Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Q3 2025 Earnings Presentation
35 slides from Two Harbors Investment's earnings presentation, Oct 28, 2025
Slide 1: An MSR-Focused REIT: Third Quarter Earnings Call Presentation
An MSR-Focused REIT Third Quarter Earnings Call Presentation October 28, 2025
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 Comprehensive Economic Return Loss per Share on Book Value(1) Book Value $(0.77) (6.3)% per Share Economic Return $11.04 Litigation Settlement Expense on Book Value, Excluding Litigation per Share(2) Settlement Expense(1)(2) $(1.68) 7.6% Common Stock Investment Quarter-
Slide 4: Markets Overview
Markets Overview Positive Performance Across Fixed income • The Federal Reserve delivered a widely-anticipated 25 basis point cut to its benchmark rate in response to emerging downside risks in the labor market • Another 50 basis points of cuts by year-end is expected by market participants and alig
Slide 5: RoundPoint Operations Update
RoundPoint Operations Update Cost Efficiencies Additional Income Hedges Portfolio TWO + RoundPoint Direct-to-consumer protects value of Focused on additional operational Subservicing, direct-to-consumer Benefits TWO’s MSR portfolio when interest efficiencies to deliver lower cost-to- originations, a
Slide 6: Book Value Summary
Book Value Summary ($ in millions, except per share data) Represents Comprehensive Loss of $(80.2) million, or $(0.77) per (6.3)% quarterly economic return common share on book value(2) Comprehensive Income of $94.9 7.6% quarterly economic return million, or $0.91 per common on book value, excluding
Slide 7: Comprehensive Income (Loss) Summary
Comprehensive Income (Loss) Summary ($ in millions, except per share data) Increase in net interest and servicing income driven by higher float and servicing fee income and lower financing costs, partially offset by lower interest income on Agency RMBS $139.2 $136.4 Slightly higher operating expense
Slide 8: Financing Profile
Financing Profile BALANCE SHEET AS OF SEPTEMBER 30, 2025 AGENCY RMBS • $6.4 billion of outstanding repurchase agreements with 16 counterparties • Weighted average days to maturity of 88 days 2021 2022 2023 2024 2025 Average Repo Rate - SOFR (1) 40 Agency RMBS repurchase Agency RMBS $6.5 billion agre
Slide 9: Portfolio Composition and Risk Positioning
Portfolio Composition and Risk Positioning I. PORTFOLIO COMPOSITION(1) II. INTEREST RATE EXPOSURE(4) At September 30, 2025, $13.5 billion portfolio —% Change in common Includes $9.1 billion settled positions book value 30 8.0x (1.0)% (0.8)% (0.7)% (0.8)% 7.0x 7.2x (1.2)% 6.5x 25 6.2x (2.0)% Market V
Slide 10: Agency RMBS Investment Landscape
Agency RMBS Investment Landscape POSITIVE PERFORMANCE OF RMBS DRIVEN BY LOWER VOLATILITY AND EXPECTED FED CUTS • Agency RMBS spreads tightened over the quarter as implied volatility normalized to longer-term averages, falling to the lowest level since early 2022 • Current coupon nominal and option-a
Slide 11: Agency RMBS Portfolio
Agency RMBS Portfolio QUARTERLY HIGHLIGHTS • Hedged performance for Agency RMBS, across the coupon stack, was positive in the third quarter • For the coupons that TWO owned, specified pools outperformed TBAs, led by 4.5s and 5.0s(1) • Rotated lower in coupon by reducing position in 6-6.5% by approxi
Slide 12: MSR Investment Landscape
MSR Investment Landscape MSR MARKET CONTINUES TO BE WELL SUPPORTED • MSR market is well supported with bank and non-bank portfolios continuing to aggressively bid on bulk packages • Quarterly bulk volume remains lower than in prior years • With rates around 6.25%, about 3.2% of the UPB of TWO's MSR
Slide 13: MSR Portfolio
MSR Portfolio QUARTERLY HIGHLIGHTS • Price multiple down slightly quarter-over-quarter to 5.8x from 5.9x in Q2 • Settled $698.2 million UPB through flow acquisitions and recapture • Sold $19.1 billion UPB of MSR on a servicing-retained basis; post quarter-end committed to sell an additional $10 bill
Slide 14: Return Potential and Outlook
Return Potential and Outlook ATTRACTIVE RETURN OPPORTUNITIES FOR UNIQUELY POSITIONED PORTFOLIO PORTFOLIO MARKET VALUE INVESTED CAPITAL As of September 30, 2025 ($ millions) ALLOCATED(1) STATIC RETURN ESTIMATE(2) SERVICING MSR(3) 2,474 RMBS(4) 5,500 Total 7,974 68% 11% - 14% SECURITIES RMBS(4) 4,642
Slide 15: The TWO Advantage
The TWO Advantage Our size, expertise, and investment strategy differentiate us from other mREIT peers and investors in MSR. Market Presence: Financing and Liquidity: Our scale, expertise and We have a strong balance ability to leverage our own sheet and diversified servicer allows us to find financ
Slide 16: Appendix
Appendix
Slide 17: 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 3.0 TBA Market Notional Par Value Combined Specified Coupon (%) Price(1) ($
Slide 18: 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) 3.0 % 0.8 % (3.1)% 0.7 % 0 -25 Bull Flattener (4) 5.8 % (4.9)% (2.4)% (1.5
Slide 19: Markets Overview
Markets Overview I. QUARTERLY MORTGAGE PERFORMANCE(1) II. ACTUAL VS. IMPLIED VOLATILITY(2) III. MORTGAGE SPREAD VOLATILITY(3) IV. TWO MSR SPEEDS AND EXISTING HOME SALES(4) 19
Slide 20: Financial Performance
Financial Performance I. COMPREHENSIVE INCOME (LOSS) II. QUARTERLY ECONOMIC RETURN ON BOOK VALUE(1) $150 10% $64.9 4.4% $19.3 1.3% —% $0 0% $(1.6) $(80.2) (6.3)% $-150 -10% $(221.8) (14.5)% $-300 -20% Q3-2024 Q4-2024 Q1-2025 Q2-2025 Q3-2025 Q3-2024 Q4-2024 Q1-2025 Q2-2025 Q3-2025 Comprehensive Incom
Slide 21: Net Interest, Servicing and Mark-to-Market Detail
Net Interest, Servicing and Mark-to-Market Detail ($ in millions, except per share data) Mark-to-Market Positive market movement on Agency RMBS and TBAs, $162.7 partially offset by unfavorable $156.0 market movement on MSR and futures driven by rally in rates and spread tightening $68.9 $44.8 $17.7
Slide 22: Q3-2025 Portfolio Yields and Financing Costs
Q3-2025 Portfolio Yields and Financing Costs ($ thousands) Average Amortized Portfolio Asset Type Measure Cost Income(1) Average Yield Available-for-sale securities GAAP $ 6,751,460 $ 83,763 4.96% Mortgage loans held-for-sale GAAP 7,280 125 6.87% Adjustments to include other portfolio items: Mortgag
Slide 23: 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 4.0% $ 189 $ 181 3.4 % 100.0 % $ 195 4.5 % 107 4.5% 1,117 1,091 7.8 % 100.0
Slide 24: 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% 258,318 $ 76,737 2.8% $ 352 5
Slide 25: Mortgage Servicing Rights UPB Roll-forward
Mortgage Servicing Rights UPB Roll-forward $ millions Q3-2025 Q2-2025 Q1-2025 Q4-2024 Q3-2024 UPB at beginning of period $ 198,823 $ 196,773 $ 200,317 $ 202,052 $ 209,390 Bulk purchases of mortgage servicing rights — 6,385 — 2,063 2,573 Flow purchases of mortgage servicing rights 664 170 155 376 715
Slide 26: Serviced Mortgage Assets
Serviced Mortgage Assets 9/30/2025 6/30/2025 Unpaid Principal Unpaid Principal Balance Balance Number of Loans ($ millions) Number of Loans ($ millions) Mortgage servicing rights 720,038 $ 175,821 805,261 $ 198,823 Subservicing(1) 135,706 30,204 59,361 11,106 Servicing administrator(2) 519 278 529 2
Slide 27: Financing
Financing $ millions Repurchase Revolving Credit Warehouse Lines Outstanding Borrowings and Maturities(1) Agreements Facilities of Credit Senior Notes Convertible Notes Total Borrowings Percent (%) Within 30 days $ 2,236.0 $ — $ — $ — $ — $ 2,236.0 26.5 % 30 to 59 days 710.8 — — — — 710.8 8.4 % 60 t
Slide 28: Futures
Futures Weighted Average Type & Maturity Notional Amount ($M) Carrying Value ($M)(1) Months to Expiration U.S. Treasury futures 2 year $ (1,613.4) $ — 3.0 5 year (1,159.4) — 3.0 10 year (502.7) — 2.6 20 year 257.3 — 2.6 Eris SOFR swap futures 5 year (1,200.0) — 62.6 10 year (830.0) — 122.6 SOFR futu
Slide 29: Interest Rate Swaps
Interest Rate Swaps Maturities Notional Amount ($M) Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) Payers ≤ 1 year $ 3,803.1 4.050 % 4.240 % 0.5 > 1 and ≤ 3 years 3,296.3 3.473 % 4.240 % 2.1 > 3 and ≤ 5 years 3,108.3 3.576 % 4.240 % 4.4 > 5 and ≤ 7 years 2,111.1 3.752 % 4.240 %
Slide 30: 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 31: 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 32: End Notes (continued)
End Notes (continued) PAGE 17 - Effective Coupon Positioning 1. Represents UMBS TBA market prices as of September 30, 2025. 2. Specified pools include securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $
Slide 33: End Notes (continued)
End Notes (continued) PAGE 22 - Q3-2025 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 34: End Notes (continued)
End Notes (continued) PAGE 26 - 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
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Two Harbors Investment — Q3 2025 Earnings Presentation on 6ix