Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Q1 2026 Earnings Presentation
34 slides from Two Harbors Investment's earnings presentation, Apr 29, 2026
Slide 1: An MSR-Focused REIT
An MSR-Focused REIT First Quarter Earnings Call Presentation April 29, 2026
Slide 2: Safe Harbor Statement
Safe Harbor Statement 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 exp
Slide 3: Quarterly Financials Overview
Quarterly Financials Overview Book Value Comprehensive Economic Return per Share Loss per Share on Book Value(1) $10.57 $(0.24) (2.0)% Common Stock Investment Quarter-End Economic Dividend Portfolio(2) Debt-to-Equity(3) $0.34 $11.9 billion 6.4x Note: Financial data throughout this presentation is as
Slide 4: Market Overview
Market Overview MARKETS REPRICE AS GEOPOLITICAL RISK TAKES CENTER STAGE • The Federal Reserve left rates unchanged as forecasts for inflation and economic growth became more uncertain; market expectations for rate cuts have diminished • Treasury yield curve bear flattened as energy prices rekindled
Slide 5: RoundPoint Operations Update
RoundPoint Operations Update Cost Efficiencies Additional Income Hedges Portfolio TWO + RoundPoint Direct-to-consumer protects value of Focused on additional operational Subservicing, direct-to-consumer Benefits TWO’s MSR portfolio when interest efficiencies to deliver lower cost-to- originations, a
Slide 6: Book Value Summary
Book Value Summary ($ in millions, except per share data) Represents Comprehensive Loss of $(24.7) million, or $(0.24) per common share $32.3 $11.13 per Declared common (2.0)% quarterly common share stock dividend of economic return $0.34 per share on book value(1) $1,166.1 $(44.2) $10.57 per $(12.8
Slide 7: Comprehensive Income Summary
Comprehensive Income (Loss) Summary Lower float earnings rates and lower servicing fee ($ in millions, except per share data) collections on lower balances drove decrease in servicing income, partially offset by lower financing rates $126.2 $121.8 Q1 Comprehensive Higher interest rates Loss of $(0.2
Slide 8: Financing Profile
Financing Profile BALANCE SHEET AS OF MARCH 31, 2026 AGENCY RMBS • $6.7 billion of outstanding repurchase agreements with 16 counterparties • Weighted average days to maturity of 71 days 2022 2023 2024 2025 2026 40 Average Repo Rate - SOFR (1) Agency RMBS $6.5 billion Agency RMBS repurchase agreemen
Slide 9: Portfolio Composition and Risk Positioning
Portfolio Composition and Risk Positioning I. PORTFOLIO COMPOSITION(1) II. INTEREST RATE EXPOSURE(4) At March 31, 2026, $11.9 billion portfolio —% Change in common Includes $8.9 billion settled positions book value 25 8.0x (1.0)% (0.9)% 7.0x 7.2x 7.0x (1.1)% (1.1)% (1.3)% 6.4x (2.0)% Market Value Eq
Slide 10: Agency RMBS Investment Landscape
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 low
Slide 11: Agency RMBS Portfolio
Agency RMBS Portfolio 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
Slide 12: MSR Investment Landscape
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
Slide 13: MSR Portfolio
MSR Portfolio 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 $151.8 million UPB through flow acquisitions and recapture • Weighte
Slide 14: Return Potential and Outlook
Return Potential and Outlook ATTRACTIVE RETURN OPPORTUNITIES FOR UNIQUELY POSITIONED PORTFOLIO PORTFOLIO MARKET VALUE INVESTED CAPITAL As of March 31, 2026 ($ millions) 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 S
Slide 15: Appendix
Appendix
Slide 16: Effective Coupon Positioning
Effective Coupon Positioning I. EFFECTIVE COUPON POSITIONING II. QUARTER-OVER-QUARTER CHANGE IN POSITIONING Combined TBA, Specified Pool and MSR positioning by coupon Specified ZV to SOFR TBA Pools MSR/ Spreads for Agency IO 4.0 TBA Market Notional Par Value Combined Specified Coupon (%) Price(1) ($
Slide 17: Risk Positioning
Risk Positioning Book Value Exposure to Changes in Rates % Change in Common Book Value 2-Year Rate 10-Year Rate (basis points) (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.
Slide 18: Markets Overview
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) 18
Slide 19: Financial Performance
Financial Performance I. COMPREHENSIVE INCOME (LOSS) II. QUARTERLY ECONOMIC RETURN ON BOOK VALUE(1) $150 10% $64.9 $50.4 4.4% 3.9% $0 0% $(24.7) (2.0)% $(80.2) (6.3)% $-150 -10% $(221.8) (14.5)% $-300 -20% Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q1-2026 Comprehensive
Slide 20: Net Interest, Servicing and Mark-to-Market Detail
Net Interest, Servicing and Mark-to-Market Detail ($ in millions, except per share data) Decrease in servicing Mark-to-Market income driven by lower float earnings rates and lower servicing fee collections on lower balances Unfavorable market $141.7 movement on TBAs driven by $128.3 Unfavorable mark
Slide 21: Q1 2026 Portfolio Yields and Financing Costs
Q1-2026 Portfolio Yields and Financing Costs ($ thousands) Average Amortized Portfolio Asset Type Measure 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: Mortga
Slide 22: Agency RMBS Portfolio
Agency RMBS Portfolio Weighted Par Value Market Value Weighted Average % Prepay Amortized Cost Basis Gross Weighted Average Age ($ millions) ($ millions) CPR(1) Protected(2) ($ millions) Average Coupon (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 %
Slide 23: Mortgage Servicing Rights Portfolio
Mortgage Servicing Rights Portfolio(1) Unpaid Principal Number of Balance Gross Coupon Current Loan Size Loan Age Original 60+ Day Net Servicing Loans ($ millions) Rate ($ thousands) (months) FICO(2) Original LTV Delinquencies 3-Month CPR Fee (bps) 30-Year Fixed < 3.25% 246,100 $ 72,064 2.8% $ 347 6
Slide 24: Mortgage Servicing Rights UPB Roll-forward
Mortgage Servicing Rights UPB Roll-forward $ 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 Originat
Slide 25: Serviced Mortgage Assets
Serviced Mortgage Assets 3/31/2026 12/31/2025 Unpaid Principal Unpaid Principal Balance Balance Number of Loans ($ millions) Number of Loans ($ 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
Slide 26: Financing
Financing $ millions Repurchase Revolving Credit Warehouse Lines Outstanding Borrowings and Maturities(1) Agreements Facilities 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.
Slide 27: Futures
Futures Weighted Average Type & Maturity Notional Amount ($M) Carrying Value ($M)(1) 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 fut
Slide 28: Interest Rate Swaps
Interest Rate Swaps 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
Slide 29: End Notes
End Notes 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 beginni
Slide 30: End Notes (continued)
End Notes (continued) 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 p
Slide 31: End Notes (continued)
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
Slide 32: End Notes (continued)
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 as
Slide 33: End Notes (continued)
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
Slide 34: Slide 34
Two Harbors Investment — Q1 2026 Earnings Presentation on 6ix