Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 198

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 198
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— $— Interest rate swap agreements— — — 24,881,904 TBAs1,050 (693,371)(7,720)5,101,000 Futures, net— (5,048,200)— — Interest rate lock commitments1,068 63,129 — — Total$135,431 $(3,496,532)$(7,720)$29,982,904 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.

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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 (loss) income:Derivative InstrumentsLocation of Gain (Loss) Recognized in IncomeAmount of Gain (Loss) Recognized in IncomeThree Months EndedNine Months Ended(in thousands)September 30,September 30,2025202420252024Interest rate risk management:TBAsGain (loss) on other derivative instruments$69,324 $84,073 $88,045 $(2,438)FuturesGain (loss) on other derivative instruments(9,697)(119,553)(64,612)16,061 Options on futuresGain (loss) on other derivative instruments(161)— (285)(127)Interest rate swaps - PayersGain (loss) on interest rate swap and swaption