Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 202

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 202
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 (published each month by the Securities Industry and Financial Markets Association). However, the specific Agency RMBS to be delivered upon settlement is not known at the time of the TBA transaction. As a result, and because physical delivery of the Agency RMBS upon settlement cannot be assured, the Company accounts for TBAs as derivative instruments.The Company may hold both long and short notional TBA positions, which are disclosed on a gross basis according to the unrealized gain or loss position of each TBA contract regardless of long or short notional position. The following tables present the notional amount, cost basis, market value and carrying value (which approximates fair value) of the Company’s TBA positions as of September 30, 2025 and December 31, 2024:September 30, 2025Net Carrying Value (4)(in thousands)Notional Amount (1)Cost Basis (2)Market Value (3)Derivative AssetsDerivative LiabilitiesPurchase contracts$5,566,000 $5,575,021 $5,567,609 $— $(7,412)Sale contracts(1,158,371)(1,183,602)(1,182,860)1,050 (308)TBAs, net$4,407,629 $4,391,419 $4,384,749 $1,050 $(7,720)December 31, 2024Net Carrying Value (4)(in thousands)Notional Amount (1)Cost Basis (2)Market Value (3)Derivative AssetsDerivative LiabilitiesPurchase contracts$4,931,800 $4,898,394 $4,874,996 $— $(23,398)Sale contracts(434,000)(405,339)(406,092)732 (1,485)TBAs, net$4,497,800 $4,493,055 $4,468,904 $732 $(24,883)___________________(1)Notional amount represents the face amount of the underlying Agency RMBS.(2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.(3)Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period end.(4)Net carrying value represents the difference between the market value of the TBA as of period end and its cost basis, and is