Company: TWO-PC
Filing Date: 2025-02-18
Form Type: 10-K
Source: 0001465740-25-000083
Chunk: 162

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-02-18
Form: 10-K
Item: Item 8
Chunk 162
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 starting interest rate swap payers had a weighted average fixed pay rate of 3.8% and 4.0% and weighted average maturities of 5.5 and 6.4 years, respectively.Additionally, as of December 31, 2024 and December 31, 2023, 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):(notional 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

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

(notional in thousands)December 31, 2023Swaps MaturitiesNotional Amount (1)Weighted Average Pay RateWeighted Average Fixed Receive Rate (2)Weighted Average Maturity (Years) (2)≤ 1 year$— — %— %0.00> 1 and ≤ 3 years2,470,819 5.380 %4.204 %1.36> 3 and ≤ 5 years780,000 5.380 %3.845 %1.36> 5 and ≤ 7 years988,026 5.380 %4.023 %4.03> 7 and ≤ 10 years1,161,160 5.380 %4.013 %9.57> 10 years260