Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 200

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 200
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$145,931 $937,547 $153,181 Interest rate swap agreements22,030,990 13,365,113 16,471,850 13,290,306 Swaptions, net— — — (77,372)TBAs, net4,658,871 4,799,826 3,422,617 4,046,869 Futures, net(4,344,853)(4,975,350)(3,742,509)(5,937,450)Interest rate lock commitments43,070 26,775 36,274 14,204 Forward mortgage loan sale commitments— 26,872 9,943 14,253 Total$24,291,340 $13,389,167 $17,135,722 $11,503,991 Cash flow activity related to derivative instruments is reflected within the operating activities and investing activities sections of the consolidated statements of cash flows. Realized gains and losses and derivative fair value adjustments are reflected within the realized and unrealized loss on interest rate swaps and swaptions, unrealized gains on other derivative instruments and gains on mortgage loans held-for-sale line items within the operating activities section of the consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the net (payments) proceeds on derivative instruments and decrease in due to counterparties, net line items within the investing activities section of the consolidated statements of cash flows.Interest Rate Sensitive Assets/LiabilitiesThe Company’s Agency RMBS portfolio is generally subject to change in value when interest rates or prepayment speeds decrease or increase, depending on the type of investment. Periods of rising interest rates with corresponding decreasing prepayment speeds generally result in a decline in the value of the Company’s fixed-rate Agency principal and interest (P&I) RMBS. The impact of this effect on the Company’s fixed-rate Agency P&I RMBS portfolio is partially mitigated by the presence of fixed-rate interest-only Agency RMBS, which generally increase in value when prepayment speeds decrease and MSR, which generally increase in value when prepayment speeds decrease and interest rates increase. As of September 30, 2025 and December 31, 2024, the Company had $16.0 million and $16.5 million, respectively, of interest-only securities, and $2.6 billion and $3.0 billion, respectively, of MSR. Interest-only