Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 68

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 68
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U.S. Treasury futures - 10 year(475,100)— 2.66(907,600)— 2.60U.S. Treasury futures - 20 year257,300 — 2.66318,300 — 2.60Federal Funds futures - 30 day(109,592)— 7.04— — —Eris SOFR swap futures - 10 year(350,000)— 122.66(80,000)— 122.63SOFR futures:≤ 1 year(187,500)— 2.56(562,500)— 5.52Total futures$(3,398,092)$— 13.75$(3,973,400)$— 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 June 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)June 30, 2025Swaps MaturitiesNotional Amount (1)Weighted Average Fixed Pay Rate (2)Weighted Average Receive RateWeighted Average Maturity (Years) (2)≤ 1 year$2,761,979 4.273 %4.450 %0.61> 1 and ≤ 3 years3,845,266 3.476 %4.450 %1.95> 3 and ≤ 5 years2,179,488 3.670 %4.450 %4.38> 5 and ≤ 7 years2,698,039 3.798 %4.450 %6.37> 7 and ≤ 10 years1,319,723 3.927 %4.450 %9.74> 10 years874,551 3.954 %4.450 %14.22Total$13,679,046 3.830 %4.450 %4.23

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

(dollars in thousands)December 31, 202