Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 160

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 160
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 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 December 31, 2024 and December 31, 2023:(dollars in thousands)December 31, 2024December 31, 2023Type & MaturityNotional AmountCarrying ValueWeighted Average Months to ExpirationNotional AmountCarrying ValueWeighted Average Months to ExpirationU.S. Treasury futures - 2 year$(2,027,800)$— 2.96$(549,600)$— 2.89U.S. Treasury futures - 5 year(713,800)— 2.96(1,876,700)— 2.89U.S. Treasury futures - 10 year(907,600)— 2.60(983,300)— 2.60U.S. Treasury futures - 20 year318,300 — 2.60(388,200)— 2.89Eris SOFR swap futures - 10 year(80,000)— 122.63— — —SOFR futures:≤ 1 year(562,500)— 5.52(1,842,750)— 6.05> 1 and ≤ 2 years— — —(562,500)— 17.56Total futures$(3,973,400)$— 5.24$(6,203,050)$— 5.10Interest 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 December 31, 2024 and December 31, 2023, 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):(notional in thousands)December 31, 2024Swaps MaturitiesNotional Amount (1)Weighted Average