Annual report pursuant to Section 13 and 15(d)

CONSOLIDATED BALANCE SHEETS

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CONSOLIDATED BALANCE SHEETS - USD ($)
$ in Thousands
Dec. 31, 2015
Dec. 31, 2014
ASSETS    
Available-for-sale securities, at fair value $ 7,825,320 $ 14,341,102
Trading securities, at fair value 0 1,997,656
Residential mortgage loans held-for-sale, at fair value 811,431 535,712
Residential mortgage loans held-for-investment in securitization trusts, at fair value 3,173,727 1,744,746
Commercial real estate assets 660,953 0
Mortgage servicing rights, at fair value 493,688 452,006
Cash and cash equivalents 737,831 1,005,792
Restricted cash 262,562 336,771
Accrued interest receivable 49,970 65,529
Due from counterparties 17,206 35,625
Derivative assets, at fair value 271,509 380,791
Other assets 271,575 188,579
Total Assets [1] 14,575,772 21,084,309
Liabilities    
Repurchase agreements 5,008,274 12,932,463
Collateralized borrowings in securitization trusts, at fair value 2,000,110 1,209,663
Federal Home Loan Bank advances 3,785,000 2,500,000
Derivative liabilities, at fair value 7,285 90,233
Due to counterparties 34,294 124,206
Dividends payable 92,016 95,263
Other liabilities 72,232 64,439
Total liabilities [1] 10,999,211 17,016,267
Stockholders' Equity    
Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; no shares issued and outstanding 0 0
Common stock, par value $0.01 per share; 900,000,000 shares authorized and 353,906,807 and 366,395,920 shares issued and outstanding, respectively 3,539 3,664
Additional paid-in capital 3,705,519 3,811,027
Accumulated other comprehensive income 359,061 855,789
Cumulative earnings 1,684,755 1,195,536
Cumulative distributions to stockholders (2,176,313) (1,797,974)
Total stockholders’ equity 3,576,561 4,068,042
Total Liabilities and Stockholders’ Equity 14,575,772 21,084,309
Variable Interest Entity, Consolidated, Carrying Amount, Assets 3,237,918 1,754,943
Variable Interest Entity, Consolidated, Carrying Amount, Liabilities $ 2,017,677 $ 1,219,821
[1] The consolidated balance sheets include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of these VIEs and liabilities of the consolidated VIEs for which creditors do not have recourse to Two Harbors Investment Corp. At December 31, 2015 and December 31, 2014, assets of the VIEs totaled $3,237,918 and $1,754,943, and liabilities of the VIEs totaled $2,017,677 and $1,219,821, respectively. See Note 3 - Variable Interest Entities for additional information.