Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 69

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 1
Chunk 69
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4Swaps 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 $2.4 billion in forward starting interest rate swaps as of June 30, 2025 and December 31, 2024, respectively.(2)Weighted averages exclude forward starting interest rate swaps. As of June 30, 2025 and December 31, 2024, forward starting interest rate swap payers had a weighted average fixed pay rate of 3.7% and 3.8% and weighted average maturities of 5.5 and 5.5 years, respectively.Additionally, as of June 30, 2025 and December 31, 2024, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (OIS or SOFR):(dollars in thousands)June 30, 2025Swaps MaturitiesNotional Amount (1)Weighted Average Pay RateWeighted Average Fixed Receive Rate (2)Weighted Average Maturity (Years) (2)≤ 1 year$— — %— %0.00> 1 and ≤ 3 years1,780,103 4.450 %3.896 %1.70> 3 and ≤ 5 years1,009,478 4.450 %3.469 %4