Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 222

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 222
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 As of June 30, 2025, the Company had outstanding borrowings of $170.0 million under repurchase agreements and $922.9 million under revolving credit facilities that are considered long-term. The Company’s long-term repurchase agreements and revolving credit facilities have floating rates based on an index plus a spread and the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and thus carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 2.•Senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its senior notes using the quoted price on the NYSE as of June 30, 2025. The Company categorizes the fair value measurement of these liabilities as Level 1.•Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price nearest to June 30, 2025. The Company categorizes the fair value measurement of these liabilities as Level 2.

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

The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at June 30, 2025 and December 31, 2024:June 30, 2025December 31, 2024(in thousands)Carrying ValueFair ValueCarrying ValueFair ValueAssets:Available-for-sale securities$8,320,757 $8,320,757 $7,371,711 $7,371,711 Mortgage servicing rights$3,015,643 $3,015,643 $2,994,271 $2,994,271 Mortgage loans held-for-sale$9,888 $9,888 $2,334 $2,334 Cash and cash equivalents$657,816 $657,816 $504,613 $504,613 Restricted cash$140,481 $140,481 $313,028 $313,028 Derivative assets$88,651 $88,651 $10,114 $10,114 Reverse repurchase agreements$228,