Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 204

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 8
Chunk 204
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FR):(dollars in thousands)September 30, 2025Swaps MaturitiesNotional AmountWeighted Average Fixed Pay RateWeighted Average Receive RateWeighted Average Maturity (Years)≤ 1 year$3,803,133 4.050 %4.240 %0.52> 1 and ≤ 3 years3,296,266 3.473 %4.240 %2.08> 3 and ≤ 5 years3,108,258 3.576 %4.240 %4.36> 5 and ≤ 7 years2,111,133 3.752 %4.240 %6.31> 7 and ≤ 10 years1,641,239 3.892 %4.240 %9.56> 10 years1,214,318 3.967 %4.240 %17.94Total$15,174,347 3.762 %4.240 %4.82

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

(dollars in thousands)December 31, 2024Swaps 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 $2.4 billion in forward starting interest rate swaps as of December 31, 2024.(2)Weighted averages exclude forward starting interest rate swaps