Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 32

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 32
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.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 $2.4 billion in forward starting interest rate swaps as of December 31, 2024.(2)Weighted averages exclude forward starting interest rate swaps. As of December 31, 2024, forward starting interest rate swap payers had a weighted average fixed pay rate of 3.8% and a weighted average maturity of 5.5 years.Additionally, as of September 30, 2025 and December 31, 2024, the Company held the following interest rate swaps that were utilized as economic hedges of interest rate exposure (or duration) risk whereby the Company pays interest at a floating interest rate (OIS or SOFR):(dollars in thousands)September 30, 2025Swaps MaturitiesNotional AmountWeighted Average Pay RateWeighted Average Fixed Receive RateWeighted Average Maturity (Years)≤ 1 year$— — %— %0.00> 1 and ≤ 3 years1,923,492 4.240 %3.875 %1.48> 3 and ≤ 5 years3,428,123 4.240 %3.413 %4.79> 5 and ≤ 7 years1,303,911 4.240 %3.525 %6.57> 7 and ≤ 10 years1,698,806 4.240 %3.811 %9.84> 10 years1,353,225 4.240 %3.732 %19.45Total$9,707,557 4.240 %3.634 %7.30(doll