- Definition
This item represents the percent of gross interest rate swap, swaptions, and credit default swaps measured at fair value on either a recurring or nonrecurring basis and fall within Level 2 of the fair value measurements hierarchy. Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset. Level 2 inputs include the following: (a) quoted prices for similar assets or liabilities in active markets; (b) quoted prices for identical or similar assets or liabilities in markets that are not active, that is, markets in which there are few transactions for the asset or liability, the prices are not current, or price quotations vary substantially either over time or among market makers (for example, some brokered markets), or in which little information is released publicly (for example, a principal-to-principal market); (c) inputs other than quoted prices that are observable for the asset or liability (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates); or (d) inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).
+ References
+ Details
| Name: |
two_InterestRateSwapsSwaptionsAndCreditDefaultSwapsCategorizedAsLevel2AssetsLiabilities |
| Namespace Prefix: |
two_ |
| Data Type: |
num:percentItemType |
| Balance Type: |
na |
| Period Type: |
instant |