Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 163

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 163
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,626 5.380 %3.444 %20.01Total$5,660,631 5.380 %4.052 %5.00____________________(1)Notional amount includes $719.8 million and $645.2 million 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 starting interest rate swap receivers had a weighted average fixed receive rate of 4.0% and 4.4% and weighted average maturities of 2.6 and 2.0 years, respectively.Interest Rate Swaptions. The Company may use interest rate swaptions (which provide the option to enter into interest rate swap agreements for a predetermined notional amount, stated term and pay and receive interest rates in the future) independently, or in conjunction with other derivative and non-derivative instruments, in order to mitigate risks. The Company did not hold any interest rate swaptions as of December 31, 2024. As of December 31, 2023, the Company had the following outstanding interest rate swaptions:December 31, 2023(notional and dollars in thousands)OptionUnderlying SwapSwaptionExpirationCostFair ValueAverage Months to ExpirationNotional AmountAverage Fixed RateAverage Term (Years)Purchase contracts:Payer< 6 Months$480 $22 2.40 $200,000 5.13 %1.0Sale contracts:Payer< 6 Months$(332)$(3)2.40 $(400,000)5.61 %1.0Interest Rate Lock Commitments. The Company enters into IRLCs to originate residential mortgage loans at specified interest rates and terms within a specified period of time with customers who have applied for a loan and may meet certain credit and underwriting criteria. IRLCs are subject to changes in mortgage interest rates from the date of the commitment through the date of funding the loan or the cancellation or expiration of the lock commitment, generally ranging between 30 and 90 days. IRLCs are considered freestanding derivatives and are recorded at fair value at inception inclusive of the inherent value of servicing the loan. The Company did not hold any IRLCs as of December 31, 2023. As of December