Two Harbors Investment (US:TWO)2021-05-06 14:19Financial Performance - The company reported a book value of $729 per common share, representing a (22)% quarterly return on book value[7] - The company generated a Comprehensive Loss of $(485) million, representing an annualized return on average common equity of (93)%[7] - Core Earnings were $458 million, or $017 per weighted average basic common share[7] - A first quarter common stock dividend of $017 per share was declared[7] MSR Portfolio Activity - The company settled $213 billion unpaid principal balance (UPB) of MSR through flow-sale arrangements and closed on an additional $11 billion of UPB of MSR through bulk purchases[7, 25] - Term sheets were executed on an additional $72 billion UPB of MSR through bulk purchases, with a further $61 billion UPB of MSR after the quarter ended[7, 8] - The MSR fair value increased by over 30%, benefiting from higher rates and a steeper curve[44] Financing and Capital Structure - The company issued $2875 million principal amount of 5-year convertible senior notes due 2026[7] - $1437 million principal amount of convertible senior notes due 2022 were repurchased and retired[7] - The company completed the redemption of $75 million Series D and $200 million Series E preferred shares[7] - Funding capacity was expanded with the closing of a $300 million MSR asset financing facility, of which $225 million is committed[7] Portfolio Composition and Strategy - The company sold $21 billion of specified pool positions and added $131 million of interest-only securities (IOs)[25] - The net TBA position declined $460 million during the quarter[25] - Economic debt-to-equity was 64x at March 31, 2021, compared to 68x at December 31, 2020[24]