Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 33

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 33
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$4,468,904 $732 $(24,883)___________________(1)Notional amount represents the face amount of the underlying Agency RMBS.(2)Cost basis represents the forward price to be paid (received) for the underlying Agency RMBS.(3)Market value represents the current market value of the TBA (or of the underlying Agency RMBS) as of period end.(4)Net carrying value represents the difference between the market value of the TBA as of period end and its cost basis, and is reported in derivative assets / (liabilities), at fair value, in the consolidated balance sheets.Futures. The Company may use a variety of types of futures independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. The following table summarizes certain characteristics of the Company’s futures as of March 31, 2025 and December 31, 2024:(dollars in thousands)March 31, 2025December 31, 2024Type & MaturityNotional AmountCarrying ValueWeighted Average Months to ExpirationNotional AmountCarrying ValueWeighted Average Months to ExpirationU.S. Treasury futures - 2 year$(2,065,400)$— 2.99$(2,027,800)$— 2.96U.S. Treasury futures - 5 year(502,100)— 2.99(713,800)— 2.96U.S. Treasury futures - 10 year(165,400)— 2.60(907,600)— 2.60U.S. Treasury futures - 20 year182,300 — 2.60318,300 — 2.60Federal Funds futures - 30 day125,010 — 1.97— — —Eris SOFR swap futures - 10 year(130,000)— 122.66(80,000)— 122.63SOFR futures:≤ 1 year(375,000)— 4.06(562,500)— 5.52> 1 and ≤ 2 years455,000 — 19.78— — —> 2 and ≤ 3 years(455,000)— 29.49— — —Total futures$(2,930,590)$— 9.19$(3,973,400)$— 5.24

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Table of ContentsTWO HARBORS INVEST