Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 216

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 216
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,015,643 Mortgage loans held-for-sale— 9,888 — 9,888 Derivative assets17,981 70,048 622 88,651 Total Assets$17,981 $8,397,244 $3,019,714 $11,434,939 Liabilities:Derivative liabilities$2,701 $— $— $2,701 Total Liabilities$2,701 $— $— $2,701 Recurring Fair Value MeasurementsDecember 31, 2024(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $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 and the third-party pricing vendors due to lack of observable inputs may significantly impact the resulting fair value and therefore the Company’s consolidated financial statements. The Company’s valuation committee reviews all valuations determined using discounted cash flow models, as well as those that are based on pricing information received from third-party pricing vendors. As part of this review, all valuations are compared against third-party valuations, industry surveys and other pricing or input data points in the marketplace, along with internal valuation expertise, to ensure the pricing is reasonable. In addition, the Company