Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 26

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 26
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Table of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive (loss) income:Derivative InstrumentsLocation of Gain (Loss) Recognized in IncomeAmount of Gain (Loss) Recognized in IncomeThree Months EndedNine Months Ended(in thousands)September 30,September 30,2025202420252024Interest rate risk management:TBAsGain (loss) on other derivative instruments$69,324 $84,073 $88,045 $(2,438)FuturesGain (loss) on other derivative instruments(9,697)(119,553)(64,612)16,061 Options on futuresGain (loss) on other derivative instruments(161)— (285)(127)Interest rate swaps - PayersGain (loss) on interest rate swap and swaption agreements(12,175)(201,417)(309,164)17,521 Interest rate swaps - ReceiversGain (loss) on interest rate swap and swaption agreements16,477 29,155 161,728 (69,292)SwaptionsGain (loss) on interest rate swap and swaption agreements— — — 31 TBAs (pipeline)Gain on mortgage loans held-for-sale(163)— (245)— Interest rate lock commitmentsGain on mortgage loans held-for-sale447 478 930 478 Forward mortgage loan sale commitmentsGain on mortgage loans held-for-sale— 29 (143)29 Non-risk management:Inverse interest-only securitiesGain (loss) on other derivative instruments5,130 2,758 11,639 631 Total$69,182 $(204,477)$(112,107)$(37,106)

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

For the three and nine months ended September 30, 2025, the Company recognized income of $8.1 million and $20.5 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 $