Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 156

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 156
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 SOFR) and receiving either a floating interest rate (OIS or SOFR) or a fixed interest rate on an average $14.1 billion, $8.0 billion and $12.4 billion notional, respectively.The following tables present information with respect to the volume of activity in the Company’s derivative instruments during the years ended December 31, 2024 and 2023:Year Ended December 31, 2024(in thousands)Beginning of Period Notional AmountAdditionsSettlement, Termination, Expiration or ExerciseEnd of Period Notional AmountAverage Notional AmountRealized Gain (Loss),net (1)Inverse interest-only securities$163,735 $— $(28,425)$135,310 $149,602 $— Interest rate swap agreements17,788,114 40,285,144 (41,478,791)16,594,467 14,147,884 (3,901)Swaptions, net(200,000)(500,000)700,000 — (57,923)(98)TBAs, net3,497,000 63,434,400 (62,433,600)4,497,800 4,235,543 (68,791)Futures, net(6,203,050)(25,011,200)27,240,850 (3,973,400)(5,501,400)(30,570)Options on futures, net— — — — — (127)Interest rate lock commitments— 136,943 (118,603)18,340 25,879 — Forward mortgage loan sale commitments— 136,943 (116,570)20,373 25,900 — Total$15,045,799 $78,482,230 $(76,235,139)$17,292,890 $13,025,485 $(103,487)Year Ended December 31, 2023(in thousands)Beginning of Period Notional AmountAdditionsSettlement, Termination, Expiration or ExerciseEnd of Period Notional AmountAverage Notional AmountRealized Gain (Loss),net (1)Inverse interest-only securities$196,456 $— $(32,721)$163,735 $180,080 $— Interest rate swap agreements— 22,600,456 (4,812,