Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 90

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 7
Chunk 90
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 rate exposure, and therefore, their unrealized valuation gains and losses (excluding the reversal of unrealized gains and losses to realized gains and losses upon termination, maturation or option expiration) generally offset a portion of the unrealized losses and gains recognized on our Agency RMBS AFS portfolio, which are recorded either directly to stockholders’ equity through other comprehensive (loss) income or to loss on investment securities, in the case of certain AFS securities for which we have elected the fair value option.

Loss On Other Derivative Instruments

The following table provides a summary of the total net gains (losses) recognized on other derivative instruments we hold for purposes of both hedging and non-hedging activities, principally TBAs, futures, options on futures, and inverse interest-only securities during the three and twelve months ended December 31, 2024 and 2023:

Three Months EndedYear Ended(in thousands)December 31,December 31,2024202320242023TBAs$(141,978)$28,967 $(144,416)$(155,942)Futures89,155 (175,506)105,216 (8,973)Options on futures— — (127)(779)Inverse interest-only securities(2,321)2,727 (1,690)(516)Loss on other derivative instruments$(55,144)$(143,812)$(41,017)$(166,210)

For further details regarding our use of derivative instruments and related activity, refer to Note 9 - Derivative Instruments and Hedging Activities to the consolidated financial statements, included in this Annual Report on Form 10-K.

Gain On Mortgage Loans Held-For-Sale

The following table provides a summary of the total net realized and unrealized gains (losses) recognized on mortgage loans held-for-sale and the related derivative instruments used to manage exposure to market risks primarily associated with fluctuations in interest rate risks related to our origination pipeline during the three and twelve months ended December 31, 2024 and 2023:

Three Months EndedYear Ended(in thousands)December 31,December 31,2024202320242023Mortgage loans held-for-sale$768 $— $1,185 $— Interest rate lock commitments(341)— 137 — Forward mortgage loan sale commitments131 — 160 — Gain on mortgage loans held-for-sale$558 $— $1,482 $— 

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