Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 205

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 205
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 30, 2025Swaps MaturitiesNotional Amount (1)Weighted Average Fixed Pay Rate (2)Weighted Average Receive RateWeighted Average Maturity (Years) (2)≤ 1 year$2,761,979 4.273 %4.450 %0.61> 1 and ≤ 3 years3,845,266 3.476 %4.450 %1.95> 3 and ≤ 5 years2,179,488 3.670 %4.450 %4.38> 5 and ≤ 7 years2,698,039 3.798 %4.450 %6.37> 7 and ≤ 10 years1,319,723 3.927 %4.450 %9.74> 10 years874,551 3.954 %4.450 %14.22Total$13,679,046 3.830 %4.450 %4.23

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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 Fixed Pay Rate (2)Weighted Average Receive RateWeighted Average Maturity (Years) (2)≤ 1 year$2,647,671 4.730 %4.490 %0.21> 1 and ≤ 3 years4,505,979 3.929 %4.490 %1.50> 3 and ≤ 5 years3,073,385 3.579 %4.490 %3.50> 5 and ≤ 7 years1,885,295 3.781 %4.490 %6.86> 7 and ≤ 10 years1,122,030 3.822 %4.490 %9.90> 10 years648,381 3.843 %4.490 %14.60Total$13,882,741 4.042 %4.490 %3.47____________________(1)Notional amount includes $3.2 billion and $2.4 billion in forward starting interest rate swaps as of June 30, 2025 and December 31, 202