Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 155

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 155
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$2,942,735 $(21,506)$12,103,064 Comprehensive Income (Loss) 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

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 IncomeYear Ended(in thousands)December 31,202420232022Interest rate risk management:TBAs(Loss) gain on other derivative instruments$(144,416)$(155,942)$(487,713)Futures(Loss) gain on other derivative instruments105,216 (8,973)514,467 Options on futures(Loss) gain on other derivative instruments(127)(779)(2,224)Interest rate swaps - PayersGain (loss) on interest rate swap and swaption agreements301,781 (53,263)772,829 Interest rate swaps - ReceiversGain (loss) on interest rate swap and swaption agreements(153,941)526 (756,744)SwaptionsGain (loss) on interest rate swap and swaption agreements31 (209)13,414 Interest rate lock commitmentsGain on mortgage loans held-for-sale137 — — Forward mortgage loan sale commitmentsGain on mortgage loans held-for-sale160 — — Non-risk management:Inverse interest-only securities(Loss) gain on other derivative instruments(1,690)(516)(15,220)Total$107,151 $(219,156)$38,809 

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

For the years ended December 31, 2024, 2023 and 2022, the Company recognized $58.5 million of income, $21.4 million of income, and $4.8 million of expense, respectively, for the accrual and/or settlement of the net interest spread associated with its interest rate swaps. The income resulted from paying either a fixed interest rate or a floating interest rate (OIS or