Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 48

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 48
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,953 $3,084,879 $— $— Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period$— (1)$59,780 (2)$— (3)$— (3)Change in unrealized gains or losses for the period included in other comprehensive income (loss) for assets held at the end of the reporting period$23 $— $— $— ____________________(1)Included in loss on investment securities on the consolidated statements of comprehensive income (loss).(2)Included in (loss) gain on servicing asset on the consolidated statements of comprehensive income (loss).(3)Included in gain (loss) on mortgage loans held-for-sale on the consolidated statements of comprehensive income (loss).No transfers between Level 1, Level 2 or Level 3 were made during the three months ended March 31, 2025 and 2024. Transfers between Levels are deemed to take place on the first day of the reporting period in which the transfer has taken place.The Company used multiple third-party pricing vendors in the fair value measurement of its Level 3 AFS securities. The significant unobservable inputs used by the third-party pricing vendors included expected default, severity and discount rate. Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement.The Company determines the fair value of its MSR internally using a discounted cash flow model. The tables below present information about the significant unobservable market data used by management as inputs into models utilized to inform their best estimates of the fair value measurement of the Company’s MSR classified as Level 3 fair value assets at March 31, 2025 and December 31, 2024:March 31, 2025Unobservable InputRangeWeighted Average (1)Constant prepayment speed4.9%-29.6%6.4%Option-adjusted spread5.3%-5.3%5.3%Per loan annual cost to service$65.00-$73.88$65.02

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

December 31, 2024Unobservable InputRangeWeighted Average (1)Constant prepayment speed5.2%-29.3%6.3%Option-adjusted spread5.1%-5.