Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 249

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 2
Chunk 249
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 investment securities is related to changes in unrealized gains (losses) on certain AFS securities for which we have elected the fair value option. Fluctuations in this line item are primarily driven by the reclassification of unrealized gains and losses to realized gains and losses upon sale, as well as changes in fair value assumptions.

(Loss) Gain On Servicing Asset

The following table presents the components of (loss) gain on servicing asset for the three months ended March 31, 2025 and 2024:

Three Months EndedMarch 31,(in thousands)20252024Changes in fair value due to changes in valuation inputs or assumptions used in the valuation model$16,016 $59,780 Changes in fair value due to realization of cash flows (runoff)(52,237)(48,768)(Loss) gain on servicing asset$(36,221)$11,012 

The decrease in gain on servicing asset for the three months ended March 31, 2025, as compared to the same period in March 31, 2024, was driven by lower favorable change in valuation inputs and assumptions used in the fair valuation of MSR, primarily due to a lower average portfolio balance, and slightly higher portfolio run-off as a result of declining interest rates.

(Loss) Gain 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 months ended March 31, 2025 and 2024:

Three Months EndedMarch 31,(in thousands)20252024Net interest spread$5,975 $14,295 Early termination, agreement maturation and option expiration gains26,586 13,890 Change in unrealized (loss) gain on interest rate swap and swaption agreements(131,349)70,325 (Loss) gain on interest rate swap and swaption agreements$(98,788)$98,510 

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