Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 44

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 44
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 third-party pricing vendors use prices and inputs that are current as of the measurement date, including during periods of market dislocation. In periods of market dislocation, the availability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified to or from various levels within the fair value hierarchy.Securities that are priced using third-party broker quotations are valued at the bid price (in the case of long positions) or the ask price (in the case of short positions) at the close of trading on the date as of which value is determined. Exchange-traded securities for which no bid or ask price is available are valued at the last traded price. OTC derivative contracts, including interest rate swap and swaption agreements, are valued by the Company using observable inputs, specifically quotations received from third-party brokers. Exchange-traded derivative instruments, including futures and options on futures, are valued based on quoted prices for identical instruments in active markets.

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

The following tables present a reconciliation of the Company’s Level 3 assets and liabilities measured at fair value on a recurring basis:Recurring Fair Value MeasurementsAssetsLiabilities(in thousands)Available-For-Sale SecuritiesMortgage Servicing RightsInterest Rate Lock CommitmentsInterest Rate Lock CommitmentsLevel 3 fair value at June 30, 2025$3,449 $3,015,643 $622 $— Net gains (losses) included in net (loss) income(128)(1)(38,686)(2)446 (3)— (3)Net gains (losses) included in other comprehensive income(37)— — — Purchases/additions— 9,037 — — Sales— (293,078)— — Settlements— (66,210)— — Gross transfers into level 3— — — — Gross transfers out of level 3— — — — Level 3 fair value at September 30, 2025$3,284 $2,626,706 $1,068 $— Level 3 fair value at June 30, 2024$3,942 $3,065,415 $— $— Net gains (losses) included in net (loss) income(136