Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 199

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 199
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 agreements(12,175)(201,417)(309,164)17,521 Interest rate swaps - ReceiversGain (loss) on interest rate swap and swaption agreements16,477 29,155 161,728 (69,292)SwaptionsGain (loss) on interest rate swap and swaption agreements— — — 31 TBAs (pipeline)Gain on mortgage loans held-for-sale(163)— (245)— Interest rate lock commitmentsGain on mortgage loans held-for-sale447 478 930 478 Forward mortgage loan sale commitmentsGain on mortgage loans held-for-sale— 29 (143)29 Non-risk management:Inverse interest-only securitiesGain (loss) on other derivative instruments5,130 2,758 11,639 631 Total$69,182 $(204,477)$(112,107)$(37,106)

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

For the three and nine months ended September 30, 2025, the Company recognized income of $8.1 million and $20.5 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 $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