TWO Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (USD $) In Thousands, except Share data, unless otherwise specified	12 Months Ended
	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2012
Interest income:
Available-for-sale securities	$ 506,268	$ 507,180	$ 448,620
Trading securities	12,913	5,963	4,873
Mortgage loans held-for-sale	16,089	22,185	609
Mortgage loans held-for-investment in securitization trusts	41,220	19,220	0
Cash and cash equivalents	717us-gaap_InterestIncomeDomesticDeposits	1,043us-gaap_InterestIncomeDomesticDeposits	944us-gaap_InterestIncomeDomesticDeposits
Total interest income	577,207	555,591	455,046
Interest expense:
Repurchase agreements	76,177	89,470	72,106
Collateralized borrowings in securitization trusts	26,760us-gaap_InterestExpenseLongTermDebt	10,937us-gaap_InterestExpenseLongTermDebt	0us-gaap_InterestExpenseLongTermDebt
Federal Home Loan Bank advances	4,513	0	0
Total interest expense	107,450us-gaap_InterestExpense	100,407us-gaap_InterestExpense	72,106us-gaap_InterestExpense
Net interest income	469,757us-gaap_InterestIncomeExpenseNet	455,184us-gaap_InterestIncomeExpenseNet	382,940us-gaap_InterestIncomeExpenseNet
Other-than-temporary impairments:
Total other-than temporary impairment losses	(392)	(1,662)	(10,952)
Non-credit portion of loss recognized in other comprehensive income (loss)	0	0	0
Net other-than-temporary credit impairment losses	(392)	(1,662)	(10,952)
Other income:
Gain (loss) on investment securities	87,201	(54,430)	122,466
(Loss) gain on interest rate swap and swaption agreements	(345,647)	245,229	(159,775)
(Loss) gain on other derivative instruments	(17,529)	95,345	(40,906)
Gain (loss) on mortgage loans held-for-sale	17,297two_GainLossonMortgageLoansHeldforSale	(33,846)two_GainLossonMortgageLoansHeldforSale	2,270two_GainLossonMortgageLoansHeldforSale
Servicing income	128,160	12,011	0
(Loss) gain on servicing asset	(128,388)	13,881	0
Other income	18,539	14,619	0
Total other (loss) income	(240,367)us-gaap_OtherIncome	292,809us-gaap_OtherIncome	(75,945)us-gaap_OtherIncome
Expenses:
Management fees	48,803us-gaap_AssetManagementCosts	41,707us-gaap_AssetManagementCosts	33,168us-gaap_AssetManagementCosts
Securitization deal costs	4,638two_SecuritizationDealCosts	4,153two_SecuritizationDealCosts	0two_SecuritizationDealCosts
Servicing expenses	25,925two_SubservicingExpense	3,761two_SubservicingExpense	0two_SubservicingExpense
Other operating expenses	56,231us-gaap_OtherCostAndExpenseOperating	37,259us-gaap_OtherCostAndExpenseOperating	17,678us-gaap_OtherCostAndExpenseOperating
Total expenses	135,597us-gaap_CostsAndExpenses	86,880us-gaap_CostsAndExpenses	50,846us-gaap_CostsAndExpenses
Income from continuing operations before income taxes	93,401	659,451	245,197
(Benefit from) provision for income taxes	(73,738)us-gaap_IncomeTaxExpenseBenefit	84,411us-gaap_IncomeTaxExpenseBenefit	(42,219)us-gaap_IncomeTaxExpenseBenefit
Net income from continuing operations	167,139	575,040	287,416
Income from discontinued operations	0	3,999	4,490
Net income	167,139	579,039	291,906
Basic earnings per weighted average common share:
Continuing operations	$ 0.46	$ 1.64	$ 1.19
Discontinued operations	$ 0.00	$ 0.01	$ 0.02
Net income	$ 0.46us-gaap_EarningsPerShareBasic	$ 1.65us-gaap_EarningsPerShareBasic	$ 1.21us-gaap_EarningsPerShareBasic
Diluted earnings per weighted average common share:
Continuing operations	$ 0.46	$ 1.64	$ 1.18
Discontinued operations	$ 0.00	$ 0.01	$ 0.02
Net income	$ 0.46us-gaap_EarningsPerShareDiluted	$ 1.65us-gaap_EarningsPerShareDiluted	$ 1.20us-gaap_EarningsPerShareDiluted
Basic weighted average number of shares of common stock	366,011,855	350,361,827	242,014,751
Diluted weighted average number of shares of common stock	366,011,855	350,992,387	242,432,156
Comprehensive income:
Net income	167,139	579,039	291,906
Other comprehensive income (loss):
Unrealized gain (loss) on available-for-sale securities, net	411,054	(251,723)	755,174
Other comprehensive income (loss)	411,054	(251,723)	755,174
Comprehensive income	$ 578,193	$ 327,316	$ 1,047,080