Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 203

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 203
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 reported in derivative assets / (liabilities), at fair value, in the consolidated balance sheets.

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

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 September 30, 2025 and December 31, 2024:(dollars in thousands)September 30, 2025December 31, 2024Type & MaturityNotional AmountCarrying ValueWeighted Average Months to ExpirationNotional AmountCarrying ValueWeighted Average Months to ExpirationU.S. Treasury futures - 2 year$(1,613,400)$— 3.03$(2,027,800)$— 2.96U.S. Treasury futures - 5 year(1,159,400)— 3.03(713,800)— 2.96U.S. Treasury futures - 10 year(502,700)— 2.63(907,600)— 2.60U.S. Treasury futures - 20 year257,300 — 2.63318,300 — 2.60Eris SOFR swap futures - 5 year(1,200,000)— 62.60— — —Eris SOFR swap futures - 10 year(830,000)— 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 SO