Company: TWO-PC
Filing Date: 2025-04-29
Form Type: 10-Q
Source: 0001465740-25-000104
Chunk: 197

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-04-29
Form: 10-Q
Item: Item 8
Chunk 197
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6 billion of AFS securities, MSR, mortgage loans held-for-sale and derivative assets held at fair value; and $10.9 billion of outstanding debt in the form of repurchase agreements, borrowings under revolving credit facilities and warehouse facilities and convertible senior notes. During the three months ended March 31, 2025, the debt-to-equity ratio funding our Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, which includes unsecured borrowings under convertible senior notes, increased from 4.3:1.0 to 5.1:1.0, which was predominantly driven by an increase in financing on Agency RMBS as a result of net purchases, partially offset by a decrease in MSR financing. During the three months ended March 31, 2025, our economic debt-to-equity ratio funding our Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, which includes unsecured borrowings under convertible senior notes, implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, decreased from 6.5:1.0 to 6.2:1.0.

As of March 31, 2025, we held approximately $5.4 million of unpledged Agency RMBS and $3.3 million of unpledged non-Agency securities. As a result, we had an overall estimated unused borrowing capacity on unpledged securities of approximately $6.5 million. As of March 31, 2025, we held approximately $2.6 million of unpledged MSR and $1.8 million of unpledged servicing advances. Overall, on March 31, 2025, we had $170.1 million unused committed and $780.0 million unused uncommitted borrowing capacity on MSR financing facilities, and $46.7 million in unused committed borrowing capacity on servicing advance financing facilities. As of March 31, 2025, we held approximately $0.3 million of unpledged mortgage loans and had $19.1 million unused committed borrowing capacity on our warehouse facilities. Generally, unused borrowing capacity may be the result of our election not to utilize certain financing, as well as delays in the timing in which funding is provided, insufficient collateral or the inability to meet lenders’ eligibility requirements for specific types of asset classes. On a daily basis, we monitor and forecast our available, or excess, liquidity. Additionally, we frequently