Company Overview - Two Harbors Investment Corporation specializes in agency residential mortgage-backed securities (RMBS), which constitute 62% of its balance sheet, and mortgage servicing rights (MSR), making up 23% of its asset base [6][31] - As of March 31, 2024, the company has a portfolio valued at $14.7 billion [7] Performance and Returns - The Series B 7.625% preferred shares have significantly outperformed the iShares Preferred and Income Securities ETF (PFF) in 2024, delivering a low double-digit total return compared to the mid-single-digit return of the benchmark ETF [6][33] - The Series B shares offer an approximate 8.27% dividend yield and a capital appreciation potential of 8.46% to par value, which is higher than the Series A shares [30][33] Dividend Coverage - In Q1 2024, the company paid $11.8 million in cumulative preferred dividends, representing only 5.8% of its $203.6 million net income before preferred distributions [26] - The company has maintained strong preferred dividend coverage over the past few years, with coverage ratios of 2.35 times based on equity market capitalization of $1.46 billion [31] Leverage and Debt Ratios - The company has leveraged its common equity 8.25 times, with an economic debt-to-equity ratio of 6.0 when accounting for agency-to-be-announced securities [19][30] - The preferred shares are well-covered by shareholders' equity adjusted for preferred shares, standing at $1.6 billion [31] Interest Rate and Mortgage Spread Exposure - The company is well-hedged against interest rate exposure, with a potential portfolio impact of only -0.2% to -0.3% from a 0.25% move in rates [27] - A 5.3% increase in mortgage spreads could negatively affect the portfolio by 5.3% [27] Outlook on Monetary Policy - The Federal Reserve is projected to lower rates to 3.75-4.00% by July 2025, which would likely enhance the value of RMBS held by the company [36] - The company expects to benefit from lower interest rates through reduced rates on its repurchase agreements, which are tied to the secured overnight financing rate (SOFR) [39]

Two Harbors Investment Corp. (NYSE:TWO) Q1 2024 Earnings Conference Call April 30, 2024 9:00 AM ET Company Participants Maggie Karr - Head of IR William Greenberg - President and CEO Mary Riskey - CFO Nicholas Letica - CIO Conference Call Participants Doug Harter - UBS Trevor Cranston - JMP Securities Bose George - KBW Jason Weaver - Jones Trading Rick Shane - JPMorgan Eric Hagen - BTIG Operator Good morning. My name is Jennifer and I will be your conference facilitator. At this time, I'd like to welcome ev ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Quarterly Period Ended: March 31, 2024 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Commission File Number 001-34506 TWO HARBORS INVESTMENT CORP. (Exact Name of Registrant as Specified in Its Charter) Maryland 27-0312904 (State or Other Jurisdiction of Incorporation or Organization) ...

Two Harbors Investment Corp. Reports First Quarter 2024 Financial Results Positioned for Higher-for-Longer Rates with Growing MSR Portfolio and Operational Platform NEW YORK, April 29, 2024 - Two Harbors Investment Corp. (NYSE: TWO), an MSR + Agency RMBS real estate investment trust (REIT), today announced its financial results for the quarter ended March 31, 2024. Quarterly Summary "Stronger than expected economic data and sticky inflation readings pushed interest rates higher in the quarter, though the co ...

Financial Performance - For the year ended December 31, 2023, cash flows from operating activities increased cash balances by approximately $343.5 million, primarily driven by financial results for the year[278]. - Cash flows from investing activities decreased cash balances by approximately $195.8 million, mainly due to purchases of Agency RMBS, MSR, and derivative instruments[278]. - Cash flows from financing activities decreased cash balances by approximately $479.4 million, primarily due to repayment of U.S. Treasury securities and payment of dividends[278]. - The company reported a net loss of $(106,371) compared to a net income of $220,239 in 2022, marking a substantial downturn[324]. - The company experienced a comprehensive loss of $(4,089) compared to $(244,818) in 2022, indicating a reduced loss in comprehensive income[324]. - The company reported revenue of $806.9 million, a decrease from $889.2 million in 2022[406]. Asset Management - The company holds $3.1 billion in mortgage servicing rights (MSR) reported at fair value, with significant unobservable market data inputs affecting valuation[314]. - The fair value of MSR is subject to fluctuations based on prepayment speeds and market conditions, impacting the overall asset valuation[299]. - Total assets decreased to $13,138,800 from $13,466,160, a decline of approximately 2.4% year-over-year[321]. - Total assets acquired from RoundPoint amounted to $80.3 million, while total liabilities assumed were $63.2 million, resulting in net assets of $17.1 million[401]. Interest Rate Risk - An increase in short-term interest rates could reduce the spread between returns on assets and borrowing costs, adversely affecting profitability[91]. - Rising interest rates could decrease the availability of target assets, adversely impacting the company's ability to generate income and pay dividends[118]. - The company anticipates that changes in interest rates could significantly impact net interest income and portfolio value, with sensitivity analyses conducted for +/- 25 and +/- 50 basis points[290]. - Interest income increased to $480,364, up 62.3% from $295,540 in 2022, while interest expense surged to $643,225, up 148.5% from $258,395[324]. Acquisition and Integration - The company acquired RoundPoint Mortgage Servicing LLC, enhancing its operational capabilities and expected to generate cost savings[336]. - RoundPoint became a consolidated wholly owned subsidiary of the Company effective September 30, 2023, after satisfying customary closing conditions and receiving regulatory approvals[349]. - Goodwill from the acquisition was calculated at $27.5 million, primarily due to expected synergies and benefits from combining operations[402]. - The Company recognized acquisition-related costs of $1.3 million and $0.8 million for the years ended December 31, 2023 and 2022, respectively[403]. Compliance and Regulatory Risks - Compliance with GSEs' guidelines is critical for the company's ability to own and manage MSR and service mortgage loans[101]. - The company is subject to risks associated with the use of third-party service providers, which could negatively impact financial condition and results of operations[99]. - The company may face risks related to its qualification as a REIT, including potential tax liabilities if it fails to meet certain requirements[134][135]. - The company is required to make servicing advances that may not be recoverable, which could adversely impact liquidity and financial condition[120]. Shareholder Dynamics - The company has ownership limits in its charter that restrict the ability of individuals to purchase shares beyond specified thresholds, potentially impacting control dynamics[123]. - The company has not established a minimum distribution payment level and cannot assure stockholders of its ability to pay distributions in the future[131]. - Future issuances of common stock may depress the market price and dilute existing stockholders' interests[128][129]. - The market price of the company's common stock may be highly volatile, influenced by various factors including changes in financial estimates by analysts and general economic conditions[132][133]. Risk Management - The company is highly dependent on information technology, and any system failures or security breaches could disrupt operations and adversely affect financial results[92]. - The company’s risk management processes include both portfolio-wide and asset-specific measures to manage credit quality, interest rates, and liquidity[277]. - The company actively manages its portfolio and continuously adjusts the size and composition of its asset and hedge portfolio to mitigate interest rate risk[294]. - The company employs interest rate risk management techniques to mitigate the influence of interest rate changes on asset values, including the use of derivatives[280]. Financial Liabilities - The company has issued and outstanding $271.9 million aggregate principal amount of 6.25% convertible senior notes due January 2026[90]. - The company may incur losses if a counterparty to a repurchase agreement defaults on its obligation to resell the underlying security[87]. - The company is subject to a 100% excise tax on certain non-arm's-length transactions between a TRS and its parent REIT, emphasizing the importance of compliance with TRS regulations[146]. - The company’s convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs[378].

Two Harbors Investment Corp. (NYSE:TWO) Q4 2023 Earnings Conference Call January 30, 2024 9:00 AM ET Company Participants Maggie Karr - Head of Investor Relations William Greenberg - President and Chief Executive Officer Mary Riskey - Vice President and Chief Financial Officer Nicholas Letica - Vice President and Chief Investment Officer Conference Call Participants Douglas Harter - UBS Trevor Cranston - JMP Securities Eric Hagen - BTIG Kenneth Lee - RBC Capital Markets Bose George - Keefe, Bruyette & Woods ...

An MSR + Agency REIT JANUARY 30, 2024 FORWARD-LOOKING STATEMENTS 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 sho ...

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Two Harbors Investment Corp. (NYSE:TWO) Q3 2023 Earnings Conference Call October 31, 2023 10:00 AM ET Company Participants Maggie Karr - Head of Investor Relations William Greenberg - President and Chief Executive Officer Mary Riskey - Vice President and Chief Financial Officer Nicholas Letica - Vice President and Chief Investment Officer Conference Call Participants Bose George - Keefe, Bruyette, & Woods, Inc. Trevor Cranston - JMP Securities LLC Arren Cyganovich - Citi Eric Hagen - BTIG Operator Greetings ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Quarterly Period Ended: September 30, 2023 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Commission File Number 001-34506 TWO HARBORS INVESTMENT CORP. (Exact Name of Registrant as Specified in Its Charter) Maryland 27-0312904 (State or Other Jurisdiction of Incorporation or Organizat ...