Two Harbors Investment Corp. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details)

Derivative Instruments and Hedging Activities Schedule of Interest Rate Swaptions (Details) (USD $) In Thousands, unless otherwise specified	12 Months Ended
	Dec. 31, 2014	Dec. 31, 2013	Dec. 31, 2012
Derivative [Line Items]
Derivative, Notional Amount	$ (48,115,523)invest_DerivativeNotionalAmount	$ (37,366,610)invest_DerivativeNotionalAmount	$ (22,377,656)invest_DerivativeNotionalAmount
Interest Rate Swaption [Member]
Derivative [Line Items]
Derivative, Notional Amount	(12,410,000)	(5,130,000)	(4,950,000)
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Variable Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Cost	(255,358)	(233,935)
Derivative Asset, Fair Value, Net	(130,120)	(363,566)
Derivative, Average Remaining Period Until Maturity	56.62	38.16
Derivative, Average Remaining Period Until Maturity, Underlying Swap	56.62	38.16
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Variable Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Cost		(10,431)
Derivative Asset, Fair Value, Net		(10,458)
Derivative, Average Remaining Period Until Maturity		2.78
Derivative, Average Remaining Period Until Maturity, Underlying Swap		2.78
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Variable Income Interest Rate [Member] \| Six Months or Longer Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Cost	(255,358)	(223,504)
Derivative Asset, Fair Value, Net	(130,120)	(353,108)
Derivative, Average Remaining Period Until Maturity	56.62	39.14
Derivative, Average Remaining Period Until Maturity, Underlying Swap	56.62	39.14
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Fixed Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Cost	(10,715)	(3,991)
Derivative Asset, Fair Value, Net	(6,462)	(681)
Derivative, Average Remaining Period Until Maturity	3.38	1.93
Derivative, Average Remaining Period Until Maturity, Underlying Swap	3.38	1.93
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Fixed Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Cost	(10,715)	(3,991)
Derivative Asset, Fair Value, Net	(6,462)	(681)
Derivative, Average Remaining Period Until Maturity	3.38	1.93
Derivative, Average Remaining Period Until Maturity, Underlying Swap	3.38	1.93
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Variable Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Cost	(81,248)	(84,703)
Derivative Asset, Fair Value, Net	(19,990)	(94,040)
Derivative, Average Remaining Period Until Maturity	30.02	33.68
Derivative, Average Remaining Period Until Maturity, Underlying Swap	30.02	33.68
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Variable Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Cost		(3,455)
Derivative Asset, Fair Value, Net		(7,679)
Derivative, Average Remaining Period Until Maturity		1.93
Derivative, Average Remaining Period Until Maturity, Underlying Swap		1.93
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Variable Income Interest Rate [Member] \| Six Months or Longer Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Cost	(81,248)	(81,248)
Derivative Asset, Fair Value, Net	(19,990)	(86,361)
Derivative, Average Remaining Period Until Maturity	30.02	42.02
Derivative, Average Remaining Period Until Maturity, Underlying Swap	30.02	42.02
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Fixed Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Cost		(3,455)
Derivative Asset, Fair Value, Net		(462)
Derivative, Average Remaining Period Until Maturity		1.93
Derivative, Average Remaining Period Until Maturity, Underlying Swap		1.93
Interest Rate Swaption [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Fixed Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Cost		(3,455)
Derivative Asset, Fair Value, Net		(462)
Derivative, Average Remaining Period Until Maturity		1.93
Derivative, Average Remaining Period Until Maturity, Underlying Swap		1.93
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Variable Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Notional Amount	(8,210,000)	(6,675,000)
Derivative, Average Remaining Period Until Maturity	7.4	9.1
Derivative, Average Fixed Interest Rate	4.116%	4.178%
Derivative, Description of Variable Reference Rate	3M Libor	3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap	7.4	9.1
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Variable Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount		(675,000)
Derivative, Average Remaining Period Until Maturity		10.0
Derivative, Average Fixed Interest Rate		3.326%
Derivative, Description of Variable Reference Rate		3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap		10.0
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Variable Income Interest Rate [Member] \| Six Months or Longer Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount	(8,210,000)	(6,000,000)
Derivative, Average Remaining Period Until Maturity	7.4	9.0
Derivative, Average Fixed Interest Rate	4.116%	4.274%
Derivative, Description of Variable Reference Rate	3M Libor	3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap	7.4	9.0
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Fixed Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Notional Amount	(5,000,000)	(275,000)
Derivative, Average Remaining Period Until Maturity	5.0	10.0
Derivative, Average Fixed Interest Rate	1.352%	2.89%
Derivative, Description of Variable Reference Rate	3M Libor	3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap	5.0	10.0
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Long [Member] \| Fixed Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount	(5,000,000)	(275,000)
Derivative, Average Remaining Period Until Maturity	5.0	10.0
Derivative, Average Fixed Interest Rate	1.352%	2.89%
Derivative, Description of Variable Reference Rate	3M Libor	3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap	5.0	10.0
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Variable Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Notional Amount	(800,000)	(1,310,000)
Derivative, Average Remaining Period Until Maturity	10.0	8.1
Derivative, Average Fixed Interest Rate	3.438%	2.722%
Derivative, Description of Variable Reference Rate	3M Libor	3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap	10.0	8.1
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Variable Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount		(510,000)
Derivative, Average Remaining Period Until Maturity		5.0
Derivative, Average Fixed Interest Rate		1.60%
Derivative, Description of Variable Reference Rate		3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap		5.0
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Variable Income Interest Rate [Member] \| Six Months or Longer Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount	(800,000)	(800,000)
Derivative, Average Remaining Period Until Maturity	10.0	10.0
Derivative, Average Fixed Interest Rate	3.438%	3.438%
Derivative, Description of Variable Reference Rate	3M Libor	3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap	10.0	10.0
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Fixed Income Interest Rate [Member]
Derivative [Line Items]
Derivative, Notional Amount		(510,000)
Derivative, Average Remaining Period Until Maturity		5.0
Derivative, Average Fixed Interest Rate		1.60%
Derivative, Description of Variable Reference Rate		3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap		5.0
Underlying Swap [Member] \| Interest Rate Risk Associated with the Investment Portfolio [Member] \| Short [Member] \| Fixed Income Interest Rate [Member] \| Less Than Six Months Remaining Maturity [Member]
Derivative [Line Items]
Derivative, Notional Amount		$ (510,000)
Derivative, Average Remaining Period Until Maturity		5.0
Derivative, Average Fixed Interest Rate		1.60%
Derivative, Description of Variable Reference Rate		3M Libor
Derivative, Average Remaining Period Until Maturity, Underlying Swap		5.0

- Definition

Fair value, after offset of derivative liability, of financial asset or other contract with one or more underlyings, notional amount or payment provision or both, and the contract can be net settled by means outside the contract or delivery of an asset, before offset against an obligation to return collateral under a master netting arrangement. Includes assets elected not to be offset. Excludes assets not subject to a master netting arrangement.

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