Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 63

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 63
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 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)$4,535,756 Comprehensive (Loss) Income Statement PresentationThe Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its derivative instruments.The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive (loss) income:Derivative InstrumentsLocation of Gain (Loss) Recognized in IncomeAmount of Gain (Loss) Recognized in IncomeThree Months EndedSix Months Ended(in thousands)June 30,June 30,2025202420252024Interest rate risk management:TBAs(Loss) gain on other derivative instruments$(10,757)$(27,331)$18,721 $(86,511)Futures(Loss) gain on other derivative instruments(25,152)26,678 (54,915)135,614 Options on futures(Loss) gain on other derivative instruments(105)— (124)(127)Interest rate swaps - Payers(Loss) gain on interest rate swap and swaption agreements(89,808)24,508 (296,989)218,938 Interest rate swaps - Receivers(Loss) gain on interest rate swap and swaption agreements36,858 (2,496)145,251 (98,447)Swaptions(Loss) gain on interest rate swap and swaption agreements— — — 31 TBAs (pipeline)Gain (loss) on mortgage loans held-for-sale(82)— (82)— Interest rate lock commitmentsGain (loss) on mortgage loans held-for-sale171 — 483 — Forward mortgage loan sale commitmentsGain (loss) on mortgage loans held-for-sale25 — (143)— Non-risk management:Inverse interest-only securities(Loss) gain on other derivative instruments4,757 (97)6,509 (2,127)Total$(84,093)$21,262 $(181,289)$167,371 

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