Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 38

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 38
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$— $— Derivative liabilities(109,738)102,018 (7,720)7,720 — — Total Liabilities$(7,214,388)$102,018 $(7,112,370)$7,112,370 $— $— December 31, 2024Gross Amounts Not Offset with Financial Assets (Liabilities) 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