Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 32

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 32
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 marketplace. Additionally, the Company may use TBAs independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. TBAs are forward contracts for the purchase (long notional positions) or sale (short notional positions) of Agency RMBS. The issuer, coupon and stated maturity of the Agency RMBS are predetermined as well as the trade price, face amount and future settle date (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 March 31, 2025 and December 31, 2024:March 31, 2025Net Carrying Value (4)(in thousands)Notional Amount (1)Cost Basis (2)Market Value (3)Derivative AssetsDerivative LiabilitiesPurchase contracts$3,771,501 $3,690,477 $3,691,842 $2,434 $(1,069)Sale contracts(700,949)(688,805)(690,778)2 (1,975)TBAs, net$3,070,552 $3,001,672 $3,001,064 $2,436 $(3,044)

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Table of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

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