Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 30

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 30
---
1,752 (2,030)Total$(97,196)$146,109 For the three months ended March 31, 2025 and 2024, the Company recognized $6.0 million and $14.3 million of income, respectively, for the accrual and/or settlement of the net interest spread associated with its interest rate swaps. The income resulted from paying either a fixed interest rate or a floating interest rate (OIS or SOFR) and receiving either a floating interest rate (OIS or SOFR) or a fixed interest rate on an average $20.4 billion and $15.1 billion notional, respectively.The following table presents the average notional amount for the Company’s derivative instruments during the three months ended March 31, 2025 and 2024:Three Months EndedMarch 31,(in thousands)20252024Inverse interest-only securities$145,136 $160,491 Interest rate swap agreements20,401,413 15,136,445 TBAs, net3,120,322 3,037,747 Futures, net(3,350,600)(6,576,900)Interest rate lock commitments28,902 — Forward mortgage loan sale commitments25,184 — Total$20,370,357 $11,524,816 

16

Table of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

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 (gain) on interest rate swaps and swaptions, unrealized losses (gains) on other derivative instruments and (gains) losses 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 proceeds (payments) 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 Sensitive Assets/LiabilitiesThe Company’s Agency RMBS portfolio is generally subject to change in value when interest rates or prepayment speeds decrease or increase, depending on the type of investment. Periods of rising interest rates with corresponding decreasing prepayment speeds generally result in a decline in the value of the Company’s fixed