| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |-------|-------|-------|-------|-------|-------|----------------|--------------------------------------------------------------------|-------|-------|-------| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | AUGUST 5, 2021 | An Agency + MSR Mortgage REIT Second Quarter 2021 Earnings Call | | | | | | | | | | | | | | | | Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes "forward- ...

Two Harbors Investment Corp. (NYSE:TWO) Q2 2021 Earnings Conference Call August 5, 2021 9:00 AM ET Company Participants Paulina Sims - Investor Relations Bill Greenberg - President, Chief Executive Officer and Chief Investment Officer Mary Riskey - Chief Financial Officer Conference Call Participants Doug Harter - Credit Suisse Bose George - KBW Rick Shane - JPMorgan Kenneth Lee - RBC Capital Markets Trevor Cranston - JMP Securities Eric Hagen - BTIG Operator Greetings. Welcome to the Two Harbors Investment ...

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: June 30, 2021 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) ...

财务数据和关键指标变化 - 一季度末每股账面价值为7.29美元，较2020年12月31日的7.63美元下降，总经济回报率为负2.2% [8][26] - 综合收入为负4850万美元，年化平均普通股回报率为负9.3% [26] - 核心每股收益为0.17美元，低于四季度的0.30美元 [28] - 利息收入从7250万美元降至5610万美元，利息支出小幅上升 [28] - 其他衍生品收益从4350万美元降至1890万美元 [28] - 投资组合收益率相对持平于2.25%，净利差下降11个基点至1.65% [32] - 截至3月31日，经济债务与权益比率降至6.4倍，低于四季度的6.8倍 [34] 各条业务线数据和关键指标变化 - 住房抵押贷款服务权投资组合价值21亿美元，基于1870亿美元未偿本金余额，总票面利率为3.6%，价格约为1.10美元（约4.2倍） [45] - 住房抵押贷款服务权价值在本季度增长超过30%，倍数从3.2增至4.2 [46] - 通过流式销售计划结算了213亿美元未偿本金余额的新增住房抵押贷款服务权，并通过批量购买增加了11亿美元未偿本金余额 [11][47] - 机构住房抵押贷款支持证券头寸减少，整体待发行资产敞口从55亿美元降至50亿美元 [38] - 机会性增加了约1.3亿美元市值的纯利息证券 [38] 各个市场数据和关键指标变化 - 10年期互换利率从93个基点升至178个基点，5年期远期10年期利率升至2.5% [13] - 抵押贷款当前票面利率上升66个基点，从1.38%升至2.04% [13] - 一级和二级抵押贷款利率之间的利差继续压缩至更历史水平 [14] - 截至12月底，约85%的抵押贷款至少有25个基点的再融资激励，随着利率上升，该比例降至约64% [15] - 机构住房抵押贷款支持证券的期权调整利差指数在季度末为6个基点，为2006年以来最紧水平 [18] 公司战略和发展方向和行业竞争 - 公司采取机构加住房抵押贷款服务权策略，在市场利差紧张时保持低抵押贷款利差风险敞口，并在利差有吸引力时增加杠杆 [10][24] - 由于利差紧缩超过历史水平且波动性增加，公司减少了住房抵押贷款支持证券头寸，主要是在2%和2.5%票面利率 [10] - 住房抵押贷款服务权被视为具有战略价值，既可对冲抵押贷款利差风险，又可提供低两位数的杠杆回报 [11] - 公司预计随着经济复苏，美联储支持将缓和，利差将正常化，届时将增加杠杆并将超额现金部署到更具吸引力的投资中 [10] - 公司宣布本季度普通股股息为每股0.17美元 [12] 管理层对经营环境和未来前景的评论 - 经济快速复苏可能导致美联储支持缓和和利差正常化 [10] - 大多数市场参与者预计美联储缩减购债将在2022年初发生，沟通可能在今年开始 [19] - 鉴于经济反弹步伐，常规预测的风险是时间线缩短而非延长 [20] - 银行缩减购债可能更早发生 [20] - 住房抵押贷款支持证券估值非常丰富，但技术因素如美联储和银行的大规模购买需求可能不会永远持续 [17][22] - 随着病毒消退和经济走强，美联储将开始缓和资产购买 [18] - 利率上升、抵押贷款利率上升、一级二级利差收紧以及可再融资抵押贷款数量减少将导致提前还款速度放缓 [16] 其他重要信息 - 季度业绩受到较高税收准备金和可转换债务回购溢价的影响 [27] - 部分住房抵押贷款服务权资产需持有在应税房地产投资信托基金子公司中，导致本季度税收准备金影响更大 [27] - 无限制现金余额总计12亿美元 [33] - 机构回购头寸的加权平均期限增加至100天 [33] - 住房抵押贷款服务权资产融资设施的未使用能力增加至3.92亿美元 [33] - 服务垫款的承诺能力为1.8亿美元 [33] - 本季度采取的负债和资本行动，包括可转换债务发行、住房抵押贷款服务权融资优化和优先股赎回，预计从2022年开始每年带来每股0.04美元的净收益 [31] 问答环节所有的提问和回答 问题: 关于继续将机构资产与住房抵押贷款服务权配对的策略以及服务组合增长 - 公司非常专注于增加服务资产，预计未来几个月随着利率上升，流量将增加，可能会用待发行资产（特别是2.5%票面利率）对冲，以保持低抵押贷款利差久期 [60] 问题: 关于截至3月31日的净利差与已实现利差的比较以及提前还款假设 - 截至3月31日的资产收益率基于静态投资组合，预计收益率将上升，主要由于更低的提前还款假设和投资组合中住房抵押贷款服务权比例更高，该计算包含了预期的未来提前还款速度，预计第二季度提前还款速度将下降约20% [62][64] 问题: 关于4月底以来账面价值的趋势以及住房抵押贷款服务权采购的未来来源 - 截至4月底的总回报估计约为负1%，随着利率上升，预计流量渠道的住房抵押贷款服务权收购将下降，但批量包的数量和量将增加以抵消，公司平台能够根据市场情况在流量和批量收购渠道之间机会性地切换 [68][71] 问题: 关于当前头寸以及如果利差扩大则表现优异的潜力 - 公司目前保持低抵押贷款利差风险，预计无论利差如何变化，账面价值波动性都较低，该策略允许公司灵活调整抵押贷款利差风险量，在利差紧张时保持低风险，在利差有吸引力时增加风险 [75] 问题: 关于部分住房抵押贷款服务权需持有在应税房地产投资信托基金子公司的原因及其对回报的影响 - 住房抵押贷款服务权购买到服务实体中，该实体是应税房地产投资信托基金子公司，房利美和房地美规定了需要在实际服务实体（即应税房地产投资信托基金子公司）中持有的所需金额 [79][80] 问题: 关于当前住房抵押贷款服务权和低票面利率待发行资产的头寸情况 - 头寸轮换主要针对2%票面利率，因其对冲后利差吸引力下降，2.5%票面利率仍具有特殊的滚动利差，动态可能持续一段时间，公司可能增加该头寸以对冲新服务购买 [84] 问题: 关于利率进一步上升时互换投资组合的构建 - 互换投资组合总体规模较小，大部分利率风险由服务资产对冲，配对构建的自然头寸是曲线趋陡，对冲主要是为了抵消该头寸 [85][86] 问题: 关于联邦住房金融局宣布的帮助低收入借款人再融资的计划对提前还款速度的影响 - 该计划可能影响约10%至20%的政府赞助企业借款人，对低票面利率住房抵押贷款支持证券的影响可能较小，对高票面利率的影响可能更大，但具体影响取决于实施情况和借款人的接受程度 [91]

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, 2021 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) ...

First Quarter 2021 Earnings Call MAY 6, 2021 Safe Harbor Statement 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," "pr ...

1 T WO HARBORS INVESTMENT CORP. An Agency+MSR Mortgage REIT Fourth Quarter 2020 Investor Presentation Safe Harbor Statement . 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. ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Fiscal Year Ended: December 31, 2020 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) (I.R ...

Two Harbors Investment Corp. (NYSE:TWO) Q4 2020 Earnings Conference Call February 10, 2021 9:00 AM ET Company Participants Bill Greenburg - President and Chief Executive Officer Mary Riskey - Chief Financial Officer Matt Koeppen - Chief Investment Officer Paulina Sims - Head of Investor Relations Conference Call Participants Doug Harter - Credit Suisse Rick Shane - JP Morgan Eric Hagen - BTIG Bose George - KBW Trevor Cranston - JMP Securities Operator Good day, and welcome to the Two Harbors Investment Cor ...

Fourth Quarter 2020 Earnings Call FEBRUARY 10, 2021 Safe Harbor Statement 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," "estimat ...