Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 199

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 199
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2025Derivative AssetsDerivative Liabilities(in thousands)Fair ValueNotionalFair ValueNotionalInverse interest-only securities$70,048 $1,259,132 $— $— Interest rate swap agreements— — — 19,526,559 TBAs17,981 3,535,000 (2,701)(494,618)Futures, net— — — (3,398,092)Interest rate lock commitments622 26,198 — — Total$88,651 $4,820,330 $(2,701)$15,633,849 

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

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)$4,535,756 Comprehensive (Loss) Income Statement PresentationThe Company has not applied hedge accounting to its current derivative portfolio held to mitigate interest rate risk and credit risk. As a result, the Company is subject to volatility in its earnings due to movement in the unrealized gains and losses associated with its derivative instruments.The following table summarizes the location and amount of gains and losses on derivative instruments reported in the consolidated statements of comprehensive (loss) income:Derivative InstrumentsLocation of Gain (Loss) Recognized in IncomeAmount of Gain (Loss) Recognized in IncomeThree Months EndedSix Months Ended(in thousands)June 30,June 30,2025202420252024Interest rate risk management:TBAs(Loss) gain on other derivative instruments$(10,757)$(27,331)$18,721 $(86,511)Futures(Loss) gain on other derivative instruments(25,152)26,678 (54,915)135,614 Options