Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 31

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 31
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000)— 122.63(80,000)— 122.63SOFR futures:≤ 1 year— — —(562,500)— 5.52> 1 and ≤ 2 years291,750 — 20.48— — —> 2 and ≤ 3 years(291,750)— 26.47— — —Total futures$(5,048,200)$— 32.70$(3,973,400)$— 5.24Interest Rate Swap Agreements. The Company may use interest rate swaps independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. As of September 30, 2025 and December 31, 2024, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) whereby the Company receives interest at a floating interest rate (OIS or SOFR):(dollars in thousands)September 30, 2025Swaps MaturitiesNotional AmountWeighted Average Fixed Pay RateWeighted Average Receive RateWeighted Average Maturity (Years)≤ 1 year$3,803,133 4.050 %4.240 %0.52> 1 and ≤ 3 years3,296,266 3.473 %4.240 %2.08> 3 and ≤ 5 years3,108,258 3.576 %4.240 %4.36> 5 and ≤ 7 years2,111,133 3.752 %4.240 %6.31> 7 and ≤ 10 years1,641,239 3.892 %4.240 %9.56> 10 years1,214,318 3.967 %4.240 %17.94Total$15,174,347 3.762 %4.240 %4.82

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Table of ContentsTWO HARBORS INVESTMENT CORP.Notes to the Consolidated Financial Statements (unaudited)

(dollars in thousands)December 31, 2024Swaps MaturitiesNotional Amount (1)Weighted Average Fixed Pay Rate (2)Weighted Average Receive RateWeighted Average Maturity (Years) (2)≤ 1 year$2,647,671 4.730 %4