Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 200

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 200
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 on futures(Loss) gain on other derivative instruments(105)— (124)(127)Interest rate swaps - Payers(Loss) gain on interest rate swap and swaption agreements(89,808)24,508 (296,989)218,938 Interest rate swaps - Receivers(Loss) gain on interest rate swap and swaption agreements36,858 (2,496)145,251 (98,447)Swaptions(Loss) gain on interest rate swap and swaption agreements— — — 31 TBAs (pipeline)Gain (loss) on mortgage loans held-for-sale(82)— (82)— Interest rate lock commitmentsGain (loss) on mortgage loans held-for-sale171 — 483 — Forward mortgage loan sale commitmentsGain (loss) on mortgage loans held-for-sale25 — (143)— Non-risk management:Inverse interest-only securities(Loss) gain on other derivative instruments4,757 (97)6,509 (2,127)Total$(84,093)$21,262 $(181,289)$167,371 

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

For the three and six months ended June 30, 2025, the Company recognized income of $6.4 million and $12.4 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 $19.1 billion and $19.7 billion notional, respectively. For the three and six months ended June 30, 2024, the Company recognized income of $15.0 million and $29.3 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 $11.4 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 six months ended