Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Q4 2025 Earnings Presentation
35 slides from Two Harbors Investment's earnings presentation, Feb 3, 2026
Slide 1: An MSR-Focused REIT: Fourth Quarter Earnings Call Presentation
An MSR-Focused REIT Fourth Quarter Earnings Call Presentation February 3, 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 Income per Share on Book Value(1) $11.13 $0.48 3.9% Common Stock Investment Quarter-End Economic Dividend Portfolio(2) Debt-to-Equity(3) $0.34 $13.2b 7.0x Note: Financial data throughout this presentation is as of or fo
Slide 4: Markets Overview
Markets Overview Positive Performance Across RMBS + MSR Strategy • The Federal Reserve delivered two 25 basis point cuts to its benchmark rate, in line with market expectations • By the end of the quarter, the yield curve had reached its steepest level since January 2022 ◦ 2-year U.S. Treasury yield
Slide 5: RoundPoint Operations Update
RoundPoint Operations Update Cost Efficiencies Additional Income Hedges Portfolio TWO + RoundPoint Direct-to-consumer protects value of Focused on additional operational Subservicing, direct-to-consumer Benefits TWO’s MSR portfolio when interest efficiencies to deliver lower cost-to- originations, a
Slide 6: Book Value Summary
Book Value Summary ($ in millions, except per share data) Represents Comprehensive Income of $50.4 million, or $0.48 per common share 3.9% quarterly economic return on book value(1) $51.7 $11.13 per $(13.0) $11.04 per $1.7 common share $11.7 common share $(35.9) $1,166.1 $1,149.9 Declared common sto
Slide 7: Comprehensive Income (Loss) Summary
Comprehensive Income (Loss) Summary MSR sales drove ($ in millions, except per share data) decrease in servicing income, partially offset by lower financing rates $139.2 Q4 Comprehensive $126.2 Income of $0.48 per Higher operating weighted average expenses, primarily common share Includes income fro
Slide 8: Financing Profile
Financing Profile BALANCE SHEET AS OF DECEMBER 31, 2025 AGENCY RMBS • $6.6 billion of outstanding repurchase agreements with 16 counterparties • Weighted average days to maturity of 54 days 2021 2022 2023 2024 2025 40 Average Repo Rate - SOFR (1) Agency RMBS repurchase Agency RMBS $6.6 billion agree
Slide 9: Portfolio Composition and Risk Positioning
Portfolio Composition and Risk Positioning I. PORTFOLIO COMPOSITION(1) II. INTEREST RATE EXPOSURE(4) At December 31, 2025, $13.2 billion portfolio —% Change in common Includes $9.0 billion settled positions book value 25 8.0x (1.0)% (0.8)% (0.9)% 7.0x 7.2x 7.0x (1.1)% (1.2)% 6.2x (2.0)% Market Value
Slide 10: Agency RMBS Investment Landscape
Agency RMBS Investment Landscape STRONG QUARTER FOR RMBS WITH LOW REALIZED VOLATILITY • Realized and implied volatility continued to decline to pre-COVID levels, with 2-year/10-year swaption implied volatility down to 79 basis points, 4 basis points below its 10- year average, and the yield curve st
Slide 11: Agency RMBS Portfolio
Agency RMBS Portfolio QUARTERLY HIGHLIGHTS • Hedged performance for Agency RMBS across the stack was positive in the fourth quarter • For the coupons that TWO owned, specified pools outperformed TBAs led by 4.5s and 5.0s, where we have our largest pool exposure • Agency RMBS pass-through position wa
Slide 12: MSR Investment Landscape
MSR Investment Landscape MSR MARKET CONTINUES TO BE WELL SUPPORTED • Demand remains strong for MSR amongst the origination and investor communities • The housing market remains slow, with weak winter seasonals; no near-term material change in turnover rates anticipated • With rates around 6.25%, abo
Slide 13: MSR Portfolio
MSR Portfolio QUARTERLY HIGHLIGHTS • Price multiple consistent quarter-over-quarter at 5.8x • Added $399.1 million UPB through flow acquisitions and recapture • Sold $9.6 billion UPB of MSR on a subservicing-retained basis • Weighted average 3-month CPR increased to 6.4% CPR from 6.0% in Q3, reflect
Slide 14: Return Potential and Outlook
Return Potential and Outlook ATTRACTIVE RETURN OPPORTUNITIES FOR UNIQUELY POSITIONED PORTFOLIO PORTFOLIO MARKET VALUE INVESTED CAPITAL As of December 31, 2025 ($ millions) ALLOCATED(1) STATIC RETURN ESTIMATE(2) SERVICING MSR 2,422 RMBS(3) 5,055 Total 7,477 65% 10% - 13% SECURITIES RMBS(3) 4,859 Othe
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 3.0 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) 2.7 % 0.7 % (3.1)% 0.3 % 0 -25 Bull Flattener (4) 5.0 % (5.0)% (1.2)% (1.2
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% $(1.6) $(80.2) (6.3)% $-150 -10% $(221.8) (14.5)% $-300 -20% Q4-2024 Q1-2025 Q2-2025 Q3-2025 Q4-2025 Q4-2024 Q1-2025 Q2-2025 Q3-2025 Q4-2025 Comprehensive Incom
Slide 20: Net Interest, Servicing and Mark-to-Market Detail
Net Interest, Servicing and Mark-to-Market Detail ($ in millions, except per share data) Mark-to-Market MSR portfolio runoff and market movement on swaps, $162.7 partially offset by positive $141.7 market movement on Agency RMBS, TBAs and futures driven by bull steepening in rates $68.9 $44.8 $37.3
Slide 21: Q4-2025 Portfolio Yields and Financing Costs
Q4-2025 Portfolio Yields and Financing Costs ($ thousands) Average Amortized Portfolio Asset Type Measure Cost Income(1) Average Yield Available-for-sale securities GAAP $ 6,589,521 $ 81,964 4.98% Mortgage loans held-for-sale GAAP 12,868 203 6.31% 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% 1,090 1,074 8.1 % 100.0 % $ 1,090 5.2 % 42 5.0% 1,429 1,442 8.0 % 100.
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% 248,086 $ 73,206 2.8% $ 350 5
Slide 24: Mortgage Servicing Rights UPB Roll-forward
Mortgage Servicing Rights UPB Roll-forward $ millions Q4-2025 Q3-2025 Q2-2025 Q1-2025 Q4-2024 UPB at beginning of period $ 175,821 $ 198,823 $ 196,773 $ 200,317 $ 202,052 Bulk purchases of mortgage servicing rights — — 6,385 — 2,063 Flow purchases of mortgage servicing rights 330 664 170 155 376 Ori
Slide 25: Serviced Mortgage Assets
Serviced Mortgage Assets 12/31/2025 9/30/2025 Unpaid Principal Unpaid Principal Balance Balance Number of Loans ($ millions) Number of Loans ($ millions) Mortgage servicing rights 675,215 $ 162,450 720,038 $ 175,821 Subservicing(1) 178,356 40,492 135,706 30,204 Servicing administrator(2) 514 273 519
Slide 26: 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 $ 2,251.0 $ — $ — $ — $ 261.8 $ 2,512.8 29.4 % 30 to 59 days 1,744.7 — 0.7 — — 1,745.4
Slide 27: Futures
Futures Weighted Average Type & Maturity Notional Amount ($M) Carrying Value ($M)(1) Months to Expiration U.S. Treasury futures 2 year $ (1,448.0) $ — 3.0 5 year (1,047.4) — 3.0 10 year (115.7) — 2.6 20 year 283.3 — 2.6 Eris SOFR swap futures 5 year (1,200.0) — 62.6 10 year (830.0) — 122.6 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 year $ 1,968.9 4.087 % 3.870 % — > 1 and ≤ 3 years 2,956.6 3.412 % 3.870 % 1.9 > 3 and ≤ 5 years 1,761.4 3.589 % 3.870 % 3.9 > 5 and ≤ 7 years 1,112.8 3.680 % 3.870 % 6
Slide 29: Tax Characterization of Dividends in 2025
Tax Characterization of Dividends in 2025 Full Year 2025 Distribution Summary • Generated REIT taxable loss of $(76.3) million, before dividend distributions and net operating loss deductions ◦ Current year taxable loss created net operating loss, which can be carried forward indefinitely to offset
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. Data as of J
Slide 32: End Notes (continued)
End Notes (continued) PAGE 16 - Effective Coupon Positioning 1. Represents UMBS TBA market prices as of December 31, 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 $3
Slide 33: End Notes (continued)
End Notes (continued) PAGE 21 - 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 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
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Two Harbors Investment — Q4 2025 Earnings Presentation on 6ix