Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 114

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 114
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 MSR portfolio. This included testing controls over management’s governance over the functionality of the discounted cash flow model utilized to estimate fair value and management’s review of the reasonableness of the significant unobservable inputs used in the discounted cash flow model, including prepayment speeds, option-adjusted spread and cost to service, against available market data. Additionally, we tested controls over management’s review of Company determined fair value in comparison to fair value ranges that management obtained from third-party pricing vendors to evaluate the reasonableness of the fair values developed by the Company. We also tested management’s controls over the completeness and accuracy of significant inputs used in the valuations, as well as their evaluation of the competence and objectivity of those third-party pricing vendors. To test the fair value of the Company’s MSR fair value measurements, our audit procedures included, among others, involving our internal valuation specialists to evaluate reasonableness of significant unobservable inputs, identify potential sources of contrary information and independently develop a fair value for the MSR based on consideration of available market information and compare management’s estimates to our ranges. We also tested the completeness and accuracy of significant inputs used in the fair value measurement process and evaluated the competence and objectivity of management’s third-party pricing vendors.

/s/ Ernst & Young LLP

We have served as the Company’s auditor since 2009.

Minneapolis, Minnesota

February 18, 2025 

59

TWO HARBORS INVESTMENT CORP.

CONSOLIDATED BALANCE SHEETS

(in thousands, except share data) 

December 31,2024December 31,2023ASSETSAvailable-for-sale securities, at fair value (amortized cost $7,697,027 and $8,509,383, respectively; allowance for credit losses $2,866 and $3,943, respectively)$7,371,711 $8,327,149 Mortgage servicing rights, at fair value2,994,271 3,052,016 Mortgage loans held-for-sale, at fair value2,334 332 Cash and cash equivalents504,613 729,732 Restricted cash313,028 65,101 Accrued interest receivable33,331 35,339 Due from counterparties386,464 323,224 Derivative assets, at fair value10,114 85,291 Reverse repurchase agreements355,975 284,091 Other assets232,478 236,525 Total Assets (1