Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 184

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 184
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 yield$8,666,581 $111,382 5.1 %$8,915,868 $117,783 5.3 %Interest-bearing liabilities:Borrowings collateralized by:Available-for-sale securities$7,883,759 $91,134 4.6 %$7,986,939 $112,353 5.6 %Agency Derivatives (2)5,055 62 4.9 %8,393 130 6.2 %Mortgage servicing rights and advances (3)1,843,294 36,008 7.8 %1,889,112 42,892 9.1 %Mortgage loans held-for-sale3,144 55 7.0 %— — — %Unsecured borrowings:Convertible senior notes260,474 4,455 6.8 %268,831 4,619 6.9 %Other— 6 Total interest expense/cost of funds$9,995,726 $131,714 5.3 %$10,153,275 $160,000 6.3 %Net interest expense/spread$(20,332)(0.2)%$(42,217)(1.0)%

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(1)Average asset balance represents average amortized cost on AFS securities and average unpaid principal balance on mortgage loans held-for-sale and reverse repurchase agreements.

(2)Yields on Agency Derivatives not shown as interest income is included in gain on other derivative instruments in the consolidated statements of comprehensive income (loss).

(3)Yields on mortgage servicing rights and advances not shown as these assets do not earn interest.

The increase in yields on AFS securities for the three months ended March 31, 2025, as compared to the same period in December 31, 2024 was driven by net purchases of higher coupon AFS securities with lower unamortized premiums. The decrease in cost of funds associated with the financing of AFS securities for the three months ended March 31, 2025, as compared to the same period in 2024, was due to declining interest rates.

The decrease in yields on reverse repurchase agreements for the three months ended March 31, 2025, as compared to the same period in 2024, was due to declining interest rates. 

The decrease in cost