Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 89

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 7
Chunk 89
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 acquired by third parties, and we acquired the remaining balance of those SMBS, which were briefly included within Agency AFS securities until their sale in the same year.

The increase in gain (decrease in loss) on servicing asset for the three and twelve months ended December 31, 2024, as compared to the same periods in 2023, was driven by favorable change in valuation inputs and assumptions used in the fair valuation of MSR and higher realized gains on sales of MSR, partially offset by slightly higher portfolio run-off.

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 twelve months ended December 31, 2024 and 2023:

Three Months EndedYear EndedDecember 31,December 31,(in thousands)2024202320242023Net interest spread$12,158 $7,444 $58,527 $21,358 Early termination, agreement maturation and option expiration gains (losses)66,033 (12,438)(3,999)(36,194)Change in unrealized gain (loss) on interest rate swap and swaption agreements, at fair value121,421 (134,240)93,343 (38,110)Gain (loss) on interest rate swap and swaption agreements$199,612 $(139,234)$147,871 $(52,946)

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Net interest spread recognized for the accrual and/or settlement of the net interest expense 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 spread asset/liability and the recognition of realized gains and losses, including early termination penalties. The change in fair value of interest rate swaps and swaptions during the three and twelve months ended December 31, 2024 and 2023 was a result of changes to floating interest rates (OIS or SOFR), the swap curve and corresponding counterparty borrowing rates. Swaps and swaptions are used for purposes of hedging our interest