Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 29

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 29
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11 2,658 (52)16,288 Total$27,550 $3,241,243 $(3,097)$12,094,363 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 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 income (loss):Derivative InstrumentsLocation of Gain (Loss) Recognized in IncomeAmount of Gain (Loss) Recognized in IncomeThree Months Ended(in thousands)March 31,20252024Interest rate risk management:TBAsGain on other derivative instruments$29,478 $(59,180)FuturesGain on other derivative instruments(29,763)108,936 Options on futuresGain on other derivative instruments(19)(127)Interest rate swaps - Payers(Loss) gain on interest rate swap and swaption agreements(207,181)194,430 Interest rate swaps - Receivers(Loss) gain on interest rate swap and swaption agreements108,393 (95,951)Swaptions(Loss) gain on interest rate swap and swaption agreements— 31 Interest rate lock commitmentsGain (loss) on mortgage loans held-for-sale312 — Forward mortgage loan sale commitmentsGain (loss) on mortgage loans held-for-sale(168)— Non-risk management:Inverse interest-only securitiesGain on other derivative instruments