Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 64

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 64
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unaudited)

For the three and six months ended June 30, 2025, the Company recognized income of $6.4 million and $12.4 million, respectively, for the accrual and/or settlement of the net interest spread associated with its interest rate swaps. The income results from receiving either a floating interest rate (OIS or SOFR) or a fixed interest rate and paying either a fixed interest rate or a floating interest rate (OIS or SOFR) on an average $19.1 billion and $19.7 billion notional, respectively. For the three and six months ended June 30, 2024, the Company recognized income of $15.0 million and $29.3 million, respectively, for the accrual and/or settlement of the net interest spread associated with its interest rate swaps. The income results from receiving either a floating interest rate (OIS or SOFR) or a fixed interest rate and paying either a fixed interest rate or a floating interest rate (OIS or SOFR) on an average $11.4 billion and $13.3 billion notional, respectively. The following table presents the average notional amount for the Company’s derivative instruments during the three and six months ended 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