Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 129

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 129
---
:TBAsGain on other derivative instruments$29,478 $(59,180)FuturesGain on other derivative instruments(29,763)108,936 Options on futuresGain on other derivative instruments(19)(127)Interest rate swaps - Payers(Loss) gain on interest rate swap and swaption agreements(207,181)194,430 Interest rate swaps - Receivers(Loss) gain on interest rate swap and swaption agreements108,393 (95,951)Swaptions(Loss) gain on interest rate swap and swaption agreements— 31 Interest rate lock commitmentsGain (loss) on mortgage loans held-for-sale312 — Forward mortgage loan sale commitmentsGain (loss) on mortgage loans held-for-sale(168)— Non-risk management:Inverse interest-only securitiesGain on other derivative instruments1,752 (2,030)Total$(97,196)$146,109 For the three months ended March 31, 2025 and 2024, the Company recognized $6.0 million and $14.3 million of income, respectively, for the accrual and/or settlement of the net interest spread associated with its interest rate swaps. The income resulted from paying either a fixed interest rate or a floating interest rate (OIS or SOFR) and receiving either a floating interest rate (OIS or SOFR) or a fixed interest rate on an average $20.4 billion and $15.1 billion notional, respectively.The following table presents the average notional amount for the Company’s derivative instruments during the three months ended March 31, 2025 and 2024:Three Months EndedMarch 31,(in thousands)20252024Inverse interest-only securities$145,136 $160,491 Interest rate swap agreements20,401,413 15,136,445 TBAs, net3,120,322 3,037,747 Futures, net(3,350,600)(6,576,900)Interest rate lock commitments28,902 — Forward mortgage loan sale commitments25,184 — Total$20,370,357 $11,524,816 

16

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

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