Hedge Benefits of MSR Result in Stable
Performance During Volatile Quarter
Two Harbors Investment Corp. (NYSE: TWO), an Agency + MSR
mortgage real estate investment trust (REIT), today announced its
financial results for the quarter ended March 31, 2021.
Quarterly Summary
- Reported book value of $7.29 per common share, representing a
(2.2)% quarterly return on book value(1)
- Generated Comprehensive Income of $(48.5) million, representing
an annualized return on average common equity of (9.3)%
- Reported Core Earnings of $45.8 million, or $0.17 per weighted
average basic common share(2)
- Declared a first quarter common stock dividend of $0.17 per
share
- Continued strength in mortgage servicing rights (MSR) flow-sale
program; settled $21.3 billion unpaid principal balance (UPB) of
MSR
- Closed on an additional $1.1 billion UPB of MSR and executed
term sheets on an additional $7.2 billion of UPB of MSR through
bulk purchases
- Executed on actions to optimize liability and capital
structure:
- Issued $287.5 million principal amount of 5-year convertible
senior notes due 2026
- Repurchased and retired $143.7 million principal amount of
convertible senior notes due 2022
- Completed the redemption of $75 million Series D and $200
million Series E preferred shares
- Expanded funding capacity with the closing of a $300 million
MSR asset financing facility, of which $225 million is
committed
Post Quarter End Update
- Executed term sheets on $6.1 billion UPB of MSR through bulk
purchases
“With mortgage spreads at historically tight levels, our Agency
+ MSR strategy, with its lower exposure to mortgage spreads, is
especially attractive,” stated Bill Greenberg, Two Harbors’
President and Chief Executive Officer. “As spreads normalize, we
expect to increase leverage and deploy excess capital at more
attractive levels. In the meantime, we are committed to growing our
MSR portfolio and have expanded our funding capacity to execute on
that strategy.”
(1) Return on book value is defined as the increase (decrease)
in book value per common share from the beginning to the end of the
given period, plus dividends declared in the period, divided by
book value as of the beginning of the period.
(2) Core Earnings is a non-GAAP measure. Please see page 11 for
a definition of Core Earnings and a reconciliation of GAAP to
non-GAAP financial information.
Operating Performance
The following table summarizes the company’s GAAP and non-GAAP
earnings measurements and key metrics for the first quarter of 2021
and fourth quarter of 2020:
Two Harbors Investment Corp. Operating
Performance (unaudited)
(dollars in thousands, except per common
share data)
Three Months Ended
March 31, 2021
Three Months Ended
December 31, 2020
Earnings
attributable to common stockholders
Earnings
Per weighted average basic
common share
Annualized return on average
common equity
Earnings
Per weighted average basic
common share
Annualized return on average
common equity
Comprehensive (Loss) Income
$
(48,512)
$
(0.18)
(9.3)
%
$
113,481
$
0.41
22.1
%
GAAP Net Income
$
222,941
$
0.81
42.8
%
$
192,220
$
0.70
37.4
%
Core Earnings(1)
$
45,830
$
0.17
8.8
%
$
82,007
$
0.30
15.9
%
Operating
Metrics
Dividend per common share
$
0.17
$
0.17
Annualized dividend yield(2)
9.3
%
10.7
%
Book value per common share at period
end
$
7.29
$
7.63
Return on book value(3)
(2.2)
%
5.8
%
Operating expenses, excluding non-cash
LTIP amortization and nonrecurring expenses(4)
$
11,914
$
14,673
Operating expenses, excluding non-cash
LTIP amortization and nonrecurring expenses, as a percentage of
average equity(4)
1.6
%
1.9
%
___________
(1)
Please see page 11 for a definition of
Core Earnings and a reconciliation of GAAP to non-GAAP financial
information.
(2)
Dividend yield is calculated based on
annualizing the dividends declared in the given period, divided by
the closing share price as of the end of the period.
(3)
Return on book value is defined as the
increase (decrease) in book value per common share from the
beginning to the end of the given period, plus dividends declared
in the period, divided by the book value as of the beginning of the
period.
(4)
Excludes non-cash equity compensation
expense of $1.8 million for the first quarter of 2021 and $2.2
million for the fourth quarter of 2020 and nonrecurring expenses of
$2.0 million for the first quarter of 2021 and $1.5 million for the
fourth quarter of 2020.
“We grew the MSR portfolio despite high refinance rates,
demonstrating the strength of our platform,” stated Matt Koeppen,
Two Harbors’ Chief Investment Officer. “The MSR market remains
healthy and performance should be well-supported in a higher rate
environment. We expect to continue to source new servicing through
flow and bulk channels at attractive levels.”
Portfolio Summary
The company’s portfolio was comprised of $13.6 billion of Agency
residential mortgage-backed securities (RMBS), Agency Derivatives
and MSR as well as their associated notional hedges as of March 31,
2021. Additionally, the company held $5.0 billion bond equivalent
value of net long to-be-announced securities (TBAs).
The following tables summarize the company’s investment
portfolio as of March 31, 2021 and December 31, 2020:
Two Harbors Investment Corp.
Portfolio
(dollars in thousands)
Portfolio Composition
As of March 31, 2021
As of December 31,
2020
(unaudited)
(unaudited)
Agency
Fixed Rate
$
11,453,989
84.1
%
$
14,627,097
89.7
%
Other Agency(1)
64,011
0.4
%
72,411
0.4
%
Total Agency
11,518,000
84.5
%
14,699,508
90.1
%
Mortgage servicing rights(2)
2,091,761
15.4
%
1,596,153
9.8
%
Other
9,219
0.1
%
13,031
0.1
%
Aggregate Portfolio
$
13,618,980
$
16,308,692
Net TBA position(3)
5,024,575
5,481,479
Total Portfolio
$
18,643,555
$
21,790,171
Portfolio Metrics
Three Months Ended
March 31, 2021
Three Months Ended
December 31, 2020
(unaudited)
(unaudited)
Annualized portfolio yield during the
quarter(4)
2.25
%
2.26
%
Annualized cost of funds on average
borrowing balance during the quarter(5)
0.60
%
0.50
%
Annualized net yield for aggregate
portfolio during the quarter
1.65
%
1.76
%
________________
(1)
Other Agency includes hybrid ARMs and
Agency derivatives.
(2)
Based on the loans underlying the MSR
reported by subservicers on a month lag, adjusted for current month
purchases.
(3)
Represents bond equivalent value of TBA
position. Bond equivalent value is defined as notional amount
multiplied by market price. Accounted for as derivative instruments
in accordance with GAAP.
(4)
Includes interest income on RMBS and
servicing income net of servicing expenses and amortization on
MSR.
(5)
Cost of funds includes interest spread
income/expense associated with the portfolio's interest rate
swaps.
Portfolio Metrics Specific to
RMBS and Agency Derivatives
As of March 31, 2021
As of December 31,
2020
(unaudited)
(unaudited)
Weighted average cost basis of Agency
principal and interest securities(6)
$
104.90
$
104.95
Weighted average three month CPR on Agency
RMBS
30.8
%
27.0
%
Fixed-rate investments as a percentage of
aggregate RMBS and Agency Derivatives portfolio
99.4
%
99.4
%
Adjustable-rate investments as a
percentage of aggregate RMBS and Agency Derivatives portfolio
0.6
%
0.6
%
______________
(6)
Weighted average cost basis includes RMBS
principal and interest securities only. Average purchase price
utilized carrying value for weighting purposes.
Portfolio Metrics Specific to
MSR(1)
As of March 31, 2021
As of December 31,
2020
(dollars in thousands)
(unaudited)
(unaudited)
Unpaid principal balance
$
179,014,244
$
177,861,483
Gross weighted average coupon
3.6
%
3.7
%
Weighted average original FICO
score(2)
757
756
Weighted average original LTV
73
%
74
%
60+ day delinquencies
2.9
%
3.2
%
Net servicing fee
26.5 basis points
26.8 basis points
Three Months Ended
March 31, 2021
Three Months Ended
December 31, 2020
(unaudited)
(unaudited)
Fair value gains
$
327,438
$
2,522
Servicing income
$
107,119
$
100,549
Servicing expenses
$
24,221
$
22,595
Change in servicing reserves
$
661
$
1,591
________________
Note:
The company does not directly
service mortgage loans, but instead contracts with appropriately
licensed subservicers to handle substantially all servicing
functions in the name of the subservicer for the loans underlying
the company’s MSR.
(1)
Metrics exclude residential mortgage loans
in securitization trusts for which the company is the named
servicing administrator.
(2)
FICO represents a mortgage industry
accepted credit score of a borrower.
Other Investments and Risk
Management Metrics
As of March 31, 2021
As of December 31,
2020
(dollars in thousands)
(unaudited)
(unaudited)
Net long TBA notional amount(3)
$
4,800,000
$
5,197,000
Interest rate swaps notional, utilized to
economically hedge interest rate exposure (or duration)
15,221,597
12,646,341
Swaptions net notional, utilized as
macroeconomic hedges
—
3,750,000
Total interest rate swaps and swaptions
notional
$
15,221,597
$
16,396,341
________________
(3) Accounted for as derivative instruments in accordance with
GAAP.
Financing Summary
The following tables summarize the company’s financing metrics
and outstanding repurchase agreements, revolving credit facilities,
term notes and convertible senior notes as of March 31, 2021 and
December 31, 2020:
March 31, 2021
Balance
Weighted Average Borrowing
Rate
Weighted Average Months to
Maturity
Number of Distinct
Counterparties
(dollars in thousands, unaudited)
Repurchase agreements collateralized by
RMBS
$
11,676,062
0.24
%
3.29
19
Revolving credit facilities collateralized
by MSR and related servicing advance obligations
443,458
3.70
%
10.39
4
Term notes payable collateralized by
MSR
395,891
2.91
%
38.86
n/a
Unsecured convertible senior notes
423,337
6.25
%
41.31
n/a
Total borrowings
$
12,938,748
December 31, 2020
Balance
Weighted Average Borrowing
Rate
Weighted Average Months to
Maturity
Number of Distinct
Counterparties
(dollars in thousands, unaudited)
Repurchase agreements collateralized by
RMBS
$
15,143,898
0.28
%
1.91
20
Revolving credit facilities collateralized
by MSR and related servicing advance obligations
283,830
2.95
%
12.89
3
Term notes payable collateralized by
MSR
395,609
2.95
%
41.82
n/a
Unsecured convertible senior notes
286,183
6.25
%
12.53
n/a
Total borrowings
$
16,109,520
Borrowings by Collateral
Type
As of March 31, 2021
As of December 31,
2020
(dollars in thousands)
(unaudited)
(unaudited)
Collateral type:
Agency RMBS and Agency Derivatives
$
11,674,486
$
15,141,999
Mortgage servicing rights and related
servicing advance obligations
839,349
679,439
Other - secured
1,576
1,899
Other - unsecured(1)
423,337
286,183
Total
$
12,938,748
$
16,109,520
Debt-to-equity ratio at period-end(2)
4.8:1.0
5.2:1.0
Economic debt-to-equity ratio at
period-end(3)
6.4:1.0
6.8:1.0
Cost of Funds Metrics
Three Months Ended March 31,
2021
Three Months Ended December
31, 2020
(unaudited)
(unaudited)
Annualized cost of funds on average
borrowings during the quarter:
0.6
%
0.6
%
Agency RMBS and Agency Derivatives
0.3
%
0.3
%
Mortgage servicing rights and related
servicing advance obligations(4)
3.9
%
3.9
%
Other - secured
2.1
%
2.4
%
Other - unsecured(1)(4)
6.8
%
6.8
%
____________________
(1)
Unsecured convertible senior notes.
(2)
Defined as total borrowings to fund RMBS,
MSR and Agency Derivatives, divided by total equity.
(3)
Defined as total borrowings to fund RMBS,
MSR and Agency Derivatives, plus the implied debt on net TBA
positions, divided by total equity.
(4)
Includes amortization of debt issuance
costs.
Conference Call
Two Harbors Investment Corp. will host a conference call on May
6, 2021 at 9:00 a.m. EDT to discuss first quarter 2021 financial
results and related information. To participate in the
teleconference, please call toll-free 800-263-0877, conference code
5273239, approximately 10 minutes prior to the above start time.
You may also listen to the teleconference live via the Internet on
the company’s website at www.twoharborsinvestment.com in the Investors
section under the Events and Presentations link. For those unable
to attend, a telephone playback will be available beginning at
12:00 p.m. EDT on May 6, 2021, through 12:00 a.m. EDT on June 5,
2021. The playback can be accessed by calling 888-203-1112,
conference code 5273239. The call will also be archived on the
company’s website in the Investors section under the Events and
Presentations link.
Two Harbors Investment Corp.
Two Harbors Investment Corp., a Maryland corporation, is an
internally managed real estate investment trust that invests in
residential mortgage-backed securities, mortgage servicing rights
and other financial assets. Two Harbors is headquartered in
Minnetonka, MN. Additional information is available at www.twoharborsinvestment.com.
Forward-Looking Statements
This presentation 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 expectations, estimates and projections and,
consequently, readers should not rely on these forward-looking
statements as predictions of future events. Words such as “expect,”
“target,” “assume,” “estimate,” “project,” “budget,” “forecast,”
“anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,”
“believe,” “predicts,” “potential,” “continue,” and similar
expressions are intended to identify such forward-looking
statements. These forward-looking statements involve significant
risks and uncertainties that could cause actual results to differ
materially from expected results, including, among other things,
those described in our Annual Report on Form 10-K for the year
ended December 31, 2020, and any subsequent Quarterly Reports on
Form 10-Q, under the caption “Risk Factors.” Factors that could
cause actual results to differ include, but are not limited to: the
state of credit markets and general economic conditions; the
ongoing impact of the COVID-19 pandemic, and the actions taken by
federal and state governmental authorities and GSEs in response, on
the U.S. economy, financial markets and our target assets; changes
in interest rates and the market value of our assets; changes in
prepayment rates of mortgages underlying our target assets; the
rates of default or decreased recovery on the mortgages underlying
our target assets; declines in home prices; our ability to
establish, adjust and maintain appropriate hedges for the risks in
our portfolio; the availability and cost of our target assets; the
availability and cost of financing; changes in the competitive
landscape within our industry; our ability to effectively execute
and to realize the benefits of strategic transactions and
initiatives we have pursued or may in the future pursue; our
decision to terminate our management agreement with PRCM Advisers
LLC and the ongoing litigation with PRCM Advisers related to such
termination; our ability to manage various operational risks and
costs associated with our business; interruptions in or impairments
to our communications and information technology systems; our
ability to acquire (MSR) and successfully operate our
seller-servicer subsidiary and oversee our subservicers; the impact
of any deficiencies in the servicing or foreclosure practices of
third parties and related delays in the foreclosure process; our
exposure to legal and regulatory claims; legislative and regulatory
actions affecting our business; the impact of new or modified
government mortgage refinance or principal reduction programs; our
ability to maintain our REIT qualification; and limitations imposed
on our business due to our REIT status and our exempt status under
the Investment Company Act of 1940.
Readers are cautioned not to place undue reliance upon any
forward-looking statements, which speak only as of the date made.
Two Harbors does not undertake or accept any obligation to release
publicly any updates or revisions to any forward-looking statement
to reflect any change in its expectations or any change in events,
conditions or circumstances on which any such statement is based.
Additional information concerning these and other risk factors is
contained in Two Harbors’ most recent filings with the Securities
and Exchange Commission (SEC). All subsequent written and oral
forward-looking statements concerning Two Harbors or matters
attributable to Two Harbors or any person acting on its behalf are
expressly qualified in their entirety by the cautionary statements
above.
Non-GAAP Financial Measures
In addition to disclosing financial results calculated in
accordance with United States generally accepted accounting
principles (GAAP), this press release and the accompanying investor
presentation present non-GAAP financial measures, such as Core
Earnings and Core Earnings per basic common share that exclude
certain items. The non-GAAP financial measures presented by the
company provide supplemental information to assist investors in
analyzing the company’s results of operations and help facilitate
comparisons to industry peers. However, because these measures are
not calculated in accordance with GAAP, they should not be
considered a substitute for, or superior to, the financial measures
calculated in accordance with GAAP. The company’s GAAP financial
results and the reconciliations from these results should be
carefully evaluated. See the GAAP to non-GAAP reconciliation table
on page 11 of this release.
Additional Information
Stockholders of Two Harbors and other interested persons may
find additional information regarding the company at the SEC’s
Internet site at www.sec.gov or by
directing requests to: Two Harbors Investment Corp., Attn: Investor
Relations, 601 Carlson Parkway, Suite 1400, Minnetonka, MN, 55305,
telephone (612) 453-4100.
TWO HARBORS INVESTMENT
CORP.
CONDENSED CONSOLIDATED BALANCE
SHEETS
(dollars in thousands, except
share data)
March 31, 2021
December 31,
2020
(unaudited)
ASSETS
Available-for-sale securities, at fair
value (amortized cost $11,067,188 and $14,043,175, respectively;
allowance for credit losses $18,170 and $22,528, respectively)
$
11,473,390
$
14,650,922
Mortgage servicing rights, at fair
value
2,091,761
1,596,153
Cash and cash equivalents
1,159,306
1,384,764
Restricted cash
812,654
1,261,667
Accrued interest receivable
40,527
47,174
Due from counterparties
60,293
146,433
Derivative assets, at fair value
55,145
95,937
Reverse repurchase agreements
76,000
91,525
Other assets
222,839
241,346
Total Assets
$
15,991,915
$
19,515,921
LIABILITIES AND STOCKHOLDERS’
EQUITY
Liabilities:
Repurchase agreements
$
11,676,062
$
15,143,898
Revolving credit facilities
443,458
283,830
Term notes payable
395,891
395,609
Convertible senior notes
423,337
286,183
Derivative liabilities, at fair value
16,162
11,058
Due to counterparties
144,270
135,838
Dividends payable
60,384
65,480
Accrued interest payable
11,906
21,666
Other liabilities
99,729
83,433
Total Liabilities
13,271,199
16,426,995
Stockholders’ Equity:
Preferred stock, par value $0.01 per
share; 100,000,000 shares authorized and 29,050,000 and 40,050,000
shares issued and outstanding, respectively ($726,250 and
$1,001,250 liquidation preference, respectively)
702,550
977,501
Common stock, par value $0.01 per share;
700,000,000 shares authorized and 273,718,537 and 273,703,882
shares issued and outstanding, respectively
2,737
2,737
Additional paid-in capital
5,165,683
5,163,794
Accumulated other comprehensive income
370,148
641,601
Cumulative earnings
1,265,913
1,025,756
Cumulative distributions to
stockholders
(4,786,315
)
(4,722,463
)
Total Stockholders’ Equity
2,720,716
3,088,926
Total Liabilities and Stockholders’
Equity
$
15,991,915
$
19,515,921
TWO HARBORS INVESTMENT
CORP.
CONDENSED CONSOLIDATED
STATEMENTS OF COMPREHENSIVE LOSS
(dollars in thousands)
Certain prior period amounts have
been reclassified to conform to the current period presentation
Three Months Ended
March 31,
2021
2020
(unaudited)
Interest income:
Available-for-sale securities
$
55,652
$
248,684
Other
457
6,823
Total interest income
56,109
255,507
Interest expense:
Repurchase agreements
8,470
152,605
Revolving credit facilities
4,695
3,531
Term notes payable
3,211
4,804
Convertible senior notes
6,350
4,776
Federal Home Loan Bank advances
—
1,592
Total interest expense
22,726
167,308
Net interest income
33,383
88,199
Other income (loss):
Gain (loss) on investment securities
132,868
(1,081,607
)
Servicing income
107,119
130,797
Gain (loss) on servicing asset
327,438
(586,665
)
Loss on interest rate swap and swaption
agreements
(15,599
)
(250,596
)
Loss on other derivative instruments
(276,011
)
(133,468
)
Other (loss) income
(5,742
)
798
Total other income (loss)
270,073
(1,920,741
)
Expenses:
Management fees
—
14,550
Servicing expenses
24,947
19,905
Compensation and benefits
8,188
8,277
Other operating expenses
7,487
6,801
Restructuring charges
—
719
Total expenses
40,622
50,252
Income (loss) before income
taxes
262,834
(1,882,794
)
Provision for (benefit from) income
taxes
22,677
(13,138
)
Net income (loss)
240,157
(1,869,656
)
Dividends on preferred stock
17,216
18,950
Net income (loss) attributable to
common stockholders
$
222,941
$
(1,888,606
)
Basic earnings (loss) per weighted average
common share
$
0.81
$
(6.91
)
Diluted earnings (loss) per weighted
average common share
$
0.74
$
(6.91
)
Dividends declared per common share
$
0.17
$
—
Weighted average number of shares of
common stock:
Basic
273,710,765
273,392,615
Diluted
311,465,060
273,392,615
TWO HARBORS INVESTMENT
CORP.
CONDENSED CONSOLIDATED
STATEMENTS OF COMPREHENSIVE LOSS, CONTINUED
(dollars in thousands)
Certain prior period amounts have
been reclassified to conform to the current period presentation
Three Months Ended
March 31,
2021
2020
(unaudited)
Comprehensive loss:
Net income (loss)
$
240,157
$
(1,869,656
)
Other comprehensive loss, net of
tax:
Unrealized loss on available-for-sale
securities
(271,453
)
(198,070
)
Other comprehensive loss
(271,453
)
(198,070
)
Comprehensive loss
(31,296
)
(2,067,726
)
Dividends on preferred stock
17,216
18,950
Comprehensive loss attributable to
common stockholders
$
(48,512
)
$
(2,086,676
)
TWO HARBORS INVESTMENT
CORP.
RECONCILIATION OF GAAP TO
NON-GAAP FINANCIAL INFORMATION
(dollars in thousands, except
share data)
Certain prior period amounts have
been reclassified to conform to the current period presentation
Three Months
Ended March 31,
Three Months Ended
December 31,
2021
2020
(unaudited)
(unaudited)
Reconciliation of Comprehensive (loss)
income to Core Earnings:
Comprehensive (loss) income attributable
to common stockholders
$
(48,512
)
$
113,481
Adjustment for other comprehensive loss
attributable to common stockholders:
Unrealized loss on available-for-sale
securities
271,453
78,739
Net income attributable to common
stockholders
$
222,941
$
192,220
Adjustments for non-Core Earnings:
Realized gain on securities
(69,194
)
(52,082
)
Unrealized (gain) loss on securities
(62,539
)
10,210
(Reversal of) provision for credit
losses
(1,135
)
4,509
Realized and unrealized gain on mortgage
servicing rights
(390,704
)
(61,968
)
Realized loss on termination or expiration
of swaps and swaptions
6,350
2,546
Unrealized loss on interest rate swaps and
swaptions
10,899
14,096
Loss (gain) on other derivative
instruments
294,952
(37,752
)
Other loss (income)
5,817
(399
)
Change in servicing reserves
661
1,591
Non-cash equity compensation expense
1,790
2,243
Other nonrecurring expenses
1,971
1,541
Change in restructuring charges
—
(294
)
Net provision for income taxes on non-Core
Earnings
24,021
5,546
Core Earnings attributable to common
stockholders(1)
$
45,830
$
82,007
Weighted average basic common shares
273,710,765
273,699,079
Core Earnings attributable to common
stockholders per weighted average basic common share
$
0.17
$
0.30
_
(1)
Core Earnings is a non-U.S. GAAP measure
that we define as comprehensive loss attributable to common
stockholders, excluding “realized and unrealized gains and losses”
(impairment losses, provision for credit losses, realized and
unrealized gains and losses on the aggregate portfolio, reserve
expense for representation and warranty obligations on MSR,
non-cash compensation expense related to restricted common stock,
other nonrecurring expenses and restructuring charges). As defined,
Core Earnings includes net interest income, accrual and settlement
of interest on derivatives, dollar roll income on TBAs, servicing
income, net of estimated amortization on MSR, management fees and
recurring cash related operating expenses. Dollar roll income is
the economic equivalent to holding and financing Agency RMBS using
short-term repurchase agreements. Core Earnings provides
supplemental information to assist investors in analyzing the
Company’s results of operations and helps facilitate comparisons to
industry peers.
TWO HARBORS INVESTMENT
CORP.
SUMMARY OF QUARTERLY CORE
EARNINGS
(dollars in millions, except per
share data)
Certain prior period amounts have
been reclassified to conform to the current period presentation
Three Months Ended
March 31, 2021
December 31,
2020
September 30,
2020
June 30, 2020
March 31, 2020
(unaudited)
Net Interest Income:
Interest income
$
56.1
$
72.5
$
89.7
$
107.3
$
255.5
Interest expense
22.7
22.6
29.2
62.1
167.3
Net interest income
33.4
49.9
60.5
45.2
88.2
Other income:
Servicing income, net of
amortization(1)
43.9
41.1
42.2
51.0
55.2
Interest spread on interest rate swaps
1.7
2.0
0.8
(56.3
)
(12.6
)
Gain on other derivative instruments
18.9
43.5
32.9
11.9
5.3
Other income
0.1
0.1
0.1
0.1
0.1
Total other income
64.5
86.7
76.0
6.7
48.0
Expenses
36.2
37.3
43.5
46.8
47.0
Core Earnings before income taxes
61.7
99.3
93.0
5.1
89.2
Income tax (benefit) expense
(1.3
)
(1.7
)
(1.5
)
0.6
2.6
Core Earnings
63.0
101.0
94.5
4.5
86.6
Dividends on preferred stock
17.2
19.0
18.9
19.0
19.0
Core Earnings attributable to common
stockholders(2)
$
45.8
$
82.0
$
75.6
$
(14.5
)
$
67.6
Weighted average basic Core EPS
$
0.17
$
0.30
$
0.28
$
(0.05
)
$
0.25
Core earnings return on average common
equity
8.8
%
15.9
%
15.7
%
(3.1
)%
7.3
%
________________
(1)
Amortization refers to the portion of
change in fair value of MSR primarily attributed to the realization
of expected cash flows (runoff) of the portfolio. This amortization
has been deducted from Core Earnings. Amortization of MSR is deemed
a non-GAAP measure due to the company’s decision to account for MSR
at fair value.
(2)
Please see page 11 for a definition of
Core Earnings and a reconciliation of GAAP to non-GAAP financial
information.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20210505006104/en/
Paulina Sims, Senior Director, Investor Relations, Two Harbors
Investment Corp., (612)-446-5431,
Paulina.Sims@twoharborsinvestment.com
Two Harbors Investment (NYSE:TWO)
Historical Stock Chart
From Mar 2024 to Apr 2024
Two Harbors Investment (NYSE:TWO)
Historical Stock Chart
From Apr 2023 to Apr 2024