Company: TWO-PC
Filing Date: 2025-07-29
Form Type: 10-Q
Source: 0001465740-25-000140
Chunk: 262

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-07-29
Form: 10-Q
Item: Item 8
Chunk 262
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5.4 %$8,782,612 $233,736 5.3 %Interest-bearing liabilities:Borrowings collateralized by:Available-for-sale securities$7,734,155 $107,110 5.5 %$7,860,547 $219,463 5.6 %Agency Derivatives (2)5,961 91 6.1 %7,177 221 6.2 %Mortgage servicing rights and advances (3)1,887,241 42,421 9.0 %1,888,176 85,313 9.0 %Unsecured borrowings:Convertible senior notes265,930 4,579 6.9 %267,381 9,198 6.9 %Other6 12 Total interest expense/cost of funds$9,893,287 $154,207 6.2 %$10,023,281 $314,207 6.3 %Net interest income/spread$(38,254)(0.8)%$(80,471)(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 (loss) gain on other derivative instruments in the consolidated statements of comprehensive (loss) income.

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

56

The increase in yields on AFS securities for the three and six months ended June 30, 2025, as compared to the same periods in 2024 was driven by net purchases of higher coupon AFS securities with ratably lower unamortized premiums. The decrease in cost of funds associated with the financing of AFS securities for the three and six months ended June 30, 2025, as compared to the same periods in 2024, was due to the lower interest rate environment.

The decrease in yields on reverse repurchase agreements for the three and six months ended June 30, 2025, as compared to the same periods in 2024, was due to the lower interest rate environment.

The decrease in cost of funds associated with the financing of MSR assets and related servicing advance obligations for the three and six months ended June