Quarterly report pursuant to Section 13 or 15(d)

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

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CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($)
$ in Thousands
 3 Months Ended 6 Months Ended
Jun. 30, 2017
Jun. 30, 2016
Jun. 30, 2017
Jun. 30, 2016
Interest income:        
Available-for-sale securities $ 150,166 $ 101,512 $ 285,739 $ 180,940
Commercial real estate assets 25,840 13,300 49,410 24,372
Residential mortgage loans held-for-investment in securitization trusts 30,826 34,499 62,454 67,270
Residential mortgage loans held-for-sale 503 4,960 901 12,162
Cash and cash equivalents 1,226 505 1,679 795
Total interest income 208,561 154,776 400,183 285,539
Interest expense:        
Repurchase agreements 49,299 22,697 86,311 38,726
Collateralized borrowings in securitization trusts 24,843 25,184 50,229 44,543
Federal Home Loan Bank advances 11,444 6,088 20,237 12,060
Revolving credit facilities 597 0 1,026 0
Convertible senior notes 4,591 0 8,412 0
Total interest expense 90,774 53,969 166,215 95,329
Net interest income 117,787 100,807 233,968 190,210
Other-than-temporary impairments:        
Total other-than-temporary impairment losses (429) (90) (429) (807)
Other income (loss):        
Gain (loss) on investment securities 31,249 8,331 (21,103) 37,805
Loss on interest rate swap and swaption agreements (76,710) (12,708) (66,783) (138,192)
Loss on other derivative instruments (19,540) (48,051) (47,404) (32,036)
Servicing income 51,308 35,816 91,081 69,949
Loss on servicing asset (46,630) (76,535) (61,195) (177,975)
Gain on residential mortgage loans held-for-sale 333 7,734 1,794 18,537
Other income (loss) 2,793 (9,561) 10,828 (6,734)
Total other loss (57,197) (94,974) (92,782) (228,646)
Expenses:        
Management fees 11,772 11,837 23,242 23,881
Servicing expenses 11,603 7,576 17,223 15,437
Securitization deal costs 0 429 0 4,161
Other operating expenses 19,371 17,644 35,408 32,500
Total expenses 42,746 37,486 75,873 75,979
Income (loss) before income taxes 17,415 (31,743) 64,884 (115,222)
Provision for (benefit from) income taxes 8,757 (14,762) (15,759) (9,311)
Net income (loss) 8,658 (16,981) 80,643 (105,911)
Net income attributable to noncontrolling interest 40 0 40 0
Net income (loss) attributable to Two Harbors Investment Corp. 8,618 (16,981) 80,603 (105,911)
Dividends on preferred stock 4,285 0 4,285 0
Net income (loss) attributable to common stockholders $ 4,333 $ (16,981) $ 76,318 $ (105,911)
Basic and diluted earnings (loss) per weighted average common share (in usd per share) $ 0.01 $ (0.05) $ 0.22 $ (0.30)
Dividends declared per common share (in usd per share) $ 0.26 $ 0.23 $ 0.51 $ 0.46
Basic and diluted weighted average number of shares of common stock outstanding (in shares) 348,946,335 347,597,955 348,756,189 348,516,985
Comprehensive income:        
Net income (loss) $ 8,658 $ (16,981) $ 80,643 $ (105,911)
Other comprehensive income, net of tax:        
Unrealized gain on available-for-sale securities 81,628 139,291 155,390 160,636
Other comprehensive income 81,628 139,291 155,390 160,636
Comprehensive income 90,286 122,310 236,033 54,725
Comprehensive income attributable to noncontrolling interest 42 0 42 0
Comprehensive income attributable to Two Harbors Investment Corp. 90,244 122,310 235,991 54,725
Dividends on preferred stock 4,285 0 4,285 0
Comprehensive income attributable to common stockholders $ 85,959 $ 122,310 $ 231,706 $ 54,725