Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 27

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 27
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22.0 billion and $16.5 billion notional, respectively. For the three and nine months ended September 30, 2024, the Company recognized income of $17.1 million and $46.4 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 $13.4 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 nine months ended September 30, 2025 and 2024:Three Months EndedNine Months EndedSeptember 30,September 30,(in thousands)2025202420252024Inverse interest-only securities$1,903,262 $145,931 $937,547 $153,181 Interest rate swap agreements22,030,990 13,365,113 16,471,850 13,290,306 Swaptions, net— — — (77,372)TBAs, net4,658,871 4,799,826 3,422,617 4,046,869 Futures, net(4,344,853)(4,975,350)(3,742,509)(5,937,450)Interest rate lock commitments43,070 26,775 36,274 14,204 Forward mortgage loan sale commitments— 26,872 9,943 14,253 Total$24,291,340 $13,389,167 $17,135,722 $11,503,991 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 are reflected within the realized and unrealized loss on interest rate swaps and swaptions, unrealized gains on other derivative instruments and gains on mortgage loans held-for-sale line items within the operating activities section of the consolidated statements of cash flows. The remaining cash flow activity related to derivative instruments is reflected within the net (payments) proceeds on derivative instruments and decrease in due to counterparties, net line items within the investing activities section of the consolidated statements of cash flows.Interest Rate