Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 75

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 75
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 in the Balance Sheets (1)(in thousands)Gross Amounts of Recognized Assets (Liabilities)Gross Amounts Offset in the Balance SheetsNet Amounts of Assets (Liabilities) Presented in the Balance SheetsFinancial InstrumentsCash Collateral (Received) PledgedNet AmountAssets:Derivative assets$244,270 $(234,156)$10,114 $(10,114)$— $— Reverse repurchase agreements355,975 — 355,975 — (354,654)1,321 Total Assets$600,245 $(234,156)$366,089 $(10,114)$(354,654)$1,321 Liabilities:Repurchase agreements$(7,805,057)$— $(7,805,057)$7,805,057 $— $— Derivative liabilities(259,053)234,156 (24,897)10,114 — (14,783)Total Liabilities$(8,064,110)$234,156 $(7,829,954)$7,815,171 $— $(14,783)____________________(1)Amounts presented are limited in total to the net amount of assets or liabilities presented in the consolidated balance sheets by instrument. Excess cash collateral or financial assets that are pledged to counterparties may exceed the financial liabilities subject to a master netting arrangement or similar agreement, or counterparties may have pledged excess cash collateral to the Company that exceed the corresponding financial assets. These excess amounts are excluded from the table above, although separately reported within restricted cash, due from counterparties, or due to counterparties in the Company’s consolidated balance sheets.

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

Note 12. Fair Value

Fair Value MeasurementsASC 820, Fair Value Measurements and Disclosures, or ASC 820, defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., observable inputs) and the lowest priority to data lacking transparency (i.e., un