Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 42

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 42
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, and private investors who meet established capital and credit guidelines as well as by limiting the amount of exposure to any individual counterparty.The Company has netting arrangements in place with all derivative counterparties pursuant to standard documentation developed by ISDA or central clearing exchange agreements. Additionally, both the Company and the counterparty or clearing agency are required to post cash margin based upon the net underlying market value of the Company’s open positions with the counterparty. Posting of cash margin typically occurs daily, subject to certain dollar thresholds. Due to the existence of netting arrangements, as well as frequent cash margin posting at low posting thresholds, credit exposure to the Company and/or to the counterparty or clearing agency is considered materially mitigated. Based on the Company’s assessment, there is no requirement for any additional adjustment to derivative valuations specifically for credit.

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

Recurring Fair ValueThe following tables display the Company’s assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company’s risk management activities:Recurring Fair Value MeasurementsSeptember 30, 2025(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $6,344,873 $3,284 $6,348,157 Mortgage servicing rights— — 2,626,706 2,626,706 Mortgage loans held-for-sale— 12,635 — 12,635 Derivative assets1,050 133,313 1,068 135,431 Total Assets$1,050 $6,490,821 $2,631,058 $9,122,929 Liabilities:Derivative liabilities$7,720 $— $— $7,720 Total Liabilities$7,720 $— $— $7,720 Recurring Fair Value MeasurementsDecember 31, 2024(in thousands)Level 1Level 2Level 3TotalAssets:Available-for-sale securities$— $7,367,977 $3,734 $7,371,711 Mortgage servicing rights— —