Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 154

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 154
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 efforts and should not be considered independent of one another. While the Company uses derivative and non-derivative instruments to achieve the Company’s risk management activities, it is possible that these instruments will not effectively mitigate all or a substantial portion of the Company’s market rate risk. In addition, the Company might elect, at times, not to enter into certain hedging arrangements in order to maintain compliance with REIT requirements.Balance Sheet PresentationIn accordance with ASC 815, the Company records derivative financial instruments on its consolidated balance sheets as assets or liabilities at fair value. Changes in fair value are accounted for depending on the use of the derivative instruments and whether they are designated or qualify as hedge instruments. Due to the volatility of the interest rate and credit markets and difficulty in effectively matching pricing or cash flows, the Company has not designated any current derivatives as hedging instruments.

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

The following tables present the gross fair value and notional amounts of the Company’s derivative financial instruments treated as trading derivatives as of December 31, 2024 and December 31, 2023: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 December 31, 2023Derivative AssetsDerivative Liabilities(in thousands)Fair ValueNotionalFair ValueNotionalInverse interest-only securities$12,292 $163,735 $— $— Interest rate swap agreements— — — 17,788,114 Swaptions, net19 (200,000)— — TBAs72,980 2,979,000 (21,506)518,000 Futures, net— — — (6,203,050)Total$85,291