Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 206

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 206
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 reconsideration of interest rate sensitivities. As with net interest income, the uncertainty associated with the estimate of change in portfolio value is therefore directly related to the size of interest rate move considered.

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The following interest rate sensitivity table displays the potential impact of instantaneous, parallel changes in interest rates of +/- 25 and +/- 50 bps on annualized net interest income and portfolio value, based on our interest sensitive financial instruments at March 31, 2025. The preceding discussion shows that the results for the 25 bps move scenarios are the best representation of our interest rate exposure, followed by those for the 50 bps move scenarios. This hierarchy reflects our localized approach to managing interest rate risk: monitoring rates and rebalancing our hedges on a day-to-day basis, where rate moves only rarely exceed 25 bps in either direction.

Changes in Interest Rates(dollars in thousands)-50 bps-25 bps+25 bps+50 bpsChange in annualized net interest income (1):$2,206 $1,128 $(1,055)$(2,226)% change in net interest income (1)1.4 %0.7 %(0.7)%(1.5)%Change in value of financial position:Available-for-sale securities$175,896 $91,152 $(97,528)$(200,964)As a % of common equity11.5 %6.0 %(6.4)%(13.2)%Mortgage servicing rights (2)$(100,346)$(45,118)$38,427 $68,671 As a % of common equity (2)(6.6)%(3.0)%2.5 %4.5 %Mortgage loans held-for-sale$117 $63 $(73)$(155)As a % of common equity— %— %— %— %Derivatives, net$(107,024)$(51,001)$45,999 $86,977 As a % of common equity(7.0)%(3.3)%3.0 %5.7 %Reverse repurchase agreements$47 $24 $(24)$(47)As a % of common equity— %— %— %— %Repurchase agreements$(8,332)$(4,166)$4,166 $8,332 As a % of