Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 35

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 1
Chunk 35
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 10 years648,381 3.843 %4.490 %14.60Total$13,882,741 4.042 %4.490 %3.47____________________(1)Notional amount includes $2.5 billion and $2.4 billion in forward starting interest rate swaps as of March 31, 2025 and December 31, 2024, respectively.(2)Weighted averages exclude forward starting interest rate swaps. As of March 31, 2025 and December 31, 2024, forward starting interest rate swap payers had a weighted average fixed pay rate of 3.9% and 3.8% and weighted average maturities of 5.5 and 5.5 years, respectively.Additionally, as of March 31, 2025 and December 31, 2024, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (OIS or SOFR):(dollars in thousands)March 31, 2025Swaps MaturitiesNotional Amount (1)Weighted Average Pay RateWeighted Average Fixed Receive Rate (2)Weighted Average Maturity (Years) (2)≤ 1 year$— — %— %0.00> 1 and ≤ 3 years1,518,274 4.410 %3.922 %1.91> 3 and ≤ 5 years574,678 4.410 %3.469 %4.63> 5 and ≤ 7 years303,154 4.410 %3.509 %6.77> 7 and ≤ 10 years233,918 4.410 %3.893 %9.99> 10 years794,887 4.410 %3.570 %18.21Total$3,424,911 4.410 %3.718 %6.78

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

(dollars in thousands)December 31, 2024Swaps MaturitiesNotional Amount (1)Weighted Average Pay RateWeighted Average Fixed Receive Rate (2)Weighted Average Maturity (Years) (2)�