Two Harbors Investment Corp. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Cover
- Cover
Financial Statements
Notes to Financial Statements
Accounting Policies
- Basis of Presentation and Significant Accounting Policies (Policies)
Notes Tables
Notes Details

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details)

v3.22.2

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation (Details) - USD ($) $ in Thousands	3 Months Ended	6 Months Ended
	Jun. 30, 2022	Jun. 30, 2022
Available-for-sale securities
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning of period level 3 fair value	$ 12,530	$ 12,304
Realized (losses) gains	(405)	(1,273)
Unrealized (losses) gains	753	1,680
Provision for credit losses	(254)	1,127
Total gains (losses) included in net income	94	1,534
Other comprehensive loss	1,641	427
Purchases	79,600	79,600
Sales	(6,375)	(6,375)
Settlements	0	0
Gross transfers into level 3	0	0
Gross transfers out of level 3	0	0
End of period level 3 fair value	87,490	87,490
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	753	1,680
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period	2,395	2,108
Mortgage servicing rights
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Beginning of period level 3 fair value	3,089,963	2,191,578
Realized (losses) gains	(113,715)	(228,004)
Unrealized (losses) gains	199,272	724,185
Provision for credit losses	0	0
Total gains (losses) included in net income	85,557	496,181
Other comprehensive loss	0	0
Purchases	59,945	544,750
Sales	0	0
Settlements	(9,274)	(6,318)
Gross transfers into level 3	0	0
Gross transfers out of level 3	0	0
End of period level 3 fair value	3,226,191	3,226,191
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	195,868	700,354
Change in unrealized gains or losses for the period included in other comprehensive (loss) income for assets held at the end of the reporting period	$ 0	$ 0

- Definition

This element represents total provision for credit losses for the period, arising from assets measured at fair value on a recurring basis using unobservable inputs (Level 3), which are included in earnings or resulted in a change in net asset value.

+ References

No definition available.

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- Definition

This element represents total realized gains or losses for the period, arising from assets measured at fair value on a recurring basis using unobservable inputs (Level 3), which are included in earnings or resulted in a change in net asset value.

+ References

No definition available.

+ Details

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- Definition

This element represents total unrealized gains or losses for the period, arising from assets measured at fair value on a recurring basis using unobservable inputs (Level 3), which are included in earnings or resulted in a change in net asset value.

+ References

No definition available.

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- Definition

Amount of unrealized gain (loss) recognized in income from asset (liability) measured at fair value on recurring basis using unobservable input (level 3) and still held.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (d)
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- Definition

Amount of unrealized gain (loss) recognized in other comprehensive income (OCI) from asset measured at fair value on recurring basis using unobservable input (level 3) and still held.

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- Definition

A roll forward is a reconciliation of a concept from the beginning of a period to the end of a period.

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- Definition

Amount of gain (loss) recognized in income from asset measured at fair value on recurring basis using unobservable input (level 3).

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-Publisher FASB
-Name Accounting Standards Codification
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Amount of gain (loss) recognized in other comprehensive income (OCI) from asset measured at fair value on recurring basis using unobservable input (level 3).

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-Publisher FASB
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- Definition

Amount of purchases of financial instrument classified as an asset measured using unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing.

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- Definition

Amount of sale of financial instrument classified as an asset measured using unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing.

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Amount of settlement of financial instrument classified as an asset measured using unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing.

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- Definition

Amount of transfer of financial instrument classified as an asset into level 3 of the fair value hierarchy.

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
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-Subparagraph (c)(3)
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- Definition

Amount of transfers of financial instrument classified as an asset out of level 3 of the fair value hierarchy.

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Fair value of financial instrument classified as an asset measured using unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing.

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