TWO Reports Fourth Quarter 2024 Financial Results

Business Wire
30 Jan

Hedged MSR Strategy Drives High-Quality Returns in Dynamic Market

NEW YORK, January 29, 2025--(BUSINESS WIRE)--TWO (Two Harbors Investment Corp., NYSE: TWO), an MSR-focused real estate investment trust (REIT), today announced its financial results for the quarter ended December 31, 2024.

Quarterly Summary

  • Reported book value of $14.47 per common share, and declared a fourth quarter common stock dividend of $0.45 per share, representing a flat quarterly economic return on book value.(1)
  • Incurred Comprehensive Loss of $(1.6) million, or $(0.03) per weighted average basic common share.
  • Settled $2.5 billion in unpaid principal balance (UPB) of MSR through bulk and flow-sale acquisitions and recapture.
  • MSR portfolio had 3-month CPR of 4.93%, weighted average gross coupon rate of 3.46%, and 60+ day delinquency rate of 0.90%.
  • Funded $42.0 million UPB in first lien loans and brokered $32.8 million UPB in second lien loans.

Annual Summary

  • Declared dividends of $1.80 per common share.
  • Generated 2024 total economic return on book value of 7.0%.(1)
  • Settled $9.2 billion in UPB of MSR, or 28,093 loans, through bulk and flow-sale acquisitions and recapture.
  • Launched direct-to-consumer recapture originations platform, funding $64.3 million UPB in first lien loans and brokering $40.2 million UPB in second lien loans.
  • Actively managed capital structure through repurchase of 485,609 shares(2) of preferred stock and $10.0 million principal amount of convertible senior notes due 2026.

"Our 2024 results highlight the benefits of our hedged MSR strategy," said Bill Greenberg, TWO’s President and CEO. "With two-thirds of our capital allocated to low coupon MSR, our portfolio generated stable and positive cashflows, despite large fluctuations in short-term interest rates. Additionally, our ongoing enhancements at RoundPoint uniquely position us to shape our return profile beyond just owning traditional Agency securities."

"Mortgage spread volatility has significantly decreased, enhancing our portfolio’s return outlook," stated Nick Letica, TWO’s Chief Investment Officer. "Mortgage rates are well above 6%, and prepayment rates are expected to remain slow in 2025, providing a strong positive tailwind for MSR. Combined with historically wide nominal current coupon spreads, we believe that our unique hedged MSR-centric strategy will continue to generate attractive levered returns in 2025 and beyond."

________________

(1)

Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by common book value as of the beginning of the period.

(2)

Includes 35,047 Series A, 280,060 Series B and 170,502 Series C preferred shares for the year ended December 31, 2024.

Operating Performance

The following table summarizes the company’s GAAP and non-GAAP earnings measurements and key metrics for the fourth quarter of 2024 and third quarter of 2024:

Operating Performance (unaudited)

(dollars in thousands, except per common share data)

Three Months Ended December 31, 2024

Three Months Ended September 30, 2024

Earnings attributable to common stockholders

Earnings

Per
weighted
average
basic
common
share




Annualized
return on
average
common
equity



Earnings

Per
weighted
average
basic
common
share




Annualized
return on
average
common
equity



Comprehensive (Loss) Income

$

(1,620

)

$

(0.03

)

(0.4

)%

$

19,352

$

0.18

4.9

%

GAAP Net Income (Loss)

$

264,945

$

2.54

70.6

%

$

(250,269

)

$

(2.42

)

(63.1

)%

Earnings Available for Distribution(1)

$

21,181

$

0.20

5.6

%

$

13,186

$

0.13

3.3

%

Operating Metrics

Dividend per common share

$

0.45

$

0.45

Annualized dividend yield(2)

15.2

%

13.0

%

Book value per common share at period end

$

14.47

$

14.93

Economic return on book value(3)

%

1.3

%

Operating expenses, excluding non-cash LTIP amortization and certain operating expenses(4)

$

39,236

$

36,874

Operating expenses, excluding non-cash LTIP amortization and certain operating expenses, as a percentage of average equity(4)

7.4

%

6.7

%

_______________

(1)

Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see page 11 for a definition of EAD and a reconciliation of GAAP to non-GAAP financial information.

(2)

Dividend yield is calculated based on annualizing the dividends declared in the given period, divided by the closing share price as of the end of the period.

(3)

Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by the common book value as of the beginning of the period.

(4)

Excludes non-cash equity compensation expense of $1.6 million for the fourth quarter of 2024 and $1.6 million for the third quarter of 2024 and certain operating expenses of $39 thousand for the fourth quarter of 2024 and $0.1 million for the third quarter of 2024. Certain operating expenses predominantly consists of expenses incurred in connection with the company’s ongoing litigation with PRCM Advisers LLC.

Portfolio Summary

As of December 31, 2024, the company’s portfolio was comprised of $10.4 billion of Agency RMBS, MSR and other investment securities as well as their associated notional debt hedges. Additionally, the company held $4.4 billion bond equivalent value of net long to-be-announced securities (TBAs).

The following tables summarize the company’s investment portfolio as of December 31, 2024 and September 30, 2024:

Investment Portfolio

(dollars in thousands)

Portfolio Composition

As of December 31, 2024

As of September 30, 2024

(unaudited)

(unaudited)

Agency RMBS

$

7,376,965

71.1

%

$

8,514,041

74.7

%

Mortgage servicing rights(1)

2,994,271

28.9

%

2,884,304

25.3

%

Other

3,734

%

3,859

%

Aggregate Portfolio

10,374,970

11,402,204

Net TBA position(2)

4,468,904

5,043,877

Total Portfolio

$

14,843,874

$

16,446,081

________________

(1)

Based on the prior month-end’s principal balance of the loans underlying the company’s MSR, increased for current month purchases.

(2)

Represents bond equivalent value of TBA position. Bond equivalent value is defined as notional amount multiplied by market price. Accounted for as derivative instruments in accordance with GAAP.

Portfolio Metrics Specific to Agency RMBS

As of December 31, 2024

As of September 30, 2024

(unaudited)

(unaudited)

Weighted average cost basis(1)

$

101.17

$

101.39

Weighted average experienced three-month CPR

7.5

%

7.2

%

Gross weighted average coupon rate

5.7

%

5.8

%

Weighted average loan age (months)

36

32

______________

(1)

Weighted average cost basis includes Agency principal and interest RMBS only and utilizes carrying value for weighting purposes.

Portfolio Metrics Specific to MSR(1)

As of December 31, 2024

As of September 30, 2024

(dollars in thousands)

(unaudited)

(unaudited)

Unpaid principal balance

$

200,317,008

$

202,052,184

Gross coupon rate

3.5

%

3.4

%

Current loan size

$

331

$

333

Original FICO(2)

760

760

Original LTV

72

%

71

%

60+ day delinquencies

0.9

%

0.8

%

Net servicing fee

25.3 basis points

25.3 basis points

Three Months Ended
December 31, 2024

Three Months Ended
September 30, 2024

(unaudited)

(unaudited)

Fair value gains (losses)

$

82,520

$

(133,349

)

Servicing income

$

153,686

$

161,608

Servicing costs

$

3,965

$

4,401

Change in servicing reserves

$

610

$

(501

)

________________

(1)

Metrics exclude residential mortgage loans in securitization trusts for which the company is the named servicing administrator. Portfolio metrics, other than UPB, represent averages weighted by UPB.

(2)

FICO represents a mortgage industry accepted credit score of a borrower.

Other Investments and Risk Management Metrics

As of December 31, 2024

As of September 30, 2024

(dollars in thousands)

(unaudited)

(unaudited)

Net long TBA notional(1)

$

4,497,800

$

5,064,000

Futures notional

$

(3,973,400

)

$

(3,693,900

)

Interest rate swaps notional

$

16,594,467

$

14,197,205

________________

(1)

Accounted for as derivative instruments in accordance with GAAP.

Financing Summary

The following tables summarize the company’s financing metrics and outstanding repurchase agreements, revolving credit facilities, warehouse facilities and convertible senior notes as of December 31, 2024 and September 30, 2024:

December 31, 2024

Balance

Weighted
Average
Borrowing Rate

Weighted
Average Months
to Maturity

Number of
Distinct
Counterparties

(dollars in thousands, unaudited)

Repurchase agreements collateralized by securities

$

7,050,057

4.90

%

1.60

18

Repurchase agreements collateralized by MSR

755,000

7.44

%

17.10

3

Total repurchase agreements

7,805,057

5.15

%

3.10

19

Revolving credit facilities collateralized by MSR and related servicing advance obligations

1,020,171

7.56

%

18.84

6

Warehouse facilities collateralized by mortgage loans

2,032

6.64

%

2.86

1

Unsecured convertible senior notes

260,229

6.25

%

12.49

n/a

Total borrowings

$

9,087,489

September 30, 2024

Balance

Weighted
Average
Borrowing Rate

Weighted
Average Months
to Maturity

Number of
Distinct
Counterparties

(dollars in thousands, unaudited)

Repurchase agreements collateralized by securities

$

8,113,400

5.20

%

2.55

18

Repurchase agreements collateralized by MSR

650,000

7.99

%

19.69

1

Total repurchase agreements

8,763,400

5.40

%

3.83

19

Revolving credit facilities collateralized by MSR and related servicing advance obligations

999,171

8.11

%

21.40

3

Warehouse facilities collateralized by mortgage loans

3,017

7.34

%

2.86

1

Unsecured convertible senior notes

259,815

6.25

%

15.52

n/a

Total borrowings

$

10,025,403

Borrowings by Collateral Type

As of December 31, 2024

As of September 30, 2024

(dollars in thousands)

(unaudited)

(unaudited)

Agency RMBS

$

7,049,850

$

8,113,193

Mortgage servicing rights and related servicing advance obligations

1,775,171

1,649,171

Other - secured

2,239

3,224

Other - unsecured(1)

260,229

259,815

Total

9,087,489

10,025,403

TBA cost basis

4,493,055

5,060,417

Net payable (receivable) for unsettled RMBS

269,370

85,366

Total, including TBAs and net payable (receivable) for unsettled RMBS

$

13,849,914

$

15,171,186

Debt-to-equity ratio at period-end(2)

4.3 :1.0

4.6 :1.0

Economic debt-to-equity ratio at period-end(3)

6.5 :1.0

7.0 :1.0

Cost of Financing by Collateral Type(4)

Three Months Ended
December 31, 2024

Three Months Ended
September 30, 2024

(unaudited)

(unaudited)

Agency RMBS

5.14

%

5.53

%

Mortgage servicing rights and related servicing advance obligations(5)

8.34

%

8.93

%

Other - secured

5.80

%

5.61

%

Other - unsecured(1)(5)

6.93

%

6.92

%

Annualized cost of financing

5.79

%

6.17

%

Interest rate swaps(6)

(0.34

)%

(0.46

)%

U.S. Treasury futures(7)

(0.17

)%

(0.14

)%

TBAs(8)

3.67

%

3.56

%

Annualized cost of financing, including swaps, U.S. Treasury futures and TBAs

4.58

%

4.73

%

____________________

(1)

Unsecured convertible senior notes.

(2)

Defined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, divided by total equity.

(3)

Defined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity.

(4)

Excludes any repurchase agreements collateralized by U.S. Treasuries.

(5)

Includes amortization of debt issuance costs.

(6)

The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company’s outstanding borrowings includes interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements and is calculated using average borrowings balance as the denominator.

(7)

The cost of financing on U.S. Treasury futures held to mitigate interest rate risk associated with the company’s outstanding borrowings is calculated using average borrowings balance as the denominator. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.

(8)

The implied financing benefit/cost of dollar roll income on TBAs is calculated using the average cost basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP.

Conference Call

TWO will host a conference call on January 30, 2025 at 9:00 a.m. ET to discuss its fourth quarter 2024 financial results and related information. To participate in the teleconference, please call toll-free (888) 394-8218 approximately 10 minutes prior to the above start time and provide the Conference Code 1186961. The conference call will also be webcast live and accessible online in the News & Events section of the company’s website at www.twoinv.com. For those unable to attend, a replay of the webcast will be available on the company’s website approximately four hours after the live call ends.

About TWO

Two Harbors Investment Corp., or TWO, a Maryland corporation, is a real estate investment trust that invests in mortgage servicing rights, residential mortgage-backed securities, and other financial assets. TWO is headquartered in St. Louis Park, MN.

Forward-Looking Statements

This release includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as "expect," "target," "assume," "estimate," "project," "budget," "forecast," "anticipate," "intend," "plan," "may," "will," "could," "should," "believe," "predicts," "potential," "continue," and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our Annual Report on Form 10-K for the year ended December 31, 2023, and any subsequent Quarterly Reports on Form 10-Q, under the caption "Risk Factors." Factors that could cause actual results to differ include, but are not limited to: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; changes in prepayment rates of mortgages underlying our target assets; the rates of default or decreased recovery on the mortgages underlying our target assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; the availability and cost of financing; changes in the competitive landscape within our industry; our ability to effectively execute and to realize the benefits of strategic transactions and initiatives we have pursued or may in the future pursue; our ability to recognize the benefits of our acquisition of RoundPoint Mortgage Servicing LLC and to manage the risks associated with operating a mortgage loan servicer and originator; our decision to terminate our management agreement with PRCM Advisers LLC and the ongoing litigation related to such termination; our ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our communications and information technology systems; our ability to acquire MSR and to maintain our MSR portfolio; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940.

Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. TWO does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in TWO’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning TWO or matters attributable to TWO or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.

Non-GAAP Financial Measures

In addition to disclosing financial results calculated in accordance with United States generally accepted accounting principles (GAAP), this press release and the accompanying investor presentation present non-GAAP financial measures, such as earnings available for distribution and related per basic common share measures. The non-GAAP financial measures presented by the company provide supplemental information to assist investors in analyzing the company’s results of operations and help facilitate comparisons to industry peers. However, because these measures are not calculated in accordance with GAAP, they should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. The company’s GAAP financial results and the reconciliations from these results should be carefully evaluated. See the GAAP to non-GAAP reconciliation table on page 11 of this release.

Additional Information

Stockholders of TWO and other interested persons may find additional information regarding the company at www.twoinv.com, at the Securities and Exchange Commission’s internet site at www.sec.gov or by directing requests to: TWO, Attn: Investor Relations, 1601 Utica Avenue South, Suite 900, St. Louis Park, MN, 55416, (612) 453-4100.

# # #

...

TWO HARBORS INVESTMENT CORP.

CONSOLIDATED BALANCE SHEETS

(dollars in thousands, except share data)

December 31,
2024

December 31,
2023

(unaudited)

ASSETS

Available-for-sale securities, at fair value (amortized cost $7,697,027 and $8,509,383, respectively; allowance for credit losses $2,866 and $3,943, respectively)

$

7,371,711

$

8,327,149

Mortgage servicing rights, at fair value

2,994,271

3,052,016

Mortgage loans held-for-sale

2,334

332

Cash and cash equivalents

504,613

729,732

Restricted cash

313,028

65,101

Accrued interest receivable

33,331

35,339

Due from counterparties

386,464

323,224

Derivative assets, at fair value

10,114

85,291

Reverse repurchase agreements

355,975

284,091

Other assets

232,478

236,525

Total Assets

$

12,204,319

$

13,138,800

LIABILITIES AND STOCKHOLDERS’ EQUITY

Liabilities:

Repurchase agreements

$

7,805,057

$

8,020,207

Revolving credit facilities

1,020,171

1,329,171

Warehouse facilities

2,032

Term notes payable

295,271

Convertible senior notes

260,229

268,582

Derivative liabilities, at fair value

24,897

21,506

Due to counterparties

648,643

574,735

Dividends payable

58,725

58,731

Accrued interest payable

85,994

141,773

Other liabilities

176,062

225,434

Total Liabilities

10,081,810

10,935,410

Stockholders’ Equity:

Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 24,870,817 and 25,356,426 shares issued and outstanding, respectively ($621,770 and $633,911 liquidation preference, respectively)

601,467

613,213

Common stock, par value $0.01 per share; 175,000,000 shares authorized and 103,680,321 and 103,206,457 shares issued and outstanding, respectively

1,037

1,032

Additional paid-in capital

5,936,609

5,925,424

Accumulated other comprehensive loss

(320,524

)

(176,429

)

Cumulative earnings

1,648,785

1,349,973

Cumulative distributions to stockholders

(5,744,865

)

(5,509,823

)

Total Stockholders’ Equity

2,122,509

2,203,390

Total Liabilities and Stockholders’ Equity

$

12,204,319

$

13,138,800

TWO HARBORS INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

(dollars in thousands, except share data)

Certain prior period amounts have been reclassified to conform to the current period presentation

Three Months Ended

Year Ended

December 31,

December 31,

2024

2023

2024

2023

(unaudited)

(unaudited)

Net interest income (expense):

Interest income

$

103,774

$

122,401

$

450,152

$

480,364

Interest expense

138,668

168,080

607,806

643,225

Net interest expense

(34,894

)

(45,679

)

(157,654

)

(162,861

)

Net servicing income:

Servicing income

167,568

178,609

681,648

685,777

Servicing costs

4,575

12,029

20,069

95,488

Net servicing income

162,993

166,580

661,579

590,289

Other income (loss):

Loss on investment securities

(8,009

)

(82,469

)

(40,038

)

(69,970

)

Gain (loss) on servicing asset

82,520

(172,589

)

(62,674

)

(111,620

)

Gain (loss) on interest rate swap and swaption agreements

199,612

(139,234

)

147,871

(52,946

)

Loss on other derivative instruments

(55,144

)

(143,812

)

(41,017

)

(166,210

)

Gain on mortgage loans held-for-sale

558

1,482

Other income

850

1,199

5,103

Total other income (loss)

220,387

(538,104

)

6,823

(395,643

)

Expenses:

Compensation and benefits

21,800

21,297

89,753

52,865

Other operating expenses

19,085

23,959

76,241

62,313

Total expenses

40,885

45,256

165,994

115,178

Income (loss) before income taxes

307,601

(462,459

)

344,754

(83,393

)

Provision for (benefit from) income taxes

30,872

(29,259

)

46,586

22,978

Net income (loss)

276,729

(433,200

)

298,168

(106,371

)

Dividends on preferred stock

(11,784

)

(12,012

)

(47,136

)

(48,607

)

Gain on repurchase and retirement of preferred stock

519

644

2,973

Net income (loss) attributable to common stockholders

$

264,945

$

(444,693

)

$

251,676

$

(152,005

)

Basic earnings (loss) per weighted average common share

$

2.54

$

(4.56

)

$

2.41

$

(1.60

)

Diluted earnings (loss) per weighted average common share

$

2.37

$

(4.56

)

$

2.37

$

(1.60

)

Dividends declared per common share

$

0.45

$

0.45

$

1.80

$

1.95

Comprehensive income (loss):

Net income (loss)

$

276,729

$

(433,200

)

$

298,168

$

(106,371

)

Other comprehensive (loss) income:

Unrealized (loss) gain on available-for-sale securities

(266,565

)

483,579

(144,095

)

102,282

Other comprehensive (loss) income

(266,565

)

483,579

(144,095

)

102,282

Comprehensive income (loss)

10,164

50,379

154,073

(4,089

)

Dividends on preferred stock

(11,784

)

(12,012

)

(47,136

)

(48,607

)

Gain on repurchase and retirement of preferred stock

519

644

2,973

Comprehensive (loss) income attributable to common stockholders

$

(1,620

)

$

38,886

$

107,581

$

(49,723

)

TWO HARBORS INVESTMENT CORP.

INTEREST INCOME AND INTEREST EXPENSE

(dollars in thousands, except share data)

Three Months Ended

Year Ended

December 31,

December 31,

2024

2023

2024

2023

(unaudited)

(unaudited)

Interest income:

Available-for-sale securities

$

92,644

$

103,250

$

393,527

$

412,310

Mortgage loans held-for-sale

49

2

78

9

Other

11,081

19,149

56,547

68,045

Total interest income

103,774

122,401

450,152

480,364

Interest expense:

Repurchase agreements

112,510

123,693

468,492

474,292

Revolving credit facilities

21,597

33,258

108,623

121,124

Warehouse facilities

55

66

Term notes payable

6,478

12,426

28,994

Convertible senior notes

4,506

4,651

18,199

18,815

Total interest expense

138,668

168,080

607,806

643,225

Net interest expense

$

(34,894

)

$

(45,679

)

$

(157,654

)

$

(162,861

)

TWO HARBORS INVESTMENT CORP.

RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION

(dollars in thousands, except share data)

Certain prior period amounts have been reclassified to conform to the current period presentation

Three Months Ended

December 31,
2024

September 30,
2024

(unaudited)

(unaudited)

Reconciliation of comprehensive (loss) income to Earnings Available for Distribution:

Comprehensive (loss) income attributable to common stockholders

$

(1,620

)

$

19,352

Adjustment for other comprehensive loss (income) attributable to common stockholders:

Unrealized loss (gain) on available-for-sale securities

266,565

(269,621

)

Net income (loss) attributable to common stockholders

$

264,945

$

(250,269

)

Adjustments to exclude reported realized and unrealized (gains) losses:

Realized loss (gain) on securities

7,001

(312

)

Unrealized loss (gain) on securities

725

(795

)

Provision (reversal of provision) for credit losses

283

(276

)

Realized and unrealized (gain) loss on mortgage servicing rights

(82,520

)

133,349

Realized (gain) loss on termination or expiration of interest rate swaps and swaptions

(66,033

)

86,310

Unrealized (gain) loss on interest rate swaps and swaptions

(121,421

)

103,012

Realized and unrealized loss on other derivative instruments

55,241

32,821

Other realized and unrealized gains

(46

)

Other adjustments:

MSR amortization(1)

(80,476

)

(83,619

)

TBA dollar roll income (losses)(2)

4,195

(1,156

)

U.S. Treasury futures income(3)

6,133

5,247

Change in servicing reserves

610

(501

)

Non-cash equity compensation expense

1,610

1,610

Certain operating expenses(4)

39

101

Net provision for (benefit from) income taxes on non-EAD

30,895

(12,336

)

Earnings available for distribution to common stockholders(5)

$

21,181

$

13,186

Weighted average basic common shares

103,656,321

103,635,455

Earnings available for distribution to common stockholders per weighted average basic common share

$

0.20

$

0.13

_____________

(1)

MSR amortization refers to the portion of change in fair value of MSR primarily attributed to the realization of expected cash flows (runoff) of the portfolio, which is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair value.

(2)

TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements.

(3)

U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.

(4)

Certain operating expenses predominantly consists of expenses incurred in connection with the company’s ongoing litigation with PRCM Advisers LLC.

(5)

EAD is a non-GAAP measure that we define as comprehensive (loss) income attributable to common stockholders, excluding realized and unrealized gains and losses on the aggregate investment portfolio, gains and losses on repurchases of preferred stock, provision for (reversal of) credit losses, reserve expense for representation and warranty obligations on MSR, non-cash compensation expense related to restricted common stock and certain operating expenses. As defined, EAD includes net interest income, accrual and settlement of interest on derivatives, dollar roll income on TBAs, U.S. Treasury futures income, servicing income, net of estimated amortization on MSR and certain cash related operating expenses. EAD provides supplemental information to assist investors in analyzing the company’s results of operations and helps facilitate comparisons to industry peers. EAD is one of several measures our board of directors considers to determine the amount of dividends to declare on our common stock and should not be considered an indication of our taxable income or as a proxy for the amount of dividends we may declare.

View source version on businesswire.com: https://www.businesswire.com/news/home/20250129851431/en/

Contacts

Margaret Karr, Head of Investor Relations, TWO, (612) 453-4080, Margaret.Karr@twoinv.com

Disclaimer: Investing carries risk. This is not financial advice. The above content should not be regarded as an offer, recommendation, or solicitation on acquiring or disposing of any financial products, any associated discussions, comments, or posts by author or other users should not be considered as such either. It is solely for general information purpose only, which does not consider your own investment objectives, financial situations or needs. TTM assumes no responsibility or warranty for the accuracy and completeness of the information, investors should do their own research and may seek professional advice before investing.

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