Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 70

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 70
---
.38> 5 and ≤ 7 years1,061,482 4.450 %3.510 %6.77> 7 and ≤ 10 years1,100,083 4.450 %3.790 %9.36> 10 years896,367 4.450 %3.622 %17.91Total$5,847,513 4.450 %3.703 %7.08

21

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)≤ 1 year$786,641 4.490 %4.025 %0.22> 1 and ≤ 3 years929,804 4.490 %3.328 %2.75> 3 and ≤ 5 years352,348 4.490 %3.099 %4.71> 5 and ≤ 7 years99,607 4.490 %3.097 %6.70> 7 and ≤ 10 years— — %— %0.00> 10 years543,326 4.490 %3.384 %20.13Total$2,711,726 4.490 %3.565 %6.60____________________(1)Notional amount includes $759.0 million and $719.8 million in forward starting interest rate swaps as of June 30, 2025 and December 31, 2024, respectively.(2)Weighted averages exclude forward starting interest rate swaps. As of June 30, 2025 and December 31, 2024, forward starting interest rate swap receivers had a weighted average fixed receive rate of 3.9% and 4.0% and weighted average maturities of 7.1 and 2.6 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