Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 201

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 201
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 June 30, 2025 and 2024:Three Months EndedSix Months EndedJune 30,June 30,(in thousands)2025202420252024Inverse interest-only securities$725,242 $153,200 $446,686 $156,846 Interest rate swap agreements19,062,123 11,368,537 19,728,068 13,252,491 Swaptions, net— — — (116,484)TBAs, net2,471,752 4,294,758 2,794,246 3,666,253 Futures, net(3,518,726)(6,270,550)(3,434,363)(6,423,600)Interest rate lock commitments33,461 — 31,194 — Forward mortgage loan sale commitments4,922 — 14,997 — Total$18,778,774 $9,545,945 $19,580,828 $10,535,506 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 (gain) on interest rate swaps and swaptions, unrealized gains on other derivative instruments and (gains) losses 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 proceeds (payments) 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 June 30, 2025 and December 31,