Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 204

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 204
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 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.

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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 June 30, 2025 and December 31, 2024:(dollars in thousands)June 30, 2025December 31, 2024Type & MaturityNotional AmountCarrying ValueWeighted Average Months to ExpirationNotional AmountCarrying ValueWeighted Average Months to ExpirationU.S. Treasury futures - 2 year$(1,839,200)$— 3.03$(2,027,800)$— 2.96U.S. Treasury futures - 5 year(694,000)— 3.03(713,800)— 2.96U.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