Higher CCM offer and Q1 2026 results for Two Harbors (NYSE: TWO)
Filing Impact
Filing Sentiment
Form Type
8-K
Rhea-AI Filing Summary
Two Harbors Investment Corp. reported first quarter 2026 results and highlighted an amended merger agreement with CrossCountry Mortgage. CCM will now pay $11.30 in cash per TWO common share, increased from $10.80, with closing still expected in the second half of 2026, subject to stockholder and regulatory approvals.
Common shareholders saw book value decline to $10.57 per share and a comprehensive loss of $24.7 million, or $(0.24) per basic common share, driven largely by MSR and securities fair value losses. GAAP net income attributable to common stockholders was $19.5 million, while Earnings Available for Distribution, a non-GAAP measure used to gauge dividend capacity, were $35.8 million, or $0.34 per basic common share, matching the declared quarterly dividend.
The company maintained an MSR-focused portfolio totaling $11.9 billion of Agency RMBS, MSR and related positions including TBAs, and an economic debt-to-equity ratio of 6.4:1. Management noted lower net interest expense from reduced financing costs, but also higher merger-related expenses tied to the CCM transaction and termination of the prior UWM merger agreement. Preferred stockholders are expected to be redeemed for $25.00 per share plus accrued dividends after the merger closes, and the board continues to recommend stockholders vote in favor of the CCM merger.
Positive
- None.
Negative
- None.
Insights
Higher CCM cash bid and solid EAD offset book value pressure.
Two Harbors secured improved merger terms with CrossCountry Mortgage, lifting cash consideration to $11.30 per common share from $10.80. That now stands modestly above the reported quarter-end book value of $10.57 per share, creating a clearer valuation reference for equity holders.
Operationally, the REIT reported a comprehensive loss attributable to common stockholders of $(24.7) million, or $(0.24) per share, as fair value losses on mortgage servicing rights and securities outweighed positive net servicing income. However, non-GAAP Earnings Available for Distribution reached $35.8 million, or $0.34 per share, fully covering the common dividend.
Leverage remained elevated but stable, with economic debt-to-equity at 6.4% expressed as 6.4:1 and an $11.9 billion total portfolio concentrated in Agency RMBS and MSR. The merger structure also contemplates redeeming preferred shares at $25.00 plus unpaid dividends after closing, which clarifies preferred outcomes. Actual value realization will depend on successful completion of the CCM transaction in the second half of 2026 under the disclosed closing conditions.
8-K Event Classification
2 items: 2.02, 9.01
2 items
Item 2.02
Results of Operations and Financial Condition
Financial
Disclosure of earnings results, typically an earnings press release or preliminary financials.
Item 9.01
Financial Statements and Exhibits
Exhibits
Financial statements, pro forma financial information, and exhibit attachments filed with this report.
Key Figures
Increased CCM cash consideration: $11.30 per common share
Prior CCM cash consideration: $10.80 per common share
Book value per common share: $10.57
+5 more
8 metrics
Increased CCM cash consideration
$11.30 per common share
Amended merger agreement with CrossCountry Mortgage
Prior CCM cash consideration
$10.80 per common share
Original CCM merger agreement before amendment
Book value per common share
$10.57
As of March 31, 2026
Comprehensive loss attributable to common
$24.7 million
Three months ended March 31, 2026
GAAP net income attributable to common
$19.5 million
Three months ended March 31, 2026
Earnings Available for Distribution
$35.8 million ($0.34/share)
Non-GAAP measure for Q1 2026
Common stock dividend
$0.34 per share
First quarter 2026 dividend declaration
Economic debt-to-equity
6.4:1.0
As of March 31, 2026, including TBA and unsettled RMBS
Key Terms
Earnings Available for Distribution, mortgage servicing rights, to-be-announced securities, economic debt-to-equity ratio, +2 more
6 terms
Earnings Available for Distribution financial
"Earnings Available for Distribution (1) | | $ | 35,756 | | | $ | 0.34"
Earnings available for distribution are the portion of a company’s profit that remains after paying taxes, meeting legal or contractual reserves, and covering any required debt or operating obligations — essentially the cash the business can legally and practically give to shareholders or unitholders. Investors watch this number because it shows how much income a company can return as dividends or distributions, similar to the money left in a household account after paying bills and savings goals.
mortgage servicing rights financial
"Mortgage servicing rights, at fair value | 2,380,983 | | | 2,421,910"
Mortgage servicing rights are the contractual right to collect mortgage payments, manage escrow accounts, handle customer service and delinquency actions on a pool of home loans, in exchange for a portion of the loan’s payments. They matter to investors because their value behaves like a revenue stream that can rise or fall with interest rates and borrower behavior — similar to owning a toll bridge where income depends on traffic volume and maintenance costs — and thus affect a lender’s earnings and risk profile.
to-be-announced securities financial
"Additionally, the company held $3.0 billion bond equivalent value of net long to-be-announced securities (TBAs)."
economic debt-to-equity ratio financial
"Economic debt-to-equity ratio at period-end (3) | | 6.4 | :1.0"
non-GAAP financial
"this press release and the accompanying investor presentation present non-GAAP financial measures, such as earnings available for distribution"
Non-GAAP refers to financial measures that companies use to show their earnings or performance without including certain expenses or income that are often added back to give a different picture. It matters because it can make a company's results look better or more favorable, but it may also hide important costs, so investors need to look at both GAAP (official rules) and non-GAAP numbers to get a full understanding.
comprehensive (loss) income financial
"CONSOLIDATED STATEMENTS OF COMPREHENSIVE (LOSS) INCOME (dollars in thousands, except per share amounts)"
Earnings Snapshot
Net income attributable to common stockholders: $19.5 million
Q1 2026
Net income attributable to common stockholders
$19.5 million
Comprehensive (loss) income attributable to common
$(24.7) million
Earnings Available for Distribution
$35.8 million ($0.34/share)
Book value per common share
$10.57
Dividend per common share
$0.34
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
Current Report
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
Date of Report: April 28, 2026
(Exact name of registrant as specified in its charter)
(State or other jurisdiction of incorporation or organization) | (Commission File Number) | (I.R.S. Employer Identification No.) | |||||||||
(Address of Principal Executive Offices) | (Zip Code) | ||||||||||
(612 ) 453-4100
Registrant's telephone number, including area code
(Former name or former address, if changed since last report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
Securities Registered Pursuant to Section 12(b) of the Act:
| Title of Each Class: | Trading Symbol(s) | Name of Exchange on Which Registered: | ||||||||||||
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (17 CFR §230.405) or Rule 12b-2 of the Securities Exchange Act of 1934 (17 CFR §240.12b-2).
Emerging Growth Company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
☐
Item 2.02 Results of Operations and Financial Condition.
On April 28, 2026, Two Harbors Investment Corp. (“Two Harbors”) issued a press release announcing its financial results for the fiscal quarter ended March 31, 2026. A copy of the press release and the 2026 First Quarter Earnings Call Presentation are attached hereto as Exhibits 99.1 and 99.2, respectively, and are incorporated herein by reference.
The information in Item 2.02 of this Current Report, including Exhibits 99.1 and 99.2 attached hereto, is furnished pursuant to Item 2.02 of Form 8-K and shall not be deemed to be “filed” for any other purpose, including for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to the liabilities of that Section. The information in Item 2.02 of this Current Report, including Exhibits 99.1 and 99.2, shall not be deemed incorporated by reference into any filing of the registrant under the Securities Act of 1933 or the Exchange Act, whether made before or after the date hereof, regardless of any general incorporation language in such filings (unless the registrant specifically states that the information or exhibit in this Item 2.02 is incorporated by reference).
FORWARD-LOOKING STATEMENTS
This Form 8-K may contain “forward-looking statements,” including certain plans, expectations, goals, projections and statements about the merger (the “CCM Merger”) with CrossCountry Intermediate Holdco, LLC (“CCM”), Two Harbors Investment Corp.’s (“TWO”) and CCM’s plans, objectives, expectations and intentions, the expected timing of completion of the proposed CCM Merger, the ability of the parties to complete the proposed CCM Merger considering the various closing conditions; and other statements that are not historical facts. Such statements are subject to numerous assumptions, risks, and uncertainties. Statements that do not describe historical or current facts, including statements about beliefs and expectations, are forward-looking statements. The forward-looking statements are intended to be subject to the safe harbor provided by Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, and the Private Securities Litigation Reform Act of 1995. All statements, other than statements of historical fact, included in this 8-K that address activities, events or developments that TWO or CCM expects, believes or anticipates will or may occur in the future are forward-looking statements. Words such as “project,” “predict,” “believe,” “expect,” “anticipate,” “potential,” “create,” “estimate,” “plan,” “continue,” “intend,” “could,” “foresee,” “should,” “would,” “may,” “will,” “guidance,” “look,” “outlook,” “goal,” “future,” “assume,” “forecast,” “build,” “focus,” “work,” or the negative of such terms or other variations thereof and words and terms of similar substance used in connection with any discussion of future plans, actions, or events identify forward-looking statements. However, the absence of these words does not mean that the statements are not forward-looking. Projected and estimated numbers are used for illustrative purposes only, are not forecasts and may not reflect actual results. These statements are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict. TWO’s ability to predict results or the actual effect of future events, actions, plans or strategies is inherently uncertain. Although TWO believes the expectations reflected in any forward-looking statements are based on reasonable assumptions, it can give no assurance that their expectations will be attained and therefore, actual outcomes and results may differ materially from what is expressed or forecasted in such forward-looking statements.
There are a number of risks and uncertainties that could cause actual results to differ materially from the forward-looking statements included in this 8-K. These include, among other things: the expected timing and likelihood of completion of the proposed CCM Merger; the occurrence of any event, change or other circumstances that could give rise to the termination of the proposed CCM Merger; the potential failure to receive, on a timely basis or otherwise, the required approvals of the proposed CCM Merger, including stockholder approval by TWO stockholders, and the potential failure to satisfy the other conditions to the consummation of the proposed CCM Merger in a timely manner or at all; risks related to disruption of management’s attention from ongoing business operations due to the proposed CCM Merger; the risk that any announcements relating to the proposed CCM Merger could have adverse effects on the market price of TWO common stock; the risk that the proposed CCM Merger and its announcement could have an adverse effect on the ability of TWO to retain and hire key personnel and the effect on TWO’s operating results and business generally; the outcome of any legal proceedings relating to the proposed CCM Merger, including stockholder litigation in connection with the proposed CCM Merger; the risk that restrictions during the pendency of the proposed CCM Merger may impact TWO’s ability to pursue certain business opportunities or strategic transactions; that TWO may be adversely affected by other economic, business or competitive factors; changes in future loan production; the availability of suitable investment opportunities; changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability and terms of financing; general economic conditions and market conditions; conditions in the market for mortgage-related investments; and legislative and regulatory changes that could adversely affect TWO’s business. All such factors are difficult to predict and are beyond the control of TWO and CCM, including those detailed in TWO’s annual reports on Form 10-K, quarterly reports on Form 10-Q and periodic reports on Form 8-K that are available on TWO’s website at www.twoinv.com/investors and on the Securities and Exchange Commission’s (the “SEC”) website at www.sec.gov.
Each of the forward-looking statements of TWO are based on assumptions that TWO believes to be reasonable but that may not prove to be accurate. Any forward-looking statement speaks only as of the date on which such statement is made, and TWO does not undertake any obligation to correct or update any forward-looking statement, whether as a result of new information,
future events or otherwise, except as required by applicable law. Readers are cautioned not to place undue reliance on these forward-looking statements that speak only as of the date hereof.
IMPORTANT ADDITIONAL INFORMATION AND WHERE TO FIND IT
In connection with the proposed CCM Merger, TWO filed with the SEC a definitive proxy statement (the “Proxy Statement”) on April 20, 2026. TWO commenced mailing of the Proxy Statement on or about April 20, 2026. The proposed CCM Merger will be submitted to the TWO stockholders for their approval. TWO may also file other documents with the SEC regarding the proposed Merger. The Proxy Statement contains important information about the proposed CCM Merger and related matters. This 8-K is not a substitute for the Proxy Statement or any other documents that TWO may file with the SEC or send to TWO stockholders in connection with the proposed CCM Merger. INVESTORS AND SECURITYHOLDERS OF TWO ARE ADVISED TO READ THE PROXY STATEMENT REGARDING THE PROPOSED CCM MERGER (INCLUDING ALL OTHER RELEVANT DOCUMENTS THAT ARE FILED OR WILL BE FILED WITH THE SEC, AS WELL AS ANY AMENDMENTS OR SUPPLEMENTS TO THESE DOCUMENTS) CAREFULLY AND IN THEIR ENTIRETY BECAUSE THEY WILL CONTAIN IMPORTANT INFORMATION ABOUT THE PROPOSED CCM MERGER AND RELATED MATTERS. Investors and securityholders may obtain a free copy of the Proxy Statement and all other documents filed or that will be filed with the SEC by TWO on the SEC’s website at www.sec.gov. Copies of documents filed with the SEC by TWO will be made available free of charge on TWO’s website at www.twoinv.com/investors or by directing a request to: Two Harbors Investment Corp., 1601 Utica Avenue South, Suite 900, St. Louis Park, MN 55416, Attention: Investor Relations.
PARTICIPANTS IN THE SOLICITATION
TWO and its directors, executive officers and certain other members of management and employees of TWO may be deemed to be “participants” in the solicitation of proxies from the TWO stockholders in connection with the proposed CCM Merger. Securityholders can find information about TWO and its directors and executive officers and their ownership of TWO common stock in the Proxy Statement. Please also refer to the sections in TWO’s Form 10K/A filed with the SEC on April 27, 2026 captioned "Compensation and Analysis," "Summary Compensation Table" and "Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters." Any changes in the holdings of TWO’s securities by its directors or executive officers from the amounts described in the Form 10K/A have been reflected in Statements of Change in Ownership on Form 4 filed with the SEC subsequent to the filing date of the Proxy Statement and are available on the SEC’s website at www.sec.gov. Additional information regarding the interests of such individuals in the proposed CCM Merger is included in the Proxy Statement relating to the proposed CCM Merger. Free copies of these documents may be obtained as described in the preceding paragraph.
| Item 9.01 | Financial Statements and Exhibits. | ||||
(d) Exhibits.
| Exhibit No. | Description | |||||||
| 99.1 | Press Release of Two Harbors Investment Corp., dated April 28, 2026. | |||||||
| 99.2 | 2026 First Quarter Earnings Call Presentation. | |||||||
| 104 | Cover Page Interactive Data File, formatted in Inline XBRL. | |||||||
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
| TWO HARBORS INVESTMENT CORP. | ||||||||
| By: | /s/ REBECCA B. SANDBERG | |||||||
| Rebecca B. Sandberg | ||||||||
| Chief Legal Officer and Secretary | ||||||||
| Date: April 28, 2026 | ||||||||
TWO Reports First Quarter 2026 Financial Results
Executed New Definitive Merger Agreement with CrossCountry Mortgage, LLC
NEW YORK, April 28, 2026 - TWO (Two Harbors Investment Corp., NYSE: TWO), an MSR-focused real estate investment trust (REIT), today announced its financial results for the quarter ended March 31, 2026.
Quarterly Summary
•Entered into a definitive merger agreement with CrossCountry Mortgage, LLC (“CrossCountry” or “CCM”), pursuant to which CCM will acquire all of the outstanding shares of TWO common stock.
◦In connection with entering into the merger agreement with CCM, TWO terminated its previously announced merger agreement, dated December 17, 2025, with UWM Holdings Corporation (NYSE: UWMC).
◦On April 28, 2026, announced the signing of an amendment to the previously announced merger agreement, whereby CCM will increase the per-share cash consideration payable to TWO stockholders to $11.30 per share, an increase from $10.80 per share under the original merger agreement.
◦Holders of TWO’s Series A, Series B and Series C Preferred Stock will have their shares redeemed following the closing of the transaction at $25.00 per share, plus any accumulated and unpaid dividends, in accordance with the terms of the preferred stock.
◦Prior to the closing of the merger, TWO intends to pay regular quarterly dividends in the ordinary course consistent with past practice for all completed quarterly periods. TWO does not intend to pay a partial dividend for the quarter in which the closing occurs in the event the closing does not occur as of quarter-end.
◦The transaction is still expected to close in the second half of 2026, subject to approval of TWO’s stockholders and the satisfaction of other closing conditions, including customary regulatory approvals.
•Reported book value of $10.57 per common share, and declared a first quarter common stock dividend of $0.34 per share, representing a (2.0)% quarterly economic return on book value.(1)
•Generated comprehensive loss of $(24.7) million, or $(0.24) per weighted average basic common share.
•Convertible senior notes of $261.9 million in UPB were repaid in full on their January 15, 2026 maturity date
•Added $151.8 million in unpaid principal balance (UPB) of MSR through flow-sale acquisitions and recapture.
•As of March 31, 2026, MSR portfolio had a weighted average gross coupon rate of 3.54% and a 60+ day delinquency rate of 0.81%, and had experienced a 3-month CPR of 5.6%.
•Funded $92.3 million UPB in loans and brokered an additional $38.2 million UPB in second lien loans.
“In the first quarter, we executed a new merger agreement with CCM, and in connection with entering into this agreement, we terminated the prior merger agreement with UWM,” said Bill Greenberg, TWO’s President and Chief Executive Officer. “This combination pairs the country’s leading retail originator with RoundPoint’s best-in-class servicing platform, creating a fully integrated mortgage company. I am confident that this is the best outcome for our shareholders, and our Board unanimously recommends that shareholders vote in favor of the merger.”
________________
(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.
- 1 -
“The outbreak of the conflict in the Middle East caused an abrupt change in sentiment in the first quarter, leading to an increase in rates, rate volatility, hedging costs and a widening of spreads,” stated Nick Letica, TWO’s Chief Investment Officer. “However, mortgage spreads outperformed the increase in volatility, due to the January directive from the Administration for the GSEs to purchase $200 billion of MBS, which added to the already positive supply/demand technicals. The situation in the Middle East continues to be highly fluid, with a broad range of outcomes, which will drive the near-term outlook of risk assets. The widening of spreads by quarter-end improved the return potential of our portfolio.”
Operating Performance
The following table summarizes the company’s GAAP and non-GAAP earnings measurements and key metrics for the first quarter of 2026 and fourth quarter of 2025:
| Operating Performance (unaudited) | ||||||||||||||||||||||||||||||||||||||
| (dollars in thousands, except per common share data) | ||||||||||||||||||||||||||||||||||||||
| Three Months Ended March 31, 2026 | Three Months Ended December 31, 2025 | |||||||||||||||||||||||||||||||||||||
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 | $ | (24,714) | $ | (0.24) | (8.4) | % | $ | 50,429 | $ | 0.48 | 17.2 | % | ||||||||||||||||||||||||||
| GAAP Net Income (Loss) | $ | 19,477 | $ | 0.18 | 6.6 | % | $ | (1,325) | $ | (0.02) | (0.5) | % | ||||||||||||||||||||||||||
Earnings Available for Distribution(1) | $ | 35,756 | $ | 0.34 | 12.2 | % | $ | 27,435 | $ | 0.26 | 9.4 | % | ||||||||||||||||||||||||||
Operating Metrics | ||||||||||||||||||||||||||||||||||||||
| Dividend per common share | $ | 0.34 | $ | 0.34 | ||||||||||||||||||||||||||||||||||
Annualized dividend yield(2) | 11.9 | % | 13.0 | % | ||||||||||||||||||||||||||||||||||
| Book value per common share at period end | $ | 10.57 | $ | 11.13 | ||||||||||||||||||||||||||||||||||
Economic return on book value(3) | (2.0) | % | 3.9 | % | ||||||||||||||||||||||||||||||||||
Operating expenses, excluding non-cash LTIP amortization and merger-related costs(4) | $ | 39,391 | $ | 43,699 | ||||||||||||||||||||||||||||||||||
Operating expenses, excluding non-cash LTIP amortization and merger-related costs, as a percentage of average equity(4) | 8.8 | % | 9.7 | % | ||||||||||||||||||||||||||||||||||
_______________
(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 $4.4 million for the first quarter of 2026 and $3.4 million for the fourth quarter of 2025 and merger-related costs of $5.6 million for the first quarter of 2026 and $4.2 million for the fourth quarter of 2025. Merger-related costs consist of expenses incurred in connection with the company’s proposed merger with CCM, as well as its terminated merger with UWM Holdings Corporation.
- 2 -
Portfolio Summary
As of March 31, 2026, the company’s portfolio was comprised of $8.9 billion of Agency RMBS, MSR and other investment securities as well as their associated notional debt hedges. Additionally, the company held $3.0 billion bond equivalent value of net long to-be-announced securities (TBAs).
The following tables summarize the company’s investment portfolio as of March 31, 2026 and December 31, 2025:
Investment Portfolio Composition | As of March 31, 2026 | As of December 31, 2025 | ||||||||||||||||||||||||
(dollars in thousands) | (unaudited) | (unaudited) | ||||||||||||||||||||||||
| Agency RMBS | $ | 6,568,185 | 73.4 | % | $ | 6,579,141 | 73.1 | % | ||||||||||||||||||
Mortgage servicing rights(1) | 2,380,983 | 26.6 | % | 2,421,910 | 26.9 | % | ||||||||||||||||||||
| Other | 3,149 | — | % | 3,259 | — | % | ||||||||||||||||||||
| Aggregate Portfolio | 8,952,317 | 9,004,310 | ||||||||||||||||||||||||
Net TBA position(2) | 2,976,531 | 4,199,576 | ||||||||||||||||||||||||
| Total Portfolio | $ | 11,928,848 | $ | 13,203,886 | ||||||||||||||||||||||
________________
(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 March 31, 2026 | As of December 31, 2025 | ||||||||||||
(unaudited) | (unaudited) | |||||||||||||
Weighted average cost basis(1) | $ | 101.72 | $ | 101.61 | ||||||||||
| Weighted average experienced three-month CPR | 8.6 | % | 7.9 | % | ||||||||||
| Gross weighted average coupon rate | 6.2 | % | 6.1 | % | ||||||||||
| Weighted average loan age (months) | 24 | 26 | ||||||||||||
______________
(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 March 31, 2026 | As of December 31, 2025 | ||||||||||||
(dollars in thousands) | (unaudited) | (unaudited) | ||||||||||||
| Unpaid principal balance | $ | 158,871,352 | $ | 162,450,487 | ||||||||||
| Gross coupon rate | 3.5 | % | 3.6 | % | ||||||||||
| Current loan size | $ | 321 | $ | 324 | ||||||||||
Original FICO(2) | 760 | 760 | ||||||||||||
| Original LTV | 73 | % | 73 | % | ||||||||||
| 60+ day delinquencies | 0.8 | % | 0.9 | % | ||||||||||
| Net servicing fee | 25.3 basis points | 25.3 basis points | ||||||||||||
| Three Months Ended March 31, 2026 | Three Months Ended December 31, 2025 | |||||||||||||
| (unaudited) | (unaudited) | |||||||||||||
| Fair value losses | $ | (44,009) | $ | (65,213) | ||||||||||
| Servicing income | $ | 119,364 | $ | 133,160 | ||||||||||
| Servicing costs | $ | 1,807 | $ | 3,705 | ||||||||||
| Change in servicing reserves | $ | 41 | $ | (322) | ||||||||||
________________
(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.
- 3 -
| As of March 31, 2026 | As of December 31, 2025 | |||||||||||||||||||||||||
Serviced Mortgage Assets | Number of Loans | Unpaid Principal Balance | Number of Loans | Unpaid Principal Balance | ||||||||||||||||||||||
(dollars in thousands) | (unaudited) | (unaudited) | ||||||||||||||||||||||||
| Mortgage servicing rights | 665,942 | $ | 158,871,352 | 675,215 | $ | 162,450,487 | ||||||||||||||||||||
Subservicing(1) | 179,899 | 40,051,658 | 178,356 | 40,492,124 | ||||||||||||||||||||||
Servicing administrator(2) | 505 | 265,953 | 514 | 272,820 | ||||||||||||||||||||||
Mortgage loans held-for-sale(3) | 70 | 18,391 | 38 | 13,336 | ||||||||||||||||||||||
| Total serviced mortgage assets | 846,416 | $ | 199,207,354 | 854,123 | $ | 203,228,767 | ||||||||||||||||||||
________________
(1)Off-balance sheet mortgage loans owned by third parties and subserviced by the company.
(2)Off-balance sheet mortgage loans owned by third parties for which the company acts as servicing administrator (subserviced by appropriately licensed third-party subservicers).
(3)Originated or purchased mortgage loans held-for-sale at period-end.
Other Investments and Risk Management Metrics | As of March 31, 2026 | As of December 31, 2025 | ||||||||||||
(dollars in thousands) | (unaudited) | (unaudited) | ||||||||||||
Net long TBA notional(1) | $ | 3,019,003 | $ | 4,206,715 | ||||||||||
Futures notional | $ | (6,354,300) | $ | (4,357,800) | ||||||||||
Interest rate swaps notional | $ | 11,435,749 | $ | 12,579,986 | ||||||||||
________________
(1)Accounted for as derivative instruments in accordance with GAAP.
Financing Summary
The following tables summarize the company’s secured and unsecured financing arrangements and related metrics as of March 31, 2026 and December 31, 2025:
| March 31, 2026 | Balance | Weighted Average Borrowing Rate | Weighted Average Months to Maturity | Number of Distinct Counterparties | ||||||||||||||||||||||
| (dollars in thousands, unaudited) | ||||||||||||||||||||||||||
| Repurchase agreements collateralized by securities | $ | 6,665,054 | 3.85 | % | 2.32 | 16 | ||||||||||||||||||||
| Repurchase agreements collateralized by MSR | 575,000 | 6.71 | % | 7.05 | 3 | |||||||||||||||||||||
| Repurchase agreements collateralized by mortgage loans | 5,233 | 5.68 | % | 2.75 | 1 | |||||||||||||||||||||
| Total repurchase agreements | 7,245,287 | 4.07 | % | 2.69 | 18 | |||||||||||||||||||||
Revolving credit facilities collateralized by MSR and related servicing advance obligations | 916,871 | 6.68 | % | 18.41 | 3 | |||||||||||||||||||||
Warehouse lines of credit collateralized by mortgage loans | 12,694 | 5.67 | % | 2.83 | 1 | |||||||||||||||||||||
| Unsecured senior notes | 111,200 | 9.38 | % | 52.54 | n/a | |||||||||||||||||||||
| Total borrowings | $ | 8,286,052 | ||||||||||||||||||||||||
| December 31, 2025 | Balance | Weighted Average Borrowing Rate | Weighted Average Months to Maturity | Number of Distinct Counterparties | ||||||||||||||||||||||
| (dollars in thousands, unaudited) | ||||||||||||||||||||||||||
| Repurchase agreements collateralized by securities | $ | 6,601,446 | 4.13 | % | 1.78 | 16 | ||||||||||||||||||||
| Repurchase agreements collateralized by MSR | 650,000 | 6.76 | % | 6.34 | 3 | |||||||||||||||||||||
| Repurchase agreements collateralized by mortgage loans | 4,094 | 5.88 | % | 2.72 | 1 | |||||||||||||||||||||
| Total repurchase agreements | 7,255,540 | 4.36 | % | 2.19 | 18 | |||||||||||||||||||||
Revolving credit facilities collateralized by MSR and related servicing advance obligations | 919,371 | 6.77 | % | 21.30 | 3 | |||||||||||||||||||||
Warehouse lines of credit collateralized by mortgage loans | 9,406 | 6.00 | % | 2.63 | 1 | |||||||||||||||||||||
| Unsecured senior notes | 111,055 | 9.38 | % | 55.50 | n/a | |||||||||||||||||||||
| Unsecured convertible senior notes | 261,810 | 6.25 | % | 0.49 | n/a | |||||||||||||||||||||
| Total borrowings | $ | 8,557,182 | ||||||||||||||||||||||||
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| Borrowings by Collateral Type | As of March 31, 2026 | As of December 31, 2025 | ||||||||||||
| (dollars in thousands) | (unaudited) | (unaudited) | ||||||||||||
| Agency RMBS | $ | 6,665,054 | $ | 6,601,446 | ||||||||||
| Mortgage servicing rights and related servicing advance obligations | 1,491,871 | 1,569,371 | ||||||||||||
| Other - secured | 17,927 | 13,500 | ||||||||||||
Other - unsecured(1) | 111,200 | 372,865 | ||||||||||||
| Total | 8,286,052 | 8,557,182 | ||||||||||||
| TBA cost basis | 2,981,694 | 4,185,465 | ||||||||||||
| Net payable (receivable) for unsettled RMBS | (230,695) | (177,891) | ||||||||||||
| Total, including TBAs and net payable (receivable) for unsettled RMBS | $ | 11,037,051 | $ | 12,564,756 | ||||||||||
Debt-to-equity ratio at period-end(2) | 4.8 | :1.0 | 4.8 | :1.0 | ||||||||||
Economic debt-to-equity ratio at period-end(3) | 6.4 | :1.0 | 7.0 | :1.0 | ||||||||||
Cost of Financing by Collateral Type(4) | Three Months Ended March 31, 2026 | Three Months Ended December 31, 2025 | ||||||||||||
| (unaudited) | (unaudited) | |||||||||||||
| Agency RMBS | 3.98 | % | 4.27 | % | ||||||||||
Mortgage servicing rights and related servicing advance obligations(5) | 7.13 | % | 7.63 | % | ||||||||||
| Other - secured | 6.18 | % | 6.60 | % | ||||||||||
Other - unsecured(1)(5) | 9.35 | % | 7.96 | % | ||||||||||
| Annualized cost of financing | 4.68 | % | 5.04 | % | ||||||||||
Interest rate swaps(6) | (0.06) | % | (0.13) | % | ||||||||||
U.S. Treasury futures(7) | (0.11) | % | (0.14) | % | ||||||||||
TBAs(8) | 3.72 | % | 4.00 | % | ||||||||||
Total annualized cost of financing(8) | 4.20 | % | 4.41 | % | ||||||||||
____________________
(1)Unsecured borrowings under senior notes and, prior to their January 15, 2026 maturity date, 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.
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Conference Call
TWO will host a conference call on April 29, 2026 at 9:00 a.m. ET to discuss its first quarter 2026 financial results and related information. To participate in the teleconference, please call toll-free (800) 330-6710 approximately 10 minutes prior to the above start time and provide the Conference Code 1691055. 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 press release may contain “forward-looking statements,” including certain plans, expectations, goals, projections and statements about the merger (the “CCM Merger”) with CrossCountry Intermediate Holdco, LLC (“CCM”), Two Harbors Investment Corp.’s (“TWO”) and CCM’s plans, objectives, expectations and intentions, the expected timing of completion of the proposed CCM Merger, the ability of the parties to complete the proposed CCM Merger considering the various closing conditions; and other statements that are not historical facts. Such statements are subject to numerous assumptions, risks, and uncertainties. Statements that do not describe historical or current facts, including statements about beliefs and expectations, are forward-looking statements. The forward-looking statements are intended to be subject to the safe harbor provided by Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended, and the Private Securities Litigation Reform Act of 1995. All statements, other than statements of historical fact, included in this press release that address activities, events or developments that TWO or CCM expects, believes or anticipates will or may occur in the future are forward-looking statements. Words such as “project,” “predict,” “believe,” “expect,” “anticipate,” “potential,” “create,” “estimate,” “plan,” “continue,” “intend,” “could,” “foresee,” “should,” “would,” “may,” “will,” “guidance,” “look,” “outlook,” “goal,” “future,” “assume,” “forecast,” “build,” “focus,” “work,” or the negative of such terms or other variations thereof and words and terms of similar substance used in connection with any discussion of future plans, actions, or events identify forward-looking statements. However, the absence of these words does not mean that the statements are not forward-looking. Projected and estimated numbers are used for illustrative purposes only, are not forecasts and may not reflect actual results. These statements are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict. TWO’s ability to predict results or the actual effect of future events, actions, plans or strategies is inherently uncertain. Although TWO believes the expectations reflected in any forward-looking statements are based on reasonable assumptions, it can give no assurance that their expectations will be attained and therefore, actual outcomes and results may differ materially from what is expressed or forecasted in such forward-looking statements.
There are a number of risks and uncertainties that could cause actual results to differ materially from the forward-looking statements included in this press release. These include, among other things: the expected timing and likelihood of completion of the proposed CCM Merger; the occurrence of any event, change or other circumstances that could give rise to the termination of the proposed CCM Merger; the potential failure to receive, on a timely basis or otherwise, the required approvals of the proposed CCM Merger, including stockholder approval by TWO stockholders, and the potential failure to satisfy the other conditions to the consummation of the proposed CCM Merger in a timely manner or at all; risks related to disruption of management’s attention from ongoing business operations due to the proposed CCM Merger; the risk that any announcements relating to the proposed CCM Merger could have adverse effects on the market price of TWO common stock; the risk that the proposed CCM Merger and its announcement could have an adverse effect on the ability of TWO to retain and hire key personnel and the effect on TWO’s operating results and business generally; the outcome of any legal proceedings relating to the proposed CCM Merger, including stockholder litigation in connection with the proposed CCM Merger; the risk that restrictions during the pendency of the proposed CCM Merger may impact TWO’s ability to pursue certain business opportunities or strategic transactions; that TWO may be adversely affected by other economic, business or competitive factors; changes in future loan production; the availability of suitable investment opportunities; changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability and terms of financing; general economic conditions and market conditions; conditions in the market for mortgage-related investments; and legislative and regulatory changes that could adversely affect TWO’s business. All such factors are difficult to predict and are beyond
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the control of TWO and CCM, including those detailed in TWO’s annual reports on Form 10-K, quarterly reports on Form 10-Q and periodic reports on Form 8-K that are available on TWO’s website at www.twoinv.com/investors and on the Securities and Exchange Commission’s (the “SEC”) website at www.sec.gov.
Each of the forward-looking statements of TWO are based on assumptions that TWO believes to be reasonable but that may not prove to be accurate. Any forward-looking statement speaks only as of the date on which such statement is made, and TWO does not undertake any obligation to correct or update any forward-looking statement, whether as a result of new information, future events or otherwise, except as required by applicable law. Readers are cautioned not to place undue reliance on these forward-looking statements that speak only as of the date hereof.
IMPORTANT ADDITIONAL INFORMATION AND WHERE TO FIND IT
In connection with the proposed CCM Merger, TWO filed with the SEC a definitive proxy statement (the “Proxy Statement”) on April 20, 2026. TWO commenced mailing of the Proxy Statement on or about April 20, 2026. The proposed CCM Merger will be submitted to the TWO stockholders for their approval. TWO may also file other documents with the SEC regarding the proposed Merger. The Proxy Statement contains important information about the proposed CCM Merger and related matters. This press release is not a substitute for the Proxy Statement or any other documents that TWO may file with the SEC or send to TWO stockholders in connection with the proposed CCM Merger. INVESTORS AND SECURITYHOLDERS OF TWO ARE ADVISED TO READ THE PROXY STATEMENT REGARDING THE PROPOSED CCM MERGER (INCLUDING ALL OTHER RELEVANT DOCUMENTS THAT ARE FILED OR WILL BE FILED WITH THE SEC, AS WELL AS ANY AMENDMENTS OR SUPPLEMENTS TO THESE DOCUMENTS) CAREFULLY AND IN THEIR ENTIRETY BECAUSE THEY WILL CONTAIN IMPORTANT INFORMATION ABOUT THE PROPOSED CCM MERGER AND RELATED MATTERS. Investors and securityholders may obtain a free copy of the Proxy Statement and all other documents filed or that will be filed with the SEC by TWO on the SEC’s website at www.sec.gov. Copies of documents filed with the SEC by TWO will be made available free of charge on TWO’s website at www.twoinv.com/investors or by directing a request to: Two Harbors Investment Corp., 1601 Utica Avenue South, Suite 900, St. Louis Park, MN 55416, Attention: Investor Relations.
PARTICIPANTS IN THE SOLICITATION
TWO and its directors, executive officers and certain other members of management and employees of TWO may be deemed to be “participants” in the solicitation of proxies from the TWO stockholders in connection with the proposed CCM Merger. Securityholders can find information about TWO and its directors and executive officers and their ownership of TWO common stock in the Proxy Statement. Please also refer to the sections in TWO’s Form 10K/A filed with the SEC on April 27, 2026 captioned "Compensation and Analysis," "Summary Compensation Table" and "Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters." Any changes in the holdings of TWO’s securities by its directors or executive officers from the amounts described in the Form 10K/A have been reflected in Statements of Change in Ownership on Form 4 filed with the SEC subsequent to the filing date of the Proxy Statement and are available on the SEC’s website at www.sec.gov. Additional information regarding the interests of such individuals in the proposed CCM Merger is included in the Proxy Statement relating to the proposed CCM Merger. Free copies of these documents may be obtained as described in the preceding paragraph.
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.
Contact
Margaret Karr, Head of Investor Relations, TWO, (612)-453-4080, Margaret.Karr@twoinv.com
# # #
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| TWO HARBORS INVESTMENT CORP. | |||||||||||
CONSOLIDATED BALANCE SHEETS | |||||||||||
| (dollars in thousands, except share data) | |||||||||||
| March 31, 2026 | December 31, 2025 | ||||||||||
| (unaudited) | |||||||||||
| ASSETS | |||||||||||
Available-for-sale securities, at fair value (amortized cost $6,553,143 and $6,516,016, respectively; allowance for credit losses $1,551 and $1,609, respectively) | $ | 6,507,381 | $ | 6,514,471 | |||||||
| Mortgage servicing rights, at fair value | 2,380,983 | 2,421,910 | |||||||||
Mortgage loans held-for-sale, at fair value | 18,536 | 13,630 | |||||||||
| Cash and cash equivalents | 476,307 | 842,319 | |||||||||
| Restricted cash | 283,842 | 219,633 | |||||||||
| Accrued interest receivable | 29,917 | 29,229 | |||||||||
| Due from counterparties | 432,152 | 379,259 | |||||||||
| Derivative assets, at fair value | 71,213 | 87,549 | |||||||||
| Reverse repurchase agreements | 170,855 | 157,120 | |||||||||
| Other assets | 162,550 | 194,097 | |||||||||
| Total Assets | $ | 10,533,736 | $ | 10,859,217 | |||||||
| LIABILITIES AND STOCKHOLDERS’ EQUITY | |||||||||||
| Liabilities: | |||||||||||
| Repurchase agreements | $ | 7,245,287 | $ | 7,255,540 | |||||||
| Revolving credit facilities | 916,871 | 919,371 | |||||||||
| Warehouse lines of credit | 12,694 | 9,406 | |||||||||
| Senior notes | 111,200 | 111,055 | |||||||||
| Convertible senior notes | — | 261,810 | |||||||||
| Derivative liabilities, at fair value | 11,254 | 4,254 | |||||||||
| Due to counterparties | 247,469 | 215,814 | |||||||||
| Dividends payable | 48,904 | 48,932 | |||||||||
| Accrued interest payable | 44,520 | 81,914 | |||||||||
| Other liabilities | 163,958 | 163,194 | |||||||||
| Total Liabilities | 8,802,157 | 9,071,290 | |||||||||
| Stockholders’ Equity: | |||||||||||
Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 24,870,817 shares issued and outstanding ($621,770 liquidation preference) | 601,467 | 601,467 | |||||||||
Common stock, par value $0.01 per share; 175,000,000 shares authorized and 105,044,253 and 104,806,311 shares issued and outstanding, respectively | 1,050 | 1,048 | |||||||||
| Additional paid-in capital | 5,952,939 | 5,948,478 | |||||||||
| Accumulated other comprehensive loss | (44,278) | (87) | |||||||||
| Cumulative earnings | 1,226,769 | 1,194,485 | |||||||||
| Cumulative distributions to stockholders | (6,006,368) | (5,957,464) | |||||||||
| Total Stockholders’ Equity | 1,731,579 | 1,787,927 | |||||||||
| Total Liabilities and Stockholders’ Equity | $ | 10,533,736 | $ | 10,859,217 | |||||||
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| TWO HARBORS INVESTMENT CORP. | |||||||||||
CONSOLIDATED STATEMENTS OF COMPREHENSIVE (LOSS) INCOME | |||||||||||
(dollars in thousands, except per share amounts) | |||||||||||
| Certain prior period amounts have been reclassified to conform to the current period presentation | |||||||||||
| Three Months Ended | |||||||||||
| March 31, | |||||||||||
| 2026 | 2025 | ||||||||||
| (unaudited) | |||||||||||
Net interest expense: | |||||||||||
| Interest income | $ | 88,650 | $ | 111,382 | |||||||
| Interest expense | 95,161 | 131,714 | |||||||||
| Net interest expense | (6,511) | (20,332) | |||||||||
| Net servicing income: | |||||||||||
| Servicing income | 130,143 | 156,859 | |||||||||
| Servicing costs | 1,848 | 3,197 | |||||||||
| Net servicing income | 128,295 | 153,662 | |||||||||
| Other income (loss): | |||||||||||
| Loss on investment securities | (10,986) | (32,729) | |||||||||
| Loss on servicing asset | (44,009) | (36,221) | |||||||||
| Gain (loss) on derivative instruments | 15,641 | (97,340) | |||||||||
| Gain on mortgage loans held-for-sale | 2,052 | 669 | |||||||||
| Other income | 1,317 | 761 | |||||||||
| Total other loss | (35,985) | (164,860) | |||||||||
| Expenses: | |||||||||||
| Compensation and benefits | 26,698 | 26,589 | |||||||||
| Other operating expenses | 22,749 | 20,505 | |||||||||
| Total expenses | 49,447 | 47,094 | |||||||||
| Income (loss) before income taxes | 36,352 | (78,624) | |||||||||
| Provision for income taxes | 4,068 | 431 | |||||||||
| Net income (loss) | 32,284 | (79,055) | |||||||||
| Dividends on preferred stock | (12,807) | (13,186) | |||||||||
| Net income (loss) attributable to common stockholders | $ | 19,477 | $ | (92,241) | |||||||
| Basic earnings (loss) per weighted average common share | $ | 0.18 | $ | (0.89) | |||||||
| Diluted earnings (loss) per weighted average common share | $ | 0.18 | $ | (0.89) | |||||||
| Comprehensive (loss) income: | |||||||||||
| Net income (loss) | $ | 32,284 | $ | (79,055) | |||||||
| Other comprehensive (loss) income: | |||||||||||
| Unrealized (loss) gain on available-for-sale securities | (44,191) | 157,172 | |||||||||
| Other comprehensive (loss) income | (44,191) | 157,172 | |||||||||
| Comprehensive (loss) income | (11,907) | 78,117 | |||||||||
| Dividends on preferred stock | (12,807) | (13,186) | |||||||||
Comprehensive (loss) income attributable to common stockholders | $ | (24,714) | $ | 64,931 | |||||||
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| TWO HARBORS INVESTMENT CORP. | |||||||||||
| INTEREST INCOME AND INTEREST EXPENSE | |||||||||||
(in thousands) | |||||||||||
| Three Months Ended | |||||||||||
| March 31, | |||||||||||
| 2026 | 2025 | ||||||||||
| (unaudited) | |||||||||||
| Interest income: | |||||||||||
| Available-for-sale securities | $ | 80,687 | $ | 100,418 | |||||||
| Mortgage loans held-for-sale | 169 | 53 | |||||||||
| Other | 7,794 | 10,911 | |||||||||
| Total interest income | 88,650 | 111,382 | |||||||||
| Interest expense: | |||||||||||
| Repurchase agreements | 74,527 | 107,078 | |||||||||
| Revolving credit facilities | 16,350 | 20,126 | |||||||||
Warehouse lines of credit | 109 | 55 | |||||||||
| Senior notes | 2,841 | — | |||||||||
| Convertible senior notes | 710 | 4,455 | |||||||||
Other | 624 | — | |||||||||
| Total interest expense | 95,161 | 131,714 | |||||||||
| Net interest expense | $ | (6,511) | $ | (20,332) | |||||||
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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 | |||||||||||
| March 31, 2026 | December 31, 2025 | ||||||||||
(unaudited) | (unaudited) | ||||||||||
| Reconciliation of comprehensive (loss) income to Earnings Available for Distribution: | |||||||||||
| Comprehensive (loss) income attributable to common stockholders | $ | (24,714) | $ | 50,429 | |||||||
| Adjustment for other comprehensive loss (income) attributable to common stockholders: | |||||||||||
| Unrealized loss (gain) on available-for-sale securities | 44,191 | (51,754) | |||||||||
| Net income (loss) attributable to common stockholders | $ | 19,477 | $ | (1,325) | |||||||
| Adjustments to exclude reported realized and unrealized (gains) losses: | |||||||||||
| Realized loss on securities | 10,885 | 15,018 | |||||||||
| Unrealized loss (gain) on securities | 86 | (578) | |||||||||
| Provision (reversal of provision) for credit losses | 15 | (8) | |||||||||
| Realized and unrealized loss on mortgage servicing rights | 44,009 | 65,213 | |||||||||
| Realized and unrealized gain on derivative instruments | (11,897) | (13,121) | |||||||||
| Other (gains) losses | (4) | 2,590 | |||||||||
| Other adjustments: | |||||||||||
MSR amortization(1) | (59,893) | (69,700) | |||||||||
TBA dollar roll income(2) | 15,874 | 12,409 | |||||||||
U.S. Treasury futures income(3) | 3,370 | 4,471 | |||||||||
Change in servicing reserves | 41 | (322) | |||||||||
Non-cash equity compensation expense | 4,422 | 3,352 | |||||||||
Merger-related costs(4) | 5,634 | 4,209 | |||||||||
| Net provision for income taxes on non-EAD | 3,737 | 5,227 | |||||||||
Earnings available for distribution to common stockholders(5) | $ | 35,756 | $ | 27,435 | |||||||
Weighted average basic common shares | 104,876,645 | 104,239,402 | |||||||||
Earnings available for distribution to common stockholders per weighted average basic common share | $ | 0.34 | $ | 0.26 | |||||||
_____________
(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)Merger-related costs consist of expenses incurred in connection with the company’s proposed merger with CCM, as well as its terminated merger with UWM.
(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 equity incentive plans and merger-related costs. 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.
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An MSR-Focused REIT First Quarter Earnings Call Presentation April 29, 2026
Safe Harbor Statement 2 FORWARD-LOOKING STATEMENTS This presentation of Two Harbors Investment Corp., or TWO, 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 2025, 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 entry into a merger agreement with CrossCountry Mortgage, LLC and the ability to complete the proposed transaction; our ability to manage various operational risks and costs associated with our business, including the risks associated with operating a mortgage loan servicer and originator; interruptions in or impairments to our communications and information technology systems; our ability to acquire mortgage servicing rights (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. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors.
Common Stock Dividend $0.34 Comprehensive Loss per Share $(0.24) Investment Portfolio(2) $11.9 billion Quarter-End Economic Debt-to-Equity(3) 6.4x Note: Financial data throughout this presentation is as of or for the quarter ended March 31, 2026, unless otherwise noted. Per share metrics utilize basic common shares as the denominator. The End Notes are an integral part of this presentation. See slides 29 through 35 at the back of this presentation for information related to certain financial metrics and defined terms used herein. Quarterly Financials Overview 3 Book Value per Share $10.57 Economic Return on Book Value(1) (2.0)%
4 Market Overview MARKETS REPRICE AS GEOPOLITICAL RISK TAKES CENTER STAGE • The Federal Reserve left rates unchanged as forecasts for inflation and economic growth became more uncertain; market expectations for rate cuts have diminished • Treasury yield curve bear flattened as energy prices rekindled inflation fears ◦ 2-year U.S. Treasury yields rose by 32 basis points to 3.79% ◦ 10-year U.S. Treasury yields rose by 15 basis points to 4.32% I. FED FUND RATE EXPECTATIONS(1) II. QUARTERLY YIELD CURVE CHANGE(1) 2yr Tsy +32bps 10yr Tsy +15bps
$57 million UPB in Originations Pipeline(1) $199 billion Serviced UPB 846,416 Loans Serviced Hedges Portfolio Direct-to-consumer protects value of TWO’s MSR portfolio when interest rates decline and refinancing activity increases more than expected Cost Efficiencies Focused on additional operational efficiencies to deliver lower cost-to- service per loan Additional Income Subservicing, direct-to-consumer originations, and ancillary products offer new sources of income RoundPoint Operations Update 5 $92 million UPB Funded First and Second Liens Direct-to-Consumer Originations Highlights Servicing Platform Highlights TWO + RoundPoint Benefits $38 million UPB Brokered Second Lien Loans $159 billion Owned Servicing UPB $40 billion Subserviced UPB Technology Drives Efficiencies and Experience AI in the Contact Center Deploying speech recognition, transcription and analysis help increase operational efficiency Automated Interactions Expanding to leverage AI for automated interactions via virtual agents, improve quality assurance, and streamline risk reviews AI-Driven Agent Assistance and Knowledge Bases Reduced call time and improved experiences through first call resolution, more accurate responses
$1,166.1 $32.3 $(44.2) $(12.8) $(36.0) $4.4 $1,109.8 December 31, 2025 Common Stockholders’ Equity GAAP Net Income Other Comprehensive Loss Preferred Stock Dividends Common Stock Dividends Other March 31, 2026 Common Stockholders’ Equity ($ in millions, except per share data) $11.13 per common share $10.57 per common share Represents Comprehensive Loss of $(24.7) million, or $(0.24) per common share Declared common stock dividend of $0.34 per share Increase Decrease Total Book Value Summary 6 (2.0)% quarterly economic return on book value(1)
$121.8 $(83.6) $3.4 $(49.4) $(4.1) $(12.8) $(24.7) $126.2 $(6.7) $0.8 $(51.3) $(5.6) $(13.0) $50.4 Q1 2026 Q4 2025 Net Interest and Servicing Income Mark-to-Market Gains and Losses Other Income Operating Expenses Tax Provision Preferred Stock Dividends Comprehensive (Loss) Income Comprehensive Income (Loss) Summary 7 ($ in millions, except per share data) Q1 Comprehensive Loss of $(0.24) per weighted average common share Lower loan level expenses, partially offset by higher compensation and benefits and merger- related costs Includes income related to originations Higher interest rates and spread widening in Q1 versus bull steepening in rates in Q4, partially offset by lower portfolio run-off on lower MSR balances and lower experienced prepayment speeds Lower float earnings rates and lower servicing fee collections on lower balances drove decrease in servicing income, partially offset by lower financing rates (1)
• $1.4 billion of outstanding borrowings under bilateral MSR asset financing facilities • $977 million of unused MSR asset financing capacity; $102 million committed and $875 million uncommitted • $69 million outstanding borrowings and $81 million of unused, committed capacity for servicing advance receivables BALANCE SHEET AS OF MARCH 31, 2026 • $6.7 billion of outstanding repurchase agreements with 16 counterparties • Weighted average days to maturity of 71 days Av er ag e R ep o R at e - S O FR (b ps ) 3-month 6-month Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 0 20 40(1 ) Agency RMBS $6.5 billion MSR $2.4 billion Cash & cash equivalents $0.5 billion All other assets $1.1 billion Agency RMBS repurchase agreements $6.7 billion MSR financing $1.5 billion All other liabilities $0.5 billion Preferred equity $0.6 billion Common equity $1.1 billion 2022 2023 2024 Financing Profile 8 AGENCY RMBS MORTGAGE SERVICING RIGHTS 2025 2026
At March 31, 2026, $11.9 billion portfolio Includes $8.9 billion settled positions M ar ke t Va lu e Eq ui va le nt s ($ b ill io ns ) Econom ic D ebt-To-Equity 8.4 6.5 6.6 6.5 3.0 4.4 4.2 3.0 3.0 2.6 2.4 2.4 7.0x 7.2x 7.0x 6.4x Agency Net TBA Position MSR Economic Debt-to-Equity 6/30/2025 9/30/2025 12/31/2025 3/31/2026 0 5 10 15 20 25 0.0x 2.0x 4.0x 6.0x 8.0x (3) (3 ) (2) 11.9 13.2 14.4 13.5 Note: Sensitivity data as of March 31, 2026. The above scenarios are provided for illustration purposes only and are not necessarily indicative of TWO’s financial condition and operating results, nor are they necessarily indicative of the financial condition or results of operations that may be expected for any future period or date. See Slide 17 the Appendix for more information on our risk positioning. C ha ng e in c om m on bo ok v al ue (1.1)% (0.9)% (1.1)% (1.3)% 12/31/2025 3/31/2026 Up 25 basis points Down 25 basis points (2.0)% (1.0)% —% C ha ng e in c om m on bo ok v al ue (4.0)% 3.7% (5.2)% 3.2% 12/31/2025 3/31/2026 Up 25 basis points Down 25 basis points (8.0)% —% 8.0% 9 Portfolio Composition and Risk Positioning I. PORTFOLIO COMPOSITION(1) II. INTEREST RATE EXPOSURE(4) III. MORTGAGE SPREAD EXPOSURE(5)
10 Agency RMBS Investment Landscape ADMINISTRATION’S SUPPORT FOR RMBS MITIGATED BY THE RISE IN VOLATILITY AND BROAD RISK-OFF SENTIMENT • Mortgage performance started strong - bolstered by the January 8 announcement that the GSEs will buy $200 billion of RMBS - with implied volatility falling to its lowest levels since October 2021, and current coupon spreads hitting quarterly tights on January 12 • Performance eroded over the balance of the quarter, driven predominantly by geopolitical events and the attendant increase in realized and implied volatility and the flattening of the yield curve • Nominal current coupon to swaps widened by 26 basis points, while OAS was 15 basis points wider • Compared to the prior quarters at similar levels of implied volatility, mortgage spreads were tighter owing to favorable supply/demand conditions • Nominal and option-adjusted spread curves steepened, with lower coupons roughly unchanged while 4.5s and higher widened I. RMBS SPREADS WIDENED, VOLATILITY INCREASED(1) II. SPREAD CURVES STEEPENED(2)
Coupon Ti ck s (3 2 nd s) TBAs TWO Specified Pools 4.0 4.5 5.0 5.5 6 6.5 -20 -10 0 10 20 TWO Specified Pools (Q1-2026)TBAs (Q1-2026)(5) TBAs (Q4-2025)(5) TWO Specified Pools (Q4-2025) Market Value(4) ($ billions) $— $0.35 $1.40 $1.57 $1.57 $0.50 11 Agency RMBS Portfolio I. RMBS QUARTERLY PERFORMANCE II. SPECIFIED POOL PREPAYMENT SPEEDS(1) (2) (3) QUARTERLY HIGHLIGHTS • For the coupons that TWO owned for the full duration of the quarter, specified pools mostly outperformed TBAs • Post spread tightening in mid-January, we lowered our spread exposure then managed it higher as spreads widened later in the quarter • Exposure was reduced to 4.5s mostly through sales of specified pools, while holdings increased in 5.5% specified pools with better carry and relative value • The pickup in realized volatility increased hedging costs for both securities and MSR • Weighted average specified pool portfolio prepayment speeds increased to 9.8%, compared to 8.6% in the fourth quarter(1), mostly from increases in higher coupons that responded to the quarterly low in mortgage rates
12 MSR Investment Landscape MSR MARKET CONTINUES TO BE WELL SUPPORTED • MSR market well subscribed and pricing stable across channels • Servicing transfer volume remained robust at $93 billion UPB, ahead of the same quarter in 2025 but down from the prior two quarters • Most supply coming from non-bank originators with a broader array of buyers including other non-bank originators, banks, and REITs • With rates around 6.5%, about 1% of the UPB of TWO's MSR portfolio has 50 basis points or more of a rate incentive to refinance • Housing market remains slow; persistent inventory shortages in many markets expected to continue to put upward pressure on prices • Housing affordability is likely to reverse given rise in mortgage rates I. BULK MSR TRANSFER VOLUME(1) II. COMPOSITION OF TWO MSR VS. CURRENT RATES(2)
UPB(3) ($ billions) $61.6 $26.5 $16.8 $9.5 $8.0 $6.3 $4.0 $3.1 $3.4 $1.6 QUARTERLY HIGHLIGHTS • Higher mortgage rates and wider RMBS spreads generally lead to higher servicing multiples • Price multiple increased slightly quarter-over-quarter to 5.9x from 5.8x in the fourth quarter • Added $151.8 million UPB through flow acquisitions and recapture • Weighted average 3-month CPR decreased to 5.6% CPR from 6.4% in Q4, reflecting slower seasonal speeds • Actual prepayment speeds continue to run below model speeds, a tailwind for returns • 60+ day delinquencies remain low at 0.9% 3/31/2026 12/31/2025 Fair value ($ millions) $ 2,381 $ 2,422 Price multiple 5.9x 5.8x UPB ($ millions) $ 160,300 $ 163,773 Gross coupon rate 3.55 % 3.55 % Current loan size ($ thousands) $ 322 $ 325 Original FICO(2) 760 760 Original Loan-to-Value (LTV) 73 % 73 % 60+ day delinquencies 0.9 % 0.9 % Net servicing fee (bps) 25.3 25.3 Loan age (months) 67 64 3-month CPR 5.6 % 6.4 % TWO MSR (Q1-2026)TBAs (Q1-2026)(4) TBAs (Q4-2025)(4) TWO MSR (Q4-2025) 13 MSR Portfolio I. MSR PORTFOLIO CHARACTERISTICS(1) II. 30-YEAR MSR PREPAYMENT SPEEDS
14 Return Potential and Outlook ATTRACTIVE RETURN OPPORTUNITIES FOR UNIQUELY POSITIONED PORTFOLIO As of March 31, 2026 PORTFOLIO MARKET VALUE ($ millions) INVESTED CAPITAL ALLOCATED(1) STATIC RETURN ESTIMATE(2) SERVICING MSR 2,381 RMBS(3) 5,009 Total 7,390 65% 11% - 14% SECURITIES RMBS(3) 4,442 Other Securities 1,120 Total 5,562 35% 11% - 15% INVESTED CAPITAL ($ millions) TWO’s STATIC RETURN ESTIMATE(4) Total Portfolio Before Corporate and Tax Expenses 11.2% - 14.5% Corporate and Tax Expenses(5) (3.2)% - (3.2)% Total Return to Invested Capital 8.0% - 11.4% INVESTED CAPITAL Senior Notes 115 9.4% Preferred Equity(6) 622 8.9% Common Equity 1,110 7.3% - 12.9% Total Invested Capital 1,847 PROSPECTIVE QUARTERLY STATIC RETURN PER BASIC COMMON SHARE(7): $0.19 - $0.34 Note: This slide presents estimates for illustrative purposes only, using TWO’s base case assumptions (e.g., spreads, prepayment speeds, financing costs, leverage and expenses), and does not contemplate market- driven value changes, active portfolio management, or certain operating expenses. Actual results may differ materially.
Appendix
Coupon (%) TBA Market Price(1) TBA Notional ($m) Specified Pools Par Value ($m)(2) MSR/ Agency IO UPB ($m)(3) Combined ($m) ZV to SOFR Spreads for Specified Pools(4) 4.5% $ 97.68 $ (157) $ 359 $ — $ 202 106 5.0% $ 99.81 2,072 1,404 (1,961) 1,515 112 5.5% $ 101.44 2,025 1,552 (3,053) 524 135 6.0% $ 102.68 (440) 1,530 — 1,090 154 ≥ 6.5% $ 103.91 (481) 486 — 5 155 Total $ 3,019 $ 5,331 $ (5,014) $ 3,336 134 16 Effective Coupon Positioning Coupon U PB ( $ in b ill io ns ) Q1 2026 Q4 2025 4.5 5.0 5.5 6.0 ≥ 6.5 -2.0 -1.0 0.0 1.0 2.0 3.0 4.0 II. QUARTER-OVER-QUARTER CHANGE IN POSITIONINGI. EFFECTIVE COUPON POSITIONING Combined TBA, Specified Pool and MSR positioning by coupon
Note: Sensitivity data as of March 31, 2026. The above scenarios are provided for illustration purposes only and are not necessarily indicative of TWO’s financial condition and operating results, nor are they necessarily indicative of the financial condition or results of operations that may be expected for any future period or date. Book Value Exposure to Changes in Rates % Change in Common Book Value 2-Year Rate (basis points) 10-Year Rate (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Other(2) Combined -25 0 Bull Steepener(3) 2.8 % 0.5 % (3.7) % (0.4) % 0 -25 Bull Flattener(4) 5.0 % (4.9) % (1.0) % (0.9) % -50 -50 Parallel Shift(5) 14.4 % (9.4) % (9.4) % (4.4) % -25 -25 Parallel Shift(5) 7.7 % (4.4) % (4.6) % (1.3) % 0 0 Base — % — % — % — % +25 +25 Parallel Shift(5) (8.7) % 3.2 % 4.4 % (1.1) % +50 +50 Parallel Shift(5) (18.2) % 6.1 % 8.8 % (3.3) % +25 0 Bear Flattener(3) (2.7) % (0.9) % 3.4 % (0.2) % 0 +25 Bear Steepener(4) (6.0) % 4.1 % 1.1 % (0.8) % Book Value Exposure to Current Coupon Spread(6) % Change in Common Book Value Parallel Shift in Spreads (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Combined -25 7.4 % (4.2) % 3.2 % 0 — % — % — % +25 (8.4) % 3.2 % (5.2) % 17 Risk Positioning
18 Markets Overview I. QUARTERLY MORTGAGE PERFORMANCE(1) II. DAILY VOLATILITY OF 10-YEAR SWAP RATE(2) III. MORTGAGE SPREAD VOLATILITY(3) IV. TWO MSR SPEEDS AND EXISTING HOME SALES(4)
$64.9 $(221.8) $(80.2) $50.4 $(24.7) Comprehensive Income ($ in millions) Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 $-300 $-150 $0 $150 $14.66 $12.14 $11.04 $11.13 $10.57 $0.45 $0.39 $0.34 $0.34 $0.34 Book Value ($) Dividend Declared ($) Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 $5.00 $10.00 $15.00 $20.00 4.4% (14.5)% (6.3)% 3.9% (2.0)% Quarterly Return on Book Value Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 -20% -10% 0% 10% 13.5% 14.5% 13.8% 13.0% 11.9% Dividend Yield Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 5% 10% 15% 20% 19 Financial Performance I. COMPREHENSIVE INCOME (LOSS) II. QUARTERLY ECONOMIC RETURN ON BOOK VALUE(1) III. DIVIDEND YIELD(2) IV. BOOK VALUE AND DIVIDEND PER COMMON SHARE(2)
$(6.5) $128.3 $(55.2) $15.6 $(44.0) $(15.5) $141.7 $37.3 $21.2 $(65.2) Q1 2026 Q4 2025 Net Interest Expense Net Servicing Income Investment Securities (Loss) Gain and Change in OCI Net Derivatives Gain Servicing Asset Loss Net Interest and Servicing Income Net Interest, Servicing and Mark-to-Market Detail 20 ($ in millions, except per share data) Mark-to-Market Decrease in net interest expense driven by lower financing costs due to lower average balances and lower rates Slight favorable change in valuation inputs and assumptions used in the fair valuation of MSR versus an unfavorable change in Q4, as well as lower portfolio run-off on lower MSR balances as a result of sales and lower experienced prepayment speeds Decrease in servicing income driven by lower float earnings rates and lower servicing fee collections on lower balances Unfavorable market movement on Agency RMBS driven by higher interest rates and spread widening in Q1, versus bull steepening in rates in Q4 Unfavorable market movement on TBAs driven by higher interest rates and spread widening towards the end of Q1, versus bull steepening in rates in Q4, partially offset by net gains on other interest rate hedges vs. net losses in Q4
($ thousands) Portfolio Asset Type Measure Average Amortized Cost Income(1) Average Yield Available-for-sale securities GAAP $ 6,445,955 $ 80,687 5.01% Mortgage loans held-for-sale GAAP 11,280 169 5.99% Adjustments to include other portfolio items: Mortgage servicing rights(2)(3) Non-GAAP 1,446,435 40,894 11.31% Agency derivatives(2)(4) Non-GAAP 74,179 2,032 10.96 % TBAs(2)(5) Non-GAAP 3,874,364 51,890 5.36 % Total portfolio Non-GAAP $ 11,852,213 $ 175,672 5.93% Financing Collateral Type Measure Average Outstanding Balance Expense(6) Average Cost Borrowings collateralized by available-for-sale securities GAAP $ 6,338,724 $ 63,028 3.98% Borrowings collateralized by mortgage loans held-for-sale GAAP 11,129 172 6.18 % Adjustments to include other financing items: Borrowings collateralized by mortgage servicing rights and advances GAAP 1,529,593 27,253 7.13 % Borrowings collateralized by Agency derivatives(4) GAAP 50,340 533 4.24 % Senior notes(7) GAAP 111,162 2,841 10.22 % Convertible senior notes(8) GAAP 40,737 710 6.97 % Interest rate swaps(2)(9) Non-GAAP (1,712) (0.06) % U.S. Treasury futures(2)(10) Non-GAAP (3,370) (0.11) % TBAs(2)(5) Non-GAAP 3,874,364 36,016 3.72 % Total financing Non-GAAP $ 11,956,049 $ 125,471 4.20 % Net Spread Measure Average Yield, less Cost Net spread on AFS securities and mortgage loans held-for-sale GAAP 1.03% Net spread on total portfolio Non-GAAP 1.73% 21 Q1-2026 Portfolio Yields and Financing Costs
Par Value ($ millions) Market Value ($ millions) Weighted Average CPR(1) % Prepay Protected(2) Amortized Cost Basis ($ millions) Gross Weighted Average Coupon Weighted Average Age (Months) 30-Year Fixed 4.5% $ 359 $ 349 7.7 % 100.0 % $ 354 5.2 % 43 5.0% 1,404 1,399 9.7 % 99.2 % 1,425 5.8 % 45 5.5% 1,552 1,569 11.5 % 80.3 % 1,577 6.4 % 25 6.0% 1,530 1,568 25.6 % 78.3 % 1,569 6.9 % 10 ≥ 6.5% 486 507 27.8 % 90.6 % 506 7.3 % 12 5,331 5,392 16.7 % 86.9 % 5,431 6.4 % 26 Other P&I(3) 1,099 1,096 5.1 % — % 1,101 5.3 % 13 IOs and IIOs(4) 1,457 80 24.6 % — % 91 6.7 % 52 Total Agency RMBS $ 7,887 $ 6,568 71.3 % $ 6,623 ($ millions) Notional Amount Bond Equivalent Value(5) Through-the-Box Speeds(6) TBA Positions 4.5% $ (157) $ (152) 2.0 % 5.0% 2,072 2,041 3.3 % 5.5% 2,025 2,033 18.7 % 6.0% (440) (448) 38.7 % ≥ 6.5% (481) (497) 44.8 % Net TBA Position $ 3,019 $ 2,977 22 Agency RMBS Portfolio
Number of Loans Unpaid Principal Balance ($ millions) Gross Coupon Rate Current Loan Size ($ thousands) Loan Age (months) Original FICO(2) Original LTV 60+ Day Delinquencies 3-Month CPR Net Servicing Fee (bps) 30-Year Fixed < 3.25% 246,100 $ 72,064 2.8% $ 347 62 768 72% 0.4% 3.3% 25.0 3.25% - 3.75% 114,280 27,453 3.4% 308 76 753 74% 0.8% 4.3% 25.1 3.75% - 4.25% 76,326 14,109 3.9 % 245 104 752 75 % 1.0 % 5.1 % 25.3 4.25% - 4.75% 45,475 7,602 4.4 % 241 101 739 77 % 1.8 % 5.5 % 25.2 4.75% - 5.25% 32,377 7,325 5.0 % 345 65 748 79 % 1.7 % 5.6 % 25.2 > 5.25% 55,260 16,804 6.2 % 406 35 750 80 % 1.8 % 16.1 % 26.9 569,818 145,357 3.6 % 331 68 759 74 % 0.9 % 5.5 % 25.3 15-Year Fixed < 2.25% 17,305 3,629 2.0 % 252 59 776 60 % 0.2 % 3.5 % 25.0 2.25% - 2.75% 30,060 5,106 2.4 % 213 63 772 60 % 0.2 % 4.5 % 25.0 2.75% - 3.25% 24,064 2,395 2.9 % 151 86 765 62 % 0.3 % 7.2 % 25.2 3.25% - 3.75% 12,602 853 3.4 % 109 104 755 64 % 0.5 % 9.1 % 25.2 3.75% - 4.25% 5,654 344 3.9 % 109 100 739 66 % 0.5 % 10.6 % 25.4 > 4.25% 4,983 697 5.3 % 282 40 750 64 % 1.4 % 20.9 % 27.4 94,668 13,024 2.6 % 206 68 769 61 % 0.3 % 6.2 % 25.2 Total ARMs 1,456 490 5.1 % 443 46 765 72 % 0.6 % 27.6 % 25.1 Total Portfolio 665,942 $ 158,871 3.5 % $ 321 68 760 73 % 0.8 % 5.6 % 25.3 23 Mortgage Servicing Rights Portfolio(1)
$ millions Q1-2026 Q4-2025 Q3-2025 Q2-2025 Q1-2025 UPB at beginning of period $ 162,450 $ 175,821 $ 198,823 $ 196,773 $ 200,317 Bulk purchases of mortgage servicing rights — — — 6,385 — Flow purchases of mortgage servicing rights 95 330 664 170 155 Originations/recapture of mortgage servicing rights 57 69 34 34 20 Sales of mortgage servicing rights — (9,552) (19,112) — — Scheduled payments (1,393) (1,423) (1,647) (1,637) (1,624) Prepaid (2,327) (2,739) (2,964) (2,914) (2,110) Other changes (11) (56) 23 12 15 UPB at end of period $ 158,871 $ 162,450 $ 175,821 $ 198,823 $ 196,773 24 Mortgage Servicing Rights UPB Roll-forward
3/31/2026 12/31/2025 Number of Loans Unpaid Principal Balance ($ millions) Number of Loans Unpaid Principal Balance ($ millions) Mortgage servicing rights 665,942 $ 158,871 675,215 $ 162,450 Subservicing(1) 179,899 40,052 178,356 40,492 Servicing administrator(2) 505 266 514 273 Mortgage loans held-for-sale(3) 70 18 38 14 Total serviced mortgage assets 846,416 $ 199,207 854,123 $ 203,229 25 Serviced Mortgage Assets
$ millions Outstanding Borrowings and Maturities(1) Repurchase Agreements Revolving Credit Facilities Warehouse Lines of Credit Senior Notes Total Borrowings Percent (%) Within 30 days $ 2,197.0 $ — $ — $ — $ 2,197.0 26.5 % 30 to 59 days 1,510.3 — — — 1,510.3 18.2 % 60 to 89 days 831.3 69.0 12.7 — 913.0 11.0 % 90 to 119 days 722.0 — — — 722.0 8.7 % 120 to 364 days 1,984.7 — — — 1,984.7 24.0 % One to three years — 847.9 — — 847.9 10.2 % Three to five years — — — 111.2 111.2 1.4 % $ 7,245.3 $ 916.9 $ 12.7 $ 111.2 $ 8,286.1 100.0 % Collateral Pledged for Borrowings Repurchase Agreements(2) Revolving Credit Facilities(2) Warehouse Lines of Credit Senior Notes Total Collateral Pledged Percent (%) Available-for-sale securities, at fair value $ 6,498.8 $ — $ — n/a $ 6,498.8 68.9 % Mortgage servicing rights, at fair value 941.6 1,437.8 — n/a 2,379.4 25.2 % Mortgage loans held-for-sale, at fair value 5.4 — 12.8 n/a 18.2 0.2 % Restricted cash 140.5 — 0.4 n/a 140.9 1.5 % Due from counterparties 255.4 — — n/a 255.4 2.7 % Derivative assets, at fair value 62.1 — — n/a 62.1 0.7 % Other assets (includes servicing advances) — 80.0 — n/a 80.0 0.8 % $ 7,903.8 $ 1,517.8 $ 13.2 n/a $ 9,434.8 100.0 % 26 Financing
Type & Maturity Notional Amount ($M) Carrying Value ($M)(1) Weighted Average Months to Expiration U.S. Treasury futures 2 year $ (2,312.8) $ — 3.0 5 year (1,701.2) — 3.0 10 year (501.1) — 2.6 20 year 190.8 — 2.6 Eris SOFR swap futures 5 year (1,200.0) — 62.6 10 year (830.0) — 122.7 Total futures $ (6,354.3) $ — 27.5 27 Futures
Maturities Notional Amount ($M) Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) Payers > 1 and ≤ 3 years $ 2,956.6 3.412 % 3.680 % 1.7 > 3 and ≤ 5 years 1,761.4 3.589 % 3.680 % 3.7 > 5 and ≤ 7 years 903.9 3.563 % 3.680 % 5.8 > 7 and ≤ 10 years 622.5 3.887 % 3.680 % 9.1 > 10 years 670.4 3.855 % 3.680 % 14.0 $ 6,914.8 3.562 % 3.680 % 4.6 Maturities Notional Amount ($M) Average Pay Rate Average Fixed Receive Rate Average Maturity (Years) Receivers > 3 and ≤ 5 years $ 2,401.4 3.680 % 3.450 % 4.5 > 5 and ≤ 7 years 280.8 3.680 % 3.427 % 6.9 > 7 and ≤ 10 years 842.0 3.680 % 3.781 % 8.9 > 10 years 996.8 3.680 % 3.750 % 19.5 $ 4,521.0 3.680 % 3.576 % 8.8 28 Interest Rate Swaps
PAGE 3 - Quarterly Financials Overview 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 $8.9 billion in settled positions and $3.0 billion net TBA position, which represents the bond equivalent value of the company’s TBA position. Bond equivalent value is defined as notional amount multiplied by market price. TBA contracts accounted for as derivative instruments in accordance with GAAP. For additional detail on the portfolio, see slides 11 and 13, and Appendix slides 22 and 23. 3. Economic debt-to-equity is 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. PAGE 4 - Markets Overview 1. Source: Bloomberg, as of the dates noted. PAGE 5 - RoundPoint Operations Update 1. Number represents approximate pull-through adjusted UPB in originations pipeline as of March 31, 2026. PAGE 6 - Book Value Summary 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. PAGE 7 - Comprehensive Income (Loss) Summary 1. Mark-to-Market Gains and Losses represents the sum of investment securities gain (loss) and change in accumulated other comprehensive income (OCI), net swap and other derivative gains (losses), and servicing asset gains (losses). See Appendix slide 20 for more detail. PAGE 8 - Financing Profile 1. Source: Bloomberg. Represents the average spread between repurchase rates and the Secured Overnight Financing Rate (SOFR) over trailing three-month and six-month periods between Q1 2022 and Q1 2026 (as of March 31, 2026). PAGE 9 - Portfolio Composition and Risk Positioning 1. For additional detail on the portfolio, see slides 11 and 13, and Appendix slides 22 and 23. 2. Net TBA position represents the bond equivalent value of the company’s TBA position. Bond equivalent value is defined as notional amount multiplied by market price. TBA contracts are accounted for as derivative instruments in accordance with GAAP. 3. Economic debt-to-equity is 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. Interest rate exposure represents estimated change in common book value for theoretical parallel shift in interest rates. 5. Spread exposure represents estimated change in common book value for theoretical parallel shifts in spreads. 29 End Notes
PAGE 10 - Agency RMBS Investment Landscape 1. Source: J.P. Morgan DataQuery. Data is model-based and represents universal mortgage-backed securities (UMBS) generic TBA spreads as of the dates noted. In 2023, J.P. Morgan updated their model affecting only 2023 data. 2. Spreads produced using prepayment speeds generated with The Yield Book® Software using internally calibrated prepayment dials. Data as of March 31, 2026. ZV Spread stands for zero volatility spread. PAGE 11 - Agency RMBS Portfolio 1. Specified pools include securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank-serviced and others. 2. Represents UMBS generic TBA performance during the quarter. 3. Specified pool performance excludes (1) certain coupons in which we were not invested for the full duration of the quarter and (2) certain coupons with de minimis balances. 4. Specified pool market value by coupon as of March 31, 2026. 5. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 12 - MSR Investment Landscape 1. Source: RiskSpan and TWO’s internal estimates as of March 31, 2026. 2. TWO MSR 30-year fixed-rate UPB as of March 31, 2026 factor date; Freddie Mac’s Primary Mortgage Market Survey (PMMS) as of March 31, 2026. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. PAGE 13 - MSR Portfolio 1. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry accepted credit score of a borrower. 3. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. 4. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 14 - Return Potential and Outlook 1. Capital allocated represents management’s internal allocation. Certain financing balances and associated interest expenses are allocated between investments based on management’s assessment of leverage ratios and required capital or liquidity to support the investment. 2. Market return estimates reflect static assumptions using quarter-end spreads and market data. 3. Includes Agency pools and TBA positions. TBA contracts accounted for as derivative instruments in accordance with GAAP. 4. Estimated return on invested capital reflects static return assumptions using quarter-end portfolio valuations. 5. Total expenses includes operating expenses and tax expenses within the company’s taxable REIT subsidiaries. 6. Preferred equity coupon represents the 5-year yield along the forward curve to account for floating rate resets. 7. Prospective quarterly static return estimate per basic common share reflects portfolio performance expectations given current market conditions and represents the comprehensive income attributable to common stockholders (net of dividends on preferred stock). 30 End Notes (continued)
PAGE 16 - Effective Coupon Positioning 1. Represents UMBS TBA market prices as of March 31, 2026. 2. Specified pools include securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank-serviced and others. 3. MSR/Agency IO represents an internally calculated exposure of a synthetic TBA position and the current coupon equivalents of our MSR, including the effect of unsettled MSR, and Agency IO RMBS. 4. Spreads generated with The Yield Book® Software using internally calibrated dials. PAGE 17 - Risk Positioning 1. MSR/Agency IO RMBS includes the effect of unsettled MSR. 2. Other includes all other derivative assets and liabilities and borrowings. Other excludes TBAs, which are included in the Agency P&I RMBS/TBA category. 3. Bull Steepener/Bear Flattener is a shift in short-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 2- year rates while holding long-term rates constant. 4. Bull Flattener/Bear Steepener is a shift in long-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 10-year rates while holding short-term rates constant. 5. Parallel shift represents estimated change in common book value for theoretical parallel shift in interest rates. 6. Book value exposure to current coupon spread represents estimated change in common book value for theoretical parallel shifts in spreads. PAGE 18 - Markets Overview 1. Source: Bloomberg, US MBS Index Monthly Treasury Excess Return data as of dates noted. 2. Source: Bloomberg, as of dates noted. 3. Source: J.P. Morgan DataQuery. 4. Monthly prepay speeds from National Association of Realtors via Bloomberg and RiskSpan as of March 31, 2026. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. PAGE 19 - Financial Performance 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 the common book value as of the beginning of the period. 2. Historical dividends may not be indicative of future dividend distributions. The company ultimately distributes dividends based on its taxable income per common share, not GAAP earnings. The annualized dividend yield on the company’s common stock is calculated based on the closing price of the last trading day of the relevant quarter. 31 End Notes (continued)
PAGE 21 - Q1 2026 Portfolio Yields and Financing Costs 1. Includes interest income, net of premium amortization/discount accretion, on Agency and non-Agency investment securities, servicing income, net of estimated amortization and servicing expenses, on MSR, and the implied asset yield portion of dollar roll income on TBAs. Amortization on MSR 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. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 2. As reported elsewhere in the company’s filings with the Securities and Exchange Commission, MSR, Agency derivatives, TBA, interest rate swap agreements and U.S. Treasury futures are reported at fair value in the company’s consolidated financial statements in accordance with GAAP, and the GAAP presentation and disclosure requirements for these items do not define or include the concepts of yield or cost of financing, amortized cost, or outstanding borrowings. 3. Amortized cost on MSR for a given period equals the net present value of the remaining future cash flows (obtained by applying original prepayment assumptions to the actual unpaid principal balance at the start of the period) using a discount rate equal to the original pricing yield. Original pricing yield is the discount rate which makes the net present value of the cash flows projected at purchase equal to the purchase price. MSR amortized cost is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair value. 4. Represents inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP. 5. Both the implied asset yield and implied financing benefit/cost of dollar roll income on TBAs are 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. 6. Includes interest expense and amortization of deferred debt issuance costs on borrowings under repurchase agreements (excluding those collateralized by U.S. Treasuries), revolving credit facilities, senior notes and convertible senior notes, interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements, and the implied financing benefit/cost portion of dollar roll income on TBAs. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 7. Unsecured senior notes. 8. Unsecured convertible senior notes. 9. The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company’s outstanding borrowings is calculated using average borrowings balance as the denominator. 10. 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. PAGE 22 - Agency RMBS Portfolio 1. Weighted average actual one-month CPR released at the beginning of the following month based on RMBS held as of the preceding month-end. 2. Determination of the percentage of prepay protected 30-year fixed Agency RMBS includes securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores. 3. Other P&I includes 15-year fixed, Hybrid ARMs, CMO and DUS pools. 4. IOs and IIOs represent market value of $64.0 million of Agency derivatives and $16.0 million of interest-only Agency RMBS. Agency derivatives are inverse interest-only Agency RMBS, which are accounted for as derivative instruments in accordance with GAAP. 5. Bond equivalent value is defined as the notional amount multiplied by market price. TBA contracts accounted for as derivative instruments in accordance with GAAP. 6. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 23 - Mortgage Servicing Rights Portfolio 1. MSR portfolio excludes residential mortgage loans for which the company is the named servicing administrator. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry-accepted credit score of a borrower. 32 End Notes (continued)
PAGE 25 - Serviced Mortgage Assets 1. Off-balance sheet mortgage loans owned by third parties and subserviced by the Company. 2. Off-balance sheet mortgage loans owned by third parties for which the Company acts as servicing administrator (subserviced by appropriately licensed third-party subservicers). 3. Originated or purchased mortgage loans held-for-sale at period-end. PAGE 26 - Financing 1. As of March 31, 2026, outstanding borrowings had a weighted average of 5.1 months to maturity. 2. Repurchase agreements and revolving credit facilities secured by MSR and/or other assets may be over-collateralized due to operational considerations. PAGE 27 - Futures 1. Exchange-traded derivative instruments (futures and options on futures) require the posting of an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the derivative instrument’s maximum estimated single-day price movement. The company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. The exchange of variation margin is considered a settlement of the derivative instrument, as opposed to pledged collateral. Accordingly, the receipt or payment of variation margin is accounted for as a direct reduction to the carrying value of the exchange-traded derivative asset or liability. 33 End Notes (continued)
FAQ
What merger terms did Two Harbors (TWO) announce with CrossCountry Mortgage?
Two Harbors agreed to be acquired by CrossCountry Mortgage for $11.30 in cash per common share. This reflects an increase from the original $10.80 per-share offer. The transaction is expected to close in the second half of 2026, subject to stockholder and regulatory approvals.
How did Two Harbors (TWO) perform financially in Q1 2026?
Two Harbors reported a comprehensive loss attributable to common stockholders of $24.7 million, or $(0.24) per share. GAAP net income attributable to common stockholders was $19.5 million, while non-GAAP Earnings Available for Distribution were $35.8 million, or $0.34 per basic common share.
What happened to Two Harbors’ (TWO) book value and dividend this quarter?
Book value per common share declined to $10.57 from $11.13, producing a (2.0)% economic return on book value. The company declared a first-quarter common dividend of $0.34 per share, consistent with the prior quarter and fully covered by Earnings Available for Distribution.
How will Two Harbors’ preferred stock be treated in the CCM merger?
Holders of Two Harbors’ Series A, B and C preferred shares are expected to be redeemed at $25.00 per share plus accumulated and unpaid dividends. This redemption is planned to occur following the closing of the CCM transaction, in line with the preferred stock terms.
What is the size and composition of Two Harbors’ investment portfolio?
Two Harbors reported a total portfolio of $11.9 billion as of March 31, 2026. This included $8.9 billion of Agency RMBS, mortgage servicing rights and other securities, plus $3.0 billion of net long TBA exposure, alongside associated interest-rate hedges.
What leverage levels did Two Harbors (TWO) report for Q1 2026?
Total borrowings were $8.3 billion, producing a debt-to-equity ratio of 4.8:1 at period-end. When including implied debt from TBAs and unsettled RMBS, the economic debt-to-equity ratio was higher at 6.4:1, reflecting the firm’s leveraged REIT model.