Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 33

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 33
---
ars 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 $719.8 million in forward starting interest rate swaps as of December 31, 2024.(2)Weighted averages exclude forward starting interest rate swaps. As of December 31, 2024, forward starting interest rate swap receivers had a weighted average fixed receive rate of 4.0% and a weighted average maturity of 2.6 years.

22

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

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 September 30, 2025 or December 31, 2024.Interest 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 freest