Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 139

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 2
Chunk 139
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 following table presents the components of loss on servicing asset for the three and nine months ended September 30, 2025 and 2024:

Three Months EndedNine Months EndedSeptember 30,September 30,(in thousands)2025202420252024Changes in fair value due to changes in valuation inputs or assumptions used in the valuation model$(38,686)$(70,868)$4,687 $29,085 Changes in fair value due to realization of cash flows (runoff)(66,210)(62,481)(181,698)(174,239)Other— — (8)(40)Loss on servicing asset$(104,896)$(133,349)$(177,019)$(145,194)

The decrease in loss on servicing asset for the three months ended September 30, 2025, as compared to the same period in 2024, was driven by less unfavorable change in valuation assumptions used in the fair valuation of MSR, primarily due to a lower average portfolio balance, partially offset by slightly higher portfolio run-off as a result of the lower interest rate environment. The increase in loss on servicing asset for the nine months ended September 30, 2025, as compared to the same period 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 higher portfolio run-off as a result of the lower interest rate environment.

Gain (Loss) 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 nine months ended September 30, 2025 and 2024:

Three Months EndedNine Months EndedSeptember 30,September 30,(in thousands)2025202420252024Net interest spread$8,127 $17,059 $20,484 $46,369 Early termination, agreement maturation and option expiration losses(701)(86,310)(4,413)(70,032)Change in unrealized loss on interest rate swap and swaption agreements(3,124)(103,012)(163,507)(28,078)Gain (loss) on interest rate swap and swaption agreements$4,302 $(172,263)$(147,436)$(51,741)

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Net interest spread recognized for the accrual and/or settlement of the net interest income associated with our interest rate swaps