Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 161

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 161
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 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

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

(notional in thousands)December 31, 2023Swaps MaturitiesNotional Amount (1)Weighted Average Fixed Pay Rate (2)Weighted Average Receive RateWeighted Average Maturity (Years) (2)≤ 1 year$— — %— %0.00> 1 and ≤ 3 years6,796,772 4.551 %5.380 %1.44> 3 and ≤ 5 years2,040,444 3.800 %5.380 %4.07> 5 and ≤ 7 years697,800 4.282 %5.380 %6.67> 7 and ≤ 10 years2,125,830 3.606 %5.380 %9.32> 10 years466,637 3.753 %5.380 %14.57Total$12,127,483 4.245 %5.380 %3.87____________________(1)Notional amount includes $2.4 billion and $1.1 billion in forward starting interest rate swaps as of December 31, 2024 and December 31, 2023, respectively.(2)Weighted averages exclude forward starting interest rate swaps. As of December 31, 2024 and December 31, 2023, forward