Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 45

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 45
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 assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities:Recurring Fair Value MeasurementsMarch 31, 2025(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $8,603,257 $3,613 $8,606,870 Mortgage servicing rights— — 2,959,773 2,959,773 Mortgage loans held-for-sale— 8,406 — 8,406 Derivative assets2,436 24,663 451 27,550 Total Assets$2,436 $8,636,326 $2,963,837 $11,602,599 Liabilities:Derivative liabilities$3,044 $52 $1 $3,097 Total Liabilities$3,044 $52 $1 $3,097 Recurring Fair Value MeasurementsDecember 31, 2024(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $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 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