mortgage loans held-for-sale and derivative assets and liabilities are recurring fair value measurements