TWO Reports Third Quarter 2024 Financial Results
Two Harbors Investment Corp. (TWO) reported its Q3 2024 financial results, generating Comprehensive Income of $19.3 million ($0.18 per share). The company declared a quarterly dividend of $0.45 per share and reported book value of $14.93 per share, representing a 1.3% quarterly economic return. TWO settled $3.3 billion in MSR acquisitions and completed its first full quarter of direct-to-consumer originations. The portfolio comprised $11.4 billion of Agency RMBS, MSR, and other securities, plus $5.0 billion in TBA positions. Post-quarter, TWO committed to purchase an additional $2.1 billion UPB of MSR.
Two Harbors Investment Corp. (TWO) ha riportato i risultati finanziari del terzo trimestre 2024, generando un Reddito Complessivo di 19,3 milioni di dollari (0,18 $ per azione). L'azienda ha dichiarato un dividendo trimestrale di 0,45 $ per azione e ha riportato un valore contabile di 14,93 $ per azione, rappresentando un ritorno economico trimestrale dell'1,3%. TWO ha concluso acquisizioni di MSR per 3,3 miliardi di dollari e ha completato il suo primo trimestre pieno di origini dirette al consumatore. Il portafoglio comprendeva 11,4 miliardi di dollari in Agency RMBS, MSR e altri titoli, oltre a 5,0 miliardi di dollari in posizioni TBA. Dopo il trimestre, TWO ha impegnato ad acquistare ulteriori 2,1 miliardi di dollari di UPB in MSR.
Two Harbors Investment Corp. (TWO) informó sobre sus resultados financieros del tercer trimestre de 2024, generando un Ingreso Total de 19,3 millones de dólares (0,18 $ por acción). La compañía declaró un dividendo trimestral de 0,45 $ por acción y reportó un valor contable de 14,93 $ por acción, lo que representa un retorno económico trimestral del 1,3%. TWO finalizó adquisiciones de MSR por 3,3 mil millones de dólares y completó su primer trimestre completo de originaciones directas al consumidor. La cartera estaba compuesta por 11,4 mil millones de dólares en Agency RMBS, MSR y otros valores, además de 5,0 mil millones de dólares en posiciones TBA. Después del trimestre, TWO se comprometió a comprar 2,1 mil millones de dólares adicionales en UPB de MSR.
Two Harbors Investment Corp. (TWO)는 2024년 3분기 재무 결과를 발표하며 1,930만 달러(주당 0.18달러)의 포괄적 소득을 기록했습니다. 회사는 주당 0.45달러의 분기 배당금을 선언했으며, 주당 장부 가치는 14.93달러로, 1.3%의 분기 경제 수익률을 나타냅니다. TWO는 33억 달러의 MSR 인수를 종료했으며, 소비자 직거래 원금 대출의 첫 번째 전체 분기를 완료했습니다. 포트폴리오는 114억 달러의 Agency RMBS, MSR 및 기타 증권과 50억 달러의 TBA 포지션으로 구성되었습니다. 분기 후, TWO는 21억 달러의 추가 MSR UPB를 구매하기로 약정했습니다.
Two Harbors Investment Corp. (TWO) a annoncé ses résultats financiers pour le troisième trimestre 2024, générant un Revenu Global de 19,3 millions de dollars (0,18 $ par action). La société a déclaré un dividende trimestriel de 0,45 $ par action et a reporté une valeur comptable de 14,93 $ par action, représentant un rendement économique trimestriel de 1,3%. TWO a conclu des acquisitions de MSR pour 3,3 milliards de dollars et a terminé son premier trimestre complet d'origination directe au consommateur. Le portefeuille comprenait 11,4 milliards de dollars en Agency RMBS, MSR et autres titres, ainsi que 5,0 milliards de dollars en positions TBA. Après le trimestre, TWO s'est engagé à acheter 2,1 milliards de dollars supplémentaires en UPB de MSR.
Two Harbors Investment Corp. (TWO) hat seine Finanzzahlen für das dritte Quartal 2024 veröffentlicht und einen Gesamtgewinn von 19,3 Millionen Dollar (0,18 $ pro Aktie) erzielt. Das Unternehmen hat eine vierteljährliche Dividende von 0,45 $ pro Aktie erklärt und einen Buchwert von 14,93 $ pro Aktie gemeldet, was einer quartalsmäßigen wirtschaftlichen Rendite von 1,3% entspricht. TWO hat Akquisitionen von MSR im Wert von 3,3 Milliarden Dollar abgeschlossen und das erste volle Quartal von Direktvertrieb an Verbraucher beendet. Das Portfolio bestand aus 11,4 Milliarden Dollar an Agency RMBS, MSR und anderen Wertpapieren sowie 5,0 Milliarden Dollar an TBA-Positionen. Nach dem Quartal verpflichtete sich TWO, zusätzliche 2,1 Milliarden Dollar an UPB von MSR zu kaufen.
- Generated Comprehensive Income of $19.3 million in Q3 2024
- Maintained stable quarterly dividend of $0.45 per share (13.0% yield)
- Achieved 7.0% total economic return for first nine months of 2024
- Successfully settled $3.3 billion in MSR acquisitions
- Book value decreased from $15.19 to $14.93 per share quarter-over-quarter
- GAAP Net Loss of $250.3 million in Q3 2024
- Earnings Available for Distribution declined from $0.17 to $0.13 per share QoQ
- MSR fair value losses of $133.3 million in Q3 2024
Insights
TWO's Q3 2024 results show mixed performance with
Key metrics reveal stable performance with MSR UPB of
The portfolio's defensive positioning with MSR hedging against RMBS exposure demonstrates sophisticated risk management in volatile market conditions. The
The direct-to-consumer origination channel's initial results (
Mortgage Performance Drives Positive Quarterly Return with Stable MSR Spreads
Quarterly Summary
-
Reported book value of
$14.93 $0.45 1.3% quarterly economic return on book value. For the first nine months of 2024, generated a7.0% total economic return on book value.(1) -
Generated Comprehensive Income of
$19.3 million $0.18 -
Settled
$3.3 billion -
Completed first full quarter of direct-to-consumer originations activities, funding
$22.4 million $7.5 million -
Post quarter-end, committed to purchase an additional
$2.1 billion
“With MSR at our core, we have built an investment portfolio with RMBS that has less exposure to changes in mortgage spreads than portfolios without MSR, while still preserving upside to decreasing volatility and spread tightening,” stated Bill Greenberg, TWO’s President and Chief Executive Officer. “We are intently focused on providing high-quality investment returns, and our combined strategy is designed to extract the most value that we can from our MSR asset for the benefit of our shareholders. We are thoughtfully augmenting our investment portfolio with additional revenue and hedging opportunities in order to further enhance a strategy that we expect will deliver attractive results for our shareholders through a variety of market environments.”
“Our portfolio benefited from the net performance of mortgages in the third quarter, but performance across the stack was uneven. We entered the quarter with an up-in-coupon bias, but as interest rates declined we shifted our TBA coupons lower, tracking the change in current coupon exposure coming from our MSR,” stated Nick Letica, TWO’s Chief Investment Officer. “MSR valuations remain well supported with strong demand as the supply of bulk sales continues to normalize from the record levels of the past few years. Nevertheless, we believe there will continue to be opportunities to add MSR at attractive levels, enhanced by our deep expertise coupled with the benefits of our in-house servicing and recapture operations.”
| ________________ | |
(1) |
Economic 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. |
Operating Performance
The following table summarizes the company’s GAAP and non-GAAP earnings measurements and key metrics for the third quarter of 2024 and second quarter of 2024:
Operating Performance (unaudited) |
||||||||||||||||||||
(dollars in thousands, except per common share data) |
||||||||||||||||||||
|
Three Months Ended September 30, 2024 |
|
Three Months Ended June 30, 2024 |
|||||||||||||||||
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 Income |
$ |
19,352 |
|
|
$ |
0.18 |
|
|
4.9 |
% |
|
$ |
479 |
|
|
$ |
— |
|
0.1 |
% |
GAAP Net (Loss) Income |
$ |
(250,269 |
) |
|
$ |
(2.42 |
) |
|
(63.1 |
)% |
|
$ |
44,552 |
|
|
$ |
0.43 |
|
11.1 |
% |
Earnings Available for Distribution(1) |
$ |
13,186 |
|
|
$ |
0.13 |
|
|
3.3 |
% |
|
$ |
17,516 |
|
|
$ |
0.17 |
|
4.4 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Operating Metrics |
|
|
|
|
|
|
|
|
|
|
|
|||||||||
Dividend per common share |
$ |
0.45 |
|
|
|
|
|
|
$ |
0.45 |
|
|
|
|
|
|||||
Annualized dividend yield(2) |
|
13.0 |
% |
|
|
|
|
|
|
13.6 |
% |
|
|
|
|
|||||
Book value per common share at period end |
$ |
14.93 |
|
|
|
|
|
|
$ |
15.19 |
|
|
|
|
|
|||||
Economic return on book value(3) |
|
1.3 |
% |
|
|
|
|
|
|
— |
% |
|
|
|
|
|||||
Operating expenses, excluding non-cash LTIP amortization and certain operating expenses(4) |
$ |
36,874 |
|
|
|
|
|
|
$ |
37,924 |
|
|
|
|
|
|||||
Operating expenses, excluding non-cash LTIP amortization and certain operating expenses, as a percentage of average equity(4) |
|
6.7 |
% |
|
|
|
|
|
|
6.8 |
% |
|
|
|
|
|||||
| _______________ | |
(1) |
Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see page 11 for a definition of EAD 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) |
Economic 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 |
Portfolio Summary
As of September 30, 2024, the company’s portfolio was comprised of
The following tables summarize the company’s investment portfolio as of September 30, 2024 and June 30, 2024:
Investment Portfolio |
||||||||||||
(dollars in thousands) |
||||||||||||
|
||||||||||||
Portfolio Composition |
|
As of September 30, 2024 |
|
As of June 30, 2024 |
||||||||
|
|
(unaudited) |
|
(unaudited) |
||||||||
Agency RMBS |
|
$ |
8,514,041 |
|
74.7 |
% |
|
$ |
8,035,395 |
|
72.4 |
% |
Mortgage servicing rights(1) |
|
|
2,884,304 |
|
25.3 |
% |
|
|
3,065,415 |
|
27.6 |
% |
Other |
|
|
3,859 |
|
— |
% |
|
|
3,942 |
|
— |
% |
Aggregate Portfolio |
|
|
11,402,204 |
|
|
|
|
11,104,752 |
|
|
||
Net TBA position(2) |
|
|
5,043,877 |
|
|
|
|
4,940,593 |
|
|
||
Total Portfolio |
|
$ |
16,446,081 |
|
|
|
$ |
16,045,345 |
|
|
||
| ________________ | |
(1) |
Based on the prior month-end’s principal balance of the loans underlying the company’s MSR, increased for current month purchases. |
(2) |
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. |
Portfolio Metrics Specific to Agency RMBS |
|
As of September 30, 2024 |
|
As of June 30, 2024 |
||||
|
|
(unaudited) |
|
(unaudited) |
||||
Weighted average cost basis(1) |
|
$ |
101.39 |
|
|
$ |
101.28 |
|
Weighted average experienced three-month CPR |
|
|
7.2 |
% |
|
|
7.3 |
% |
Gross weighted average coupon rate |
|
|
5.8 |
% |
|
|
5.8 |
% |
Weighted average loan age (months) |
|
|
32 |
|
|
|
31 |
|
| ______________ | |
| (1) | Weighted average cost basis includes Agency principal and interest RMBS only and utilizes carrying value for weighting purposes. |
Portfolio Metrics Specific to MSR(1) |
|
As of September 30, 2024 |
|
As of June 30, 2024 |
||||
(dollars in thousands) |
|
(unaudited) |
|
(unaudited) |
||||
Unpaid principal balance |
|
$ |
202,052,184 |
|
|
$ |
209,389,409 |
|
Gross coupon rate |
|
|
3.4 |
% |
|
|
3.5 |
% |
Current loan size |
|
$ |
333 |
|
|
$ |
333 |
|
Original FICO(2) |
|
|
760 |
|
|
|
759 |
|
Original LTV |
|
|
71 |
% |
|
|
71 |
% |
60+ day delinquencies |
|
|
0.8 |
% |
|
|
0.7 |
% |
Net servicing fee |
|
25.3 basis points |
|
25.3 basis points |
||||
|
|
|
|
|
||||
|
|
Three Months Ended September 30, 2024 |
|
Three Months Ended June 30, 2024 |
||||
|
|
(unaudited) |
|
(unaudited) |
||||
Fair value losses |
|
$ |
(133,349 |
) |
|
$ |
(22,857 |
) |
Servicing income |
|
$ |
161,608 |
|
|
$ |
169,882 |
|
Servicing costs |
|
$ |
4,401 |
|
|
$ |
5,214 |
|
Change in servicing reserves |
|
$ |
(501 |
) |
|
$ |
(739 |
) |
| ________________ | |
| (1) | Metrics exclude residential mortgage loans in securitization trusts for which the company is the named servicing administrator. Portfolio metrics, other than UPB, represent averages weighted by UPB. |
| (2) | FICO represents a mortgage industry accepted credit score of a borrower. |
Other Investments and Risk Management Metrics |
|
As of September 30, 2024 |
|
As of June 30, 2024 |
||||
(dollars in thousands) |
|
(unaudited) |
|
(unaudited) |
||||
Net long TBA notional(1) |
|
$ |
5,064,000 |
|
|
$ |
4,983,000 |
|
Futures notional |
|
$ |
(3,693,900 |
) |
|
$ |
(6,308,900 |
) |
Interest rate swaps notional |
|
$ |
14,197,205 |
|
|
$ |
11,739,471 |
|
| ________________ | |
| (1) | 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, warehouse facilities and convertible senior notes as of September 30, 2024 and June 30, 2024:
September 30, 2024 |
|
Balance |
|
Weighted Average Borrowing Rate |
|
Weighted Average Months to Maturity |
|
Number of Distinct Counterparties |
||
(dollars in thousands, unaudited) |
|
|
|
|
|
|
|
|
||
Repurchase agreements collateralized by securities |
|
$ |
8,113,400 |
|
5.20 |
% |
|
2.55 |
|
18 |
Repurchase agreements collateralized by MSR |
|
|
650,000 |
|
7.99 |
% |
|
19.69 |
|
1 |
Total repurchase agreements |
|
|
8,763,400 |
|
5.40 |
% |
|
3.83 |
|
19 |
Revolving credit facilities collateralized by MSR and related servicing advance obligations |
|
|
999,171 |
|
8.11 |
% |
|
21.40 |
|
3 |
Warehouse facilities collateralized by mortgage loans |
|
|
3,017 |
|
7.34 |
% |
|
2.86 |
|
1 |
Unsecured convertible senior notes |
|
|
259,815 |
|
6.25 |
% |
|
15.52 |
|
n/a |
Total borrowings |
|
$ |
10,025,403 |
|
|
|
|
|
|
|
June 30, 2024 |
|
Balance |
|
Weighted Average Borrowing Rate |
|
Weighted Average Months to Maturity |
|
Number of Distinct Counterparties |
||
(dollars in thousands, unaudited) |
|
|
|
|
|
|
|
|
||
Repurchase agreements collateralized by securities |
|
$ |
7,834,910 |
|
5.48 |
% |
|
2.78 |
|
18 |
Repurchase agreements collateralized by MSR |
|
|
600,000 |
|
8.49 |
% |
|
22.72 |
|
1 |
Total repurchase agreements |
|
|
8,434,910 |
|
5.69 |
% |
|
4.20 |
|
19 |
Revolving credit facilities collateralized by MSR and related servicing advance obligations |
|
|
1,279,271 |
|
8.45 |
% |
|
20.25 |
|
4 |
Warehouse facilities collateralized by mortgage loans |
|
|
— |
|
— |
% |
|
— |
|
— |
Unsecured convertible senior notes |
|
|
259,412 |
|
6.25 |
% |
|
18.54 |
|
n/a |
Total borrowings |
|
$ |
9,973,593 |
|
|
|
|
|
|
|
Borrowings by Collateral Type |
|
As of September 30, 2024 |
|
As of June 30, 2024 |
||||
(dollars in thousands) |
|
(unaudited) |
|
(unaudited) |
||||
Agency RMBS |
|
$ |
8,113,193 |
|
|
$ |
7,834,693 |
|
Mortgage servicing rights and related servicing advance obligations |
|
|
1,649,171 |
|
|
|
1,879,271 |
|
Other - secured |
|
|
3,224 |
|
|
|
217 |
|
Other - unsecured(1) |
|
|
259,815 |
|
|
|
259,412 |
|
Total |
|
|
10,025,403 |
|
|
|
9,973,593 |
|
TBA cost basis |
|
|
5,060,417 |
|
|
|
4,950,762 |
|
Net payable (receivable) for unsettled RMBS |
|
|
85,366 |
|
|
|
— |
|
Total, including TBAs and net payable (receivable) for unsettled RMBS |
|
$ |
15,171,186 |
|
|
$ |
14,924,355 |
|
|
|
|
|
|
||||
Debt-to-equity ratio at period-end(2) |
|
4.6 :1.0 |
|
4.5 :1.0 |
||||
Economic debt-to-equity ratio at period-end(3) |
|
7.0 :1.0 |
|
6.8 :1.0 |
||||
|
|
|
|
|
||||
Cost of Financing by Collateral Type(4) |
|
Three Months Ended September 30, 2024 |
|
Three Months Ended June 30, 2024 |
||||
|
|
(unaudited) |
|
(unaudited) |
||||
Agency RMBS |
|
|
5.53 |
% |
|
|
5.54 |
% |
Mortgage servicing rights and related servicing advance obligations(5) |
|
|
8.93 |
% |
|
|
8.99 |
% |
Other - secured |
|
|
5.61 |
% |
|
|
5.53 |
% |
Other - unsecured(1)(5) |
|
|
6.92 |
% |
|
|
6.89 |
% |
Annualized cost of financing |
|
|
6.17 |
% |
|
|
6.23 |
% |
Interest rate swaps(6) |
|
|
(0.46 |
)% |
|
|
(0.42 |
)% |
|
|
|
(0.14 |
)% |
|
|
(0.20 |
)% |
TBAs(8) |
|
|
3.56 |
% |
|
|
3.44 |
% |
Annualized cost of financing, including swaps, |
|
|
4.73 |
% |
|
|
4.76 |
% |
| ____________________ | |
(1) |
Unsecured convertible senior notes. |
(2) |
Defined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, divided by total equity. |
(3) |
Defined as total borrowings to fund Agency and non-Agency investment securities, MSR and related servicing advances and mortgage loans held-for-sale, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity. |
(4) |
Excludes any repurchase agreements collateralized by |
(5) |
Includes amortization of debt issuance costs. |
(6) |
The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company’s outstanding borrowings includes interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements and is calculated using average borrowings balance as the denominator. |
(7) |
The cost of financing on |
(8) |
The implied financing benefit/cost of dollar roll income on TBAs is calculated using the average cost basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP. |
Conference Call
TWO will host a conference call on October 29, 2024 at 9:00 a.m. ET to discuss its third quarter 2024 financial results and related information. To participate in the teleconference, please call toll-free (888) 394-8218 approximately 10 minutes prior to the above start time and provide the Conference Code 5083733. The conference call will also be webcast live and accessible online in the News & Events section of the company’s website at www.twoinv.com. For those unable to attend, a replay of the webcast will be available on the company’s website approximately four hours after the live call ends.
About TWO
Two Harbors Investment Corp., or TWO, a
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, 2023, 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; 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 ability to recognize the benefits of our acquisition of RoundPoint Mortgage Servicing LLC and to manage the risks associated with operating a mortgage loan servicer and originator; our decision to terminate our management agreement with PRCM Advisers LLC and the ongoing litigation 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 to maintain our MSR portfolio; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; 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 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’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning TWO or matters attributable to TWO 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
Additional Information
Stockholders of Two Harbors Investment Corp. and other interested persons may find additional information regarding the company at www.twoinv.com, at the Securities and Exchange Commission’s internet site at www.sec.gov or by directing requests to: TWO, Attn: Investor Relations, 1601 Utica Avenue South, Suite 900,
TWO HARBORS INVESTMENT CORP. |
|||||||
CONDENSED CONSOLIDATED BALANCE SHEETS |
|||||||
(dollars in thousands, except share data) |
|||||||
|
September 30,
|
|
December 31,
|
||||
|
(unaudited) |
|
|
||||
ASSETS |
|
|
|
||||
Available-for-sale securities, at fair value (amortized cost |
$ |
8,506,102 |
|
|
$ |
8,327,149 |
|
Mortgage servicing rights, at fair value |
|
2,884,304 |
|
|
|
3,052,016 |
|
Mortgage loans held-for-sale |
|
3,344 |
|
|
|
332 |
|
Cash and cash equivalents |
|
522,581 |
|
|
|
729,732 |
|
Restricted cash |
|
89,125 |
|
|
|
65,101 |
|
Accrued interest receivable |
|
36,561 |
|
|
|
35,339 |
|
Due from counterparties |
|
298,283 |
|
|
|
323,224 |
|
Derivative assets, at fair value |
|
12,572 |
|
|
|
85,291 |
|
Reverse repurchase agreements |
|
359,180 |
|
|
|
284,091 |
|
Other assets |
|
175,790 |
|
|
|
236,525 |
|
Total Assets |
$ |
12,887,842 |
|
|
$ |
13,138,800 |
|
LIABILITIES AND STOCKHOLDERS’ EQUITY |
|
|
|
||||
Liabilities: |
|
|
|
||||
Repurchase agreements |
$ |
8,763,400 |
|
|
$ |
8,020,207 |
|
Revolving credit facilities |
|
999,171 |
|
|
|
1,329,171 |
|
Warehouse facilities |
|
3,017 |
|
|
|
— |
|
Term notes payable |
|
— |
|
|
|
295,271 |
|
Convertible senior notes |
|
259,815 |
|
|
|
268,582 |
|
Derivative liabilities, at fair value |
|
16,764 |
|
|
|
21,506 |
|
Due to counterparties |
|
386,141 |
|
|
|
574,735 |
|
Dividends payable |
|
58,730 |
|
|
|
58,731 |
|
Accrued interest payable |
|
76,868 |
|
|
|
141,773 |
|
Other liabilities |
|
154,562 |
|
|
|
225,434 |
|
Total Liabilities |
|
10,718,468 |
|
|
|
10,935,410 |
|
Stockholders’ Equity: |
|
|
|
||||
Preferred stock, par value |
|
601,467 |
|
|
|
613,213 |
|
Common stock, par value |
|
1,037 |
|
|
|
1,032 |
|
Additional paid-in capital |
|
5,934,920 |
|
|
|
5,925,424 |
|
Accumulated other comprehensive loss |
|
(53,959 |
) |
|
|
(176,429 |
) |
Cumulative earnings |
|
1,372,056 |
|
|
|
1,349,973 |
|
Cumulative distributions to stockholders |
|
(5,686,147 |
) |
|
|
(5,509,823 |
) |
Total Stockholders’ Equity |
|
2,169,374 |
|
|
|
2,203,390 |
|
Total Liabilities and Stockholders’ Equity |
$ |
12,887,842 |
|
|
$ |
13,138,800 |
|
TWO HARBORS INVESTMENT CORP. |
|||||||||||||||
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) |
|||||||||||||||
(dollars in thousands, except share data) |
|||||||||||||||
Certain prior period amounts have been reclassified to conform to the current period presentation |
|||||||||||||||
|
Three Months Ended |
|
Nine Months Ended |
||||||||||||
|
September 30, |
|
September 30, |
||||||||||||
|
|
2024 |
|
|
|
2023 |
|
|
|
2024 |
|
|
|
2023 |
|
|
(unaudited) |
|
(unaudited) |
||||||||||||
Net interest income (expense): |
|
|
|
|
|
||||||||||
Interest income |
$ |
112,642 |
|
|
$ |
123,608 |
|
|
$ |
346,378 |
|
|
$ |
357,963 |
|
Interest expense |
|
154,931 |
|
|
|
173,094 |
|
|
|
469,138 |
|
|
|
475,145 |
|
Net interest expense |
|
(42,289 |
) |
|
|
(49,486 |
) |
|
|
(122,760 |
) |
|
|
(117,182 |
) |
Net servicing income: |
|
|
|
|
|
|
|
||||||||
Servicing income |
|
171,732 |
|
|
|
178,625 |
|
|
|
514,080 |
|
|
|
507,168 |
|
Servicing costs |
|
3,900 |
|
|
|
29,903 |
|
|
|
15,494 |
|
|
|
83,459 |
|
Net servicing income |
|
167,832 |
|
|
|
148,722 |
|
|
|
498,586 |
|
|
|
423,709 |
|
Other (loss) income: |
|
|
|
|
|
|
|
||||||||
Gain (loss) on investment securities |
|
1,383 |
|
|
|
(471 |
) |
|
|
(32,029 |
) |
|
|
12,499 |
|
(Loss) gain on servicing asset |
|
(133,349 |
) |
|
|
67,369 |
|
|
|
(145,194 |
) |
|
|
60,969 |
|
(Loss) gain on interest rate swap and swaption agreements |
|
(172,263 |
) |
|
|
111,909 |
|
|
|
(51,741 |
) |
|
|
86,288 |
|
(Loss) gain on other derivative instruments |
|
(32,722 |
) |
|
|
86,212 |
|
|
|
14,127 |
|
|
|
(22,398 |
) |
Gain on mortgage loans held-for-sale |
|
927 |
|
|
|
— |
|
|
|
924 |
|
|
|
— |
|
Other income |
|
123 |
|
|
|
2,903 |
|
|
|
349 |
|
|
|
5,103 |
|
Total other (loss) income |
|
(335,901 |
) |
|
|
267,922 |
|
|
|
(213,564 |
) |
|
|
142,461 |
|
Expenses: |
|
|
|
|
|
|
|
||||||||
Compensation and benefits |
|
20,180 |
|
|
|
8,617 |
|
|
|
67,953 |
|
|
|
31,568 |
|
Other operating expenses |
|
18,405 |
|
|
|
15,984 |
|
|
|
57,156 |
|
|
|
38,354 |
|
Total expenses |
|
38,585 |
|
|
|
24,601 |
|
|
|
125,109 |
|
|
|
69,922 |
|
(Loss) income before income taxes |
|
(248,943 |
) |
|
|
342,557 |
|
|
|
37,153 |
|
|
|
379,066 |
|
(Benefit from) provision for income taxes |
|
(10,458 |
) |
|
|
36,365 |
|
|
|
15,714 |
|
|
|
52,237 |
|
Net (loss) income |
|
(238,485 |
) |
|
|
306,192 |
|
|
|
21,439 |
|
|
|
326,829 |
|
Dividends on preferred stock |
|
(11,784 |
) |
|
|
(12,115 |
) |
|
|
(35,352 |
) |
|
|
(36,595 |
) |
Gain on repurchase and retirement of preferred stock |
|
— |
|
|
|
— |
|
|
|
644 |
|
|
|
2,454 |
|
Net (loss) income attributable to common stockholders |
$ |
(250,269 |
) |
|
$ |
294,077 |
|
|
$ |
(13,269 |
) |
|
$ |
292,688 |
|
Basic (loss) earnings per weighted average common share |
$ |
(2.42 |
) |
|
$ |
3.04 |
|
|
$ |
(0.14 |
) |
|
$ |
3.06 |
|
Diluted (loss) earnings per weighted average common share |
$ |
(2.42 |
) |
|
$ |
2.81 |
|
|
$ |
(0.14 |
) |
|
$ |
2.91 |
|
Dividends declared per common share |
$ |
0.45 |
|
|
$ |
0.45 |
|
|
$ |
1.35 |
|
|
$ |
1.50 |
|
Comprehensive income (loss): |
|
|
|
|
|
|
|
||||||||
Net (loss) income |
$ |
(238,485 |
) |
|
$ |
306,192 |
|
|
$ |
21,439 |
|
|
$ |
326,829 |
|
Other comprehensive income (loss): |
|
|
|
|
|
|
|
||||||||
Unrealized gain (loss) on available-for-sale securities |
|
269,621 |
|
|
|
(350,922 |
) |
|
|
122,470 |
|
|
|
(381,297 |
) |
Other comprehensive income (loss) |
|
269,621 |
|
|
|
(350,922 |
) |
|
|
122,470 |
|
|
|
(381,297 |
) |
Comprehensive income (loss) |
|
31,136 |
|
|
|
(44,730 |
) |
|
|
143,909 |
|
|
|
(54,468 |
) |
Dividends on preferred stock |
|
(11,784 |
) |
|
|
(12,115 |
) |
|
|
(35,352 |
) |
|
|
(36,595 |
) |
Gain on repurchase and retirement of preferred stock |
|
— |
|
|
|
— |
|
|
|
644 |
|
|
|
2,454 |
|
Comprehensive income (loss) attributable to common stockholders |
$ |
19,352 |
|
|
$ |
(56,845 |
) |
|
$ |
109,201 |
|
|
$ |
(88,609 |
) |
TWO HARBORS INVESTMENT CORP. |
|||||||||||||||
INTEREST INCOME AND INTEREST EXPENSE |
|||||||||||||||
(dollars in thousands, except share data) |
|||||||||||||||
|
|||||||||||||||
|
Three Months Ended |
|
Nine Months Ended |
||||||||||||
|
September 30, |
|
September 30, |
||||||||||||
|
|
2024 |
|
|
|
2023 |
|
|
|
2024 |
|
|
|
2023 |
|
|
(unaudited) |
|
(unaudited) |
||||||||||||
Interest income: |
|
|
|
|
|
||||||||||
Available-for-sale securities |
$ |
101,067 |
|
|
$ |
107,827 |
|
|
$ |
300,883 |
|
|
$ |
309,060 |
|
Mortgage loans held-for-sale |
|
25 |
|
|
|
2 |
|
|
|
29 |
|
|
|
7 |
|
Other |
|
11,550 |
|
|
|
15,779 |
|
|
|
45,466 |
|
|
|
48,896 |
|
Total interest income |
|
112,642 |
|
|
|
123,608 |
|
|
|
346,378 |
|
|
|
357,963 |
|
Interest expense: |
|
|
|
|
|
|
|
||||||||
Repurchase agreements |
|
123,552 |
|
|
|
129,298 |
|
|
|
355,982 |
|
|
|
350,599 |
|
Revolving credit facilities |
|
26,873 |
|
|
|
32,526 |
|
|
|
87,026 |
|
|
|
87,866 |
|
Warehouse facilities |
|
11 |
|
|
|
— |
|
|
|
11 |
|
|
|
— |
|
Term notes payable |
|
— |
|
|
|
6,634 |
|
|
|
12,426 |
|
|
|
22,516 |
|
Convertible senior notes |
|
4,495 |
|
|
|
4,636 |
|
|
|
13,693 |
|
|
|
14,164 |
|
Total interest expense |
|
154,931 |
|
|
|
173,094 |
|
|
|
469,138 |
|
|
|
475,145 |
|
Net interest expense |
$ |
(42,289 |
) |
|
$ |
(49,486 |
) |
|
$ |
(122,760 |
) |
|
$ |
(117,182 |
) |
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 |
||||||
|
September 30,
|
|
June 30,
|
||||
|
(unaudited) |
|
(unaudited) |
||||
Reconciliation of comprehensive income to Earnings Available for Distribution: |
|
|
|
||||
Comprehensive income attributable to common stockholders |
$ |
19,352 |
|
|
$ |
479 |
|
Adjustment for other comprehensive (income) loss attributable to common stockholders: |
|
|
|
||||
Unrealized (gain) loss on available-for-sale securities |
|
(269,621 |
) |
|
|
44,073 |
|
Net (loss) income attributable to common stockholders |
$ |
(250,269 |
) |
|
$ |
44,552 |
|
Adjustments to exclude reported realized and unrealized (gains) losses: |
|
|
|
||||
Realized (gain) loss on securities |
|
(312 |
) |
|
|
22,149 |
|
Unrealized (gain) loss on securities |
|
(795 |
) |
|
|
117 |
|
(Reversal of) provision for credit losses |
|
(276 |
) |
|
|
171 |
|
Realized and unrealized loss on mortgage servicing rights |
|
133,349 |
|
|
|
22,857 |
|
Realized loss (gain) on termination or expiration of interest rate swaps and swaptions |
|
86,310 |
|
|
|
(2,388 |
) |
Unrealized loss (gain) on interest rate swaps and swaptions |
|
103,012 |
|
|
|
(4,609 |
) |
Realized and unrealized loss on other derivative instruments |
|
32,821 |
|
|
|
852 |
|
Other realized and unrealized gains |
|
— |
|
|
|
(226 |
) |
Other adjustments: |
|
|
|
||||
MSR amortization(1) |
|
(83,619 |
) |
|
|
(89,058 |
) |
TBA dollar roll income (losses)(2) |
|
(1,156 |
) |
|
|
4,019 |
|
|
|
5,247 |
|
|
|
7,211 |
|
Change in servicing reserves |
|
(501 |
) |
|
|
(739 |
) |
Non-cash equity compensation expense |
|
1,610 |
|
|
|
1,643 |
|
Certain operating expenses(4) |
|
101 |
|
|
|
(624 |
) |
Net (benefit from) provision for income taxes on non-EAD |
|
(12,336 |
) |
|
|
11,589 |
|
Earnings available for distribution to common stockholders(5) |
$ |
13,186 |
|
|
$ |
17,516 |
|
Weighted average basic common shares |
|
103,635,455 |
|
|
|
103,555,755 |
|
Earnings available for distribution to common stockholders per weighted average basic common share |
$ |
0.13 |
|
|
$ |
0.17 |
|
| _____________ | |
(1) |
MSR 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, which is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair value. |
(2) |
TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. |
(3) |
|
(4) |
Certain operating expenses predominantly consists of expenses incurred in connection with the company’s ongoing litigation with PRCM Advisers LLC. It also includes certain transaction expenses incurred/reversed in connection with the company’s acquisition of RoundPoint Mortgage Servicing LLC. |
(5) |
EAD is a non-GAAP measure that we define as comprehensive income attributable to common stockholders, excluding realized and unrealized gains and losses on the aggregate investment portfolio, gains and losses on repurchases of preferred stock, provision for (reversal of) credit losses, reserve expense for representation and warranty obligations on MSR, non-cash compensation expense related to restricted common stock and certain operating expenses. As defined, EAD includes net interest income, accrual and settlement of interest on derivatives, dollar roll income on TBAs, |
View source version on businesswire.com: https://www.businesswire.com/news/home/20241028887598/en/
Margaret Karr, Head of Investor Relations, Two Harbors Investment Corp., (612)-453-4080, Margaret.Karr@twoinv.com
Source: Two Harbors Investment Corp.
FAQ
What was Two Harbors' (TWO) earnings per share in Q3 2024?
What dividend did TWO declare for Q3 2024?
How much MSR did TWO acquire in Q3 2024?
What was TWO's book value per share as of September 30, 2024?
