Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 128

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 128
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 designated any current derivatives as hedging instruments.The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of March 31, 2025 and December 31, 2024:March 31, 2025Derivative AssetsDerivative Liabilities(in thousands)Fair ValueNotionalFair ValueNotionalInverse interest-only securities$24,652 $382,379 $— $— Interest rate swap agreements— — — 14,755,568 TBAs2,436 2,818,501 (3,044)252,051 Futures, net— — — (2,930,590)Interest rate lock commitments451 37,705 (1)1,046 Forward mortgage loan sale commitments11 2,658 (52)16,288 Total$27,550 $3,241,243 $(3,097)$12,094,363 December 31, 2024Derivative AssetsDerivative Liabilities(in thousands)Fair ValueNotionalFair ValueNotionalInverse interest-only securities$9,058 $135,310 $— $— Interest rate swap agreements— 16,594,467 — — TBAs732 (34,000)(24,883)4,531,800 Futures, net— (3,973,400)— — Interest rate lock commitments151 15,727 (13)2,613 Forward mortgage loan sale commitments173 19,030 (1)1,343 Total$10,114 $12,757,134 $(24,897)$4,535,756 Comprehensive Income Statement PresentationThe Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its derivative instruments.

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

The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive income (loss):Derivative InstrumentsLocation of Gain (Loss) Recognized in IncomeAmount of Gain (Loss) Recognized in IncomeThree Months Ended(in thousands)March 31,20252024Interest rate risk management