Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 287

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 287
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$(6,259)$(3,130)$3,130 $6,259 As a % of common equity(0.5)%(0.3)%0.2 %0.5 %Revolving credit facilities$(231)$(116)$115 $230 As a % of common equity— %— %— %— %Warehouse lines of credit$(2)$(1)$1 $2 As a % of common equity— %— %— %— %Senior notes$1,338 $685 $(711)$(1,448)As a % of common equity— %— %— %— %Convertible senior notes$995 $496 $(493)$(983)As a % of common equity0.1 %— %— %(0.1)%Total Net Assets$(40,072)$(8,806)$(10,146)$(39,361)As a % of total assets(0.3)%(0.1)%(0.1)%(0.3)%As a % of common equity(3.2)%(0.7)%(0.8)%(3.1)%

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(1)Amounts include the effect of interest spread from our interest rate swaps and float income from custodial accounts associated with our servicing portfolio, but do not reflect any potential changes to dollar roll income associated with our TBA positions or U.S. Treasury futures income, which are accounted for as derivative instruments in accordance with U.S. GAAP. 

(2)Includes the effect of unsettled MSR.

Certain assumptions have been made in connection with the calculation of the information set forth in the foregoing interest rate sensitivity table and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes. The base interest rate scenario assumes interest rates at June 30, 2025. As discussed, the analysis utilizes assumptions and estimates based on our experience and judgment. Furthermore, future purchases and sales of assets could materially change our interest rate risk profile.

The information set forth in the interest rate sensitivity table above and all related disclosures constitutes forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. While this table reflects the estimated impact of interest rate changes on the static portfolio, we actively manage our portfolio and continuously make adjustments to