Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 83

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 83
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 comprehensive income (loss)194 — — — Purchases/additions— 43,425 — — Sales— (18,221)— — Settlements— (111,758)— — Gross transfers into level 3— — — — Gross transfers out of level 3— — — — Level 3 fair value at June 30, 2024$3,942 $3,065,415 $— $— Change in unrealized gains or losses for the period included in earnings for assets and liabilities held at:June 30, 2025$— (1)$43,373 (2)$471 (3)$(13)(3)June 30, 2024$— (1)$99,953 (2)$— (3)$— (3)Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets and liabilities held at:June 30, 2025$(157)$— $— $— June 30, 2024$194 $— $— $— ____________________(1)Included in loss on investment securities on the consolidated statements of comprehensive (loss) income.(2)Included in loss on servicing asset on the consolidated statements of comprehensive (loss) income.(3)Included in gain (loss) on mortgage loans held-for-sale on the consolidated statements of comprehensive (loss) income.No transfers between Level 1, Level 2 or Level 3 were made during the three and six months ended June 30, 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.

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

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