Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 22

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 2
Chunk 22
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Six Months EndedJune 30,June 30,(in thousands)2025202420252024Changes in fair value due to changes in valuation inputs or assumptions used in the valuation model$27,357 $40,173 $43,373 $99,953 Changes in fair value due to realization of cash flows (runoff)(63,251)(62,990)(115,488)(111,758)Losses on sales(8)(40)(8)(40)Loss on servicing asset$(35,902)$(22,857)$(72,123)$(11,845)

The increase in loss on servicing asset for the three and six months ended June 30, 2025, as compared to the same periods in 2024, was driven by lower favorable change in valuation assumptions used in the fair valuation of MSR, primarily due to a lower average portfolio balance, and slightly higher portfolio run-off as a result of the lower interest rate environment.

58

(Loss) Gain On Interest Rate Swap And Swaption Agreements

The following table summarizes the net interest spread and gains and losses associated with our interest rate swap and swaption positions recognized during the three and six months ended June 30, 2025 and 2024:

Three Months EndedSix Months EndedJune 30,June 30,(in thousands)2025202420252024Net interest spread$6,382 $15,015 $12,357 $29,310 Early termination, agreement maturation and option expiration (losses) gains(30,298)2,388 (3,712)16,278 Change in unrealized (loss) gain on interest rate swap and swaption agreements(29,034)4,609 (160,383)74,934 (Loss) gain on interest rate swap and swaption agreements$(52,950)$22,012 $(151,738)$120,522 

Net interest spread recognized for the accrual and/or settlement of the net interest income associated with our interest rate swaps 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 positions held to economically hedge/mitigate portfolio interest rate exposure (or duration) risk. We may elect to terminate certain swaps and swaptions to align with our investment portfolio, agreements may mature or options may expire resulting in full settlement of our net interest