Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 133

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 133
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.60318,300 — 2.60Federal Funds futures - 30 day125,010 — 1.97— — —Eris SOFR swap futures - 10 year(130,000)— 122.66(80,000)— 122.63SOFR futures:≤ 1 year(375,000)— 4.06(562,500)— 5.52> 1 and ≤ 2 years455,000 — 19.78— — —> 2 and ≤ 3 years(455,000)— 29.49— — —Total futures$(2,930,590)$— 9.19$(3,973,400)$— 5.24

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

Interest 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 March 31, 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)March 31, 2025Swaps MaturitiesNotional Amount (1)Weighted Average Fixed Pay Rate (2)Weighted Average Receive RateWeighted Average Maturity (Years) (2)≤ 1 year$1,968,891 4.087 %4.410 %0.76> 1 and ≤ 3 years3,713,000 3.739 %4.410 %1.95> 3 and ≤ 5 years2,091,861 3.669 %4.410 %4.57> 5 and ≤ 7 years1,867,584 3.798 %4.410 %6.62> 7 and ≤ 10 years799,728 3.905 %4.410 %9.77> 10 years889,593 3.951 %4.410 %14.40Total$11,330,657 3.854 %4.410 %4.24(dollars in thousands)December 31, 2024