Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 157

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 157
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342)17,788,114 7,974,494 (36,114)Swaptions, net— (400,000)200,000 (200,000)(161,644)(80)TBAs, net3,826,000 42,018,000 (42,347,000)3,497,000 3,016,532 (230,319)Futures, net(18,285,452)(35,976,130)48,058,532 (6,203,050)(9,085,474)167,235 Options on futures, net— — — — — (779)Total$(14,262,996)$28,242,326 $1,066,469 $15,045,799 $1,923,988 $(100,057)____________________(1)Excludes net interest paid or received in full settlement of the net interest spread liability.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 (gains) losses on interest rate swaps and swaptions, unrealized (gains) losses on other derivative instruments and gains 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 short sales (purchases) of derivative instruments, net; proceeds from sales and settlement (payments for termination and settlement) of derivative instruments, net; and increase (decrease) in due to counterparties, net line items within the investing activities section of the consolidated statements of cash flows.

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

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