Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 136

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 2
Chunk 136
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 6.2 %Net interest income/spread$(42,289)(1.1)%$(122,760)(0.9)%

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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 the related interest income is included in gain (loss) 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.

The increase in yields on AFS securities for the three and nine months ended September 30, 2025, as compared to the same periods in 2024, was driven by net sales of lower coupon AFS securities, which was slightly offset by higher premium amortization. The decrease in cost of funds associated with the financing of AFS securities for the three and nine months ended September 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 nine months ended September 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 nine months ended September 30, 2025, as compared to the same periods in 2024, was primarily due to the lower interest rate environment. We have one revolving credit facility in place to finance our servicing advance obligations, which are included in other assets on our consolidated balance sheets.

Late in the second quarter of 2024, RoundPoint began operating its in-house, direct-to-consumer originations platform. Prior to the launch of originations, our mortgage loans held-for-sale consisted of a small number of loans purchased from the collateral underlying our MSR, which were not pledged for any form of financing.

In May 2025, we issued $115.0 million of unsecured senior notes due in 2030, which pay interest quarterly at rate of 9.375% per annum. The cost of funds associated with our senior notes also includes amortization of deferred debt issuance costs.

The cost of funds associated with our convertible senior notes for the three and nine months ended September 30, 2025, as compared to the same periods in 202