Company: TWO-PC
Filing Date: 2025-10-28
Form Type: 10-Q
Source: 0001465740-25-000152
Chunk: 87

Company: TWO HARBORS INVESTMENT CORP.
Filing Date: 2025-10-28
Form: 10-Q
Item: Item 1
Chunk 87
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,378 5.3 %Interest-bearing liabilities:Borrowings collateralized by:Available-for-sale securities$7,954,332 $109,966 5.5 %$7,891,809 $329,429 5.6 %Agency Derivatives (2)5,408 82 6.1 %6,587 303 6.1 %Mortgage servicing rights and advances (3)1,808,411 40,370 8.9 %1,957,477 125,683 8.6 %Mortgage loans held-for-sale497 11 8.9 %166 11 8.8 %Unsecured borrowings:Convertible senior notes259,677 4,495 6.9 %264,813 13,693 6.9 %Other7 19 Total interest expense/cost of funds$10,028,325 $154,931 6.2 %$10,120,852 $469,138 6.2 %Net interest income/spread$(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