Quarterly report pursuant to Section 13 or 15(d)

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME

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CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME - USD ($)
$ in Thousands
 3 Months Ended 9 Months Ended
Sep. 30, 2017
Sep. 30, 2016
Sep. 30, 2017
Sep. 30, 2016
Interest income:        
Available-for-sale securities $ 164,169 $ 111,393 $ 449,908 $ 292,333
Commercial real estate assets 30,595 15,907 80,005 40,279
Residential mortgage loans held-for-investment in securitization trusts 29,865 33,495 92,319 100,765
Residential mortgage loans held-for-sale 479 7,627 1,380 19,789
Cash and cash equivalents 1,408 440 3,087 1,235
Total interest income 226,516 168,862 626,699 454,401
Interest expense:        
Repurchase agreements 71,754 27,056 158,065 65,782
Collateralized borrowings in securitization trusts 23,970 26,422 74,199 70,965
Federal Home Loan Bank advances 10,317 6,744 30,554 18,804
Revolving credit facilities 701 128 1,727 128
Convertible senior notes 4,745 0 13,157 0
Total interest expense 111,487 60,350 277,702 155,679
Net interest income 115,029 108,512 348,997 298,722
Other-than-temporary impairments:        
Total other-than-temporary impairment losses 0 (1,015) (429) (1,822)
Other income (loss):        
Gain (loss) on investment securities 5,618 28,290 (15,485) 66,095
(Loss) gain on interest rate swap and swaption agreements (207) 5,584 (66,990) (132,608)
Loss on other derivative instruments (18,924) (12,028) (66,328) (44,064)
Servicing income 57,387 38,708 148,468 108,657
Loss on servicing asset (29,245) (33,451) (90,440) (211,426)
Gain (loss) on residential mortgage loans held-for-sale 355 (889) 2,149 17,648
Other income (loss) 8,076 5,757 18,904 (977)
Total other income (loss) 23,060 31,971 (69,722) (196,675)
Expenses:        
Management fees 13,276 11,387 36,518 35,268
Servicing expenses 8,893 9,073 26,116 24,510
Securitization deal costs 0 2,080 0 6,241
Other operating expenses 16,526 14,780 51,934 47,280
Restructuring charges 0 1,189 0 1,189
Total expenses 38,695 38,509 114,568 114,488
Income (loss) before income taxes 99,394 100,959 164,278 (14,263)
Benefit from income taxes (5,344) (16,827) (21,103) (26,138)
Net income 104,738 117,786 185,381 11,875
Net income attributable to noncontrolling interest 2,674 0 2,714 0
Net income attributable to Two Harbors Investment Corp. 102,064 117,786 182,667 11,875
Dividends on preferred stock 8,888 0 13,173 0
Net income attributable to common stockholders $ 93,176 $ 117,786 $ 169,494 $ 11,875
Basic earnings per weighted average common share (in usd per share) $ 0.53 $ 0.68 $ 0.97 $ 0.07
Diluted earnings per weighted average common share (in usd per share) 0.52 0.68 0.97 0.07
Dividends declared per common share (in usd per share) $ 0.52 $ 0.46 $ 1.54 $ 1.38
Weighted average basic common shares outstanding (in shares) 174,488,296 173,813,613 174,415,232 174,109,117
Weighted average diluted common shares outstanding (in shares) 188,907,356 173,813,613 174,415,232 174,109,117
Comprehensive income:        
Net income $ 104,738 $ 117,786 $ 185,381 $ 11,875
Other comprehensive income, net of tax:        
Unrealized gain on available-for-sale securities 68,433 18,746 223,823 179,382
Other comprehensive income 68,433 18,746 223,823 179,382
Comprehensive income 173,171 136,532 409,204 191,257
Comprehensive income attributable to noncontrolling interest 2,682 0 2,724 0
Comprehensive income attributable to Two Harbors Investment Corp. 170,489 136,532 406,480 191,257
Dividends on preferred stock 8,888 0 13,173 0
Comprehensive income attributable to common stockholders $ 161,601 $ 136,532 $ 393,307 $ 191,257