8-K
Two Harbors Investment Corp. (TWO)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
Current Report
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
Date of Report: February 2, 2026
Two Harbors Investment Corp.
(Exact name of registrant as specified in its charter)
| Maryland | 001-34506 | 27-0312904 | |
|---|---|---|---|
| (State or other jurisdiction of incorporation or organization) | (Commission File Number) | (I.R.S. Employer Identification No.) | |
| 1601 Utica Avenue South, Suite 900 | St. Louis Park, | MN | 55416 |
| (Address of Principal Executive Offices) | (Zip Code) |
(612) 453-4100
Registrant's telephone number, including area code
(Former name or former address, if changed since last report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
☒ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
Securities Registered Pursuant to Section 12(b) of the Act:
| Title of Each Class: | Trading Symbol(s) | Name of Exchange on Which Registered: |
|---|---|---|
| Common Stock, par value $0.01 per share | TWO | New York Stock Exchange |
| 8.125% Series A Cumulative Redeemable Preferred Stock | TWO PRA | New York Stock Exchange |
| 7.625% Series B Cumulative Redeemable Preferred Stock | TWO PRB | New York Stock Exchange |
| 7.25% Series C Cumulative Redeemable Preferred Stock | TWO PRC | New York Stock Exchange |
| 9.375% Senior Notes Due 2030 | TWOD | New York Stock Exchange |
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (17 CFR §230.405) or Rule 12b-2 of the Securities Exchange Act of 1934 (17 CFR §240.12b-2).
Emerging Growth Company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
☐
Item 2.02 Results of Operations and Financial Condition.
On February 2, 2026, Two Harbors Investment Corp. (“Two Harbors”) issued a press release announcing its financial results for the fiscal quarter ended December 31, 2025. A copy of the press release and the 2025 Fourth Quarter Earnings Call Presentation are attached hereto as Exhibits 99.1 and 99.2, respectively, and are incorporated herein by reference.
The information in Item 2.02 of this Current Report, including Exhibits 99.1 and 99.2 attached hereto, is furnished pursuant to Item 2.02 of Form 8-K and shall not be deemed to be “filed” for any other purpose, including for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to the liabilities of that Section. The information in Item 2.02 of this Current Report, including Exhibits 99.1 and 99.2, shall not be deemed incorporated by reference into any filing of the registrant under the Securities Act of 1933 or the Exchange Act, whether made before or after the date hereof, regardless of any general incorporation language in such filings (unless the registrant specifically states that the information or exhibit in this Item 2.02 is incorporated by reference).
FORWARD-LOOKING STATEMENTS
This Form 8-K may contain “forward-looking statements,” including certain plans, expectations, goals, projections and statements about the benefits and synergies of the proposed transaction between Two Harbors and UWM Holding Corporation ("UWM") (the "Acquisition"); pro forma descriptions of the combined company and its operations, integration and transition plans, synergies and anticipated future performance; future opportunities for the combined company; Two Harbors’ and UWM’s plans, objectives, expectations and intentions, the expected timing of completion of the proposed Acquisition, the issuance of common and preferred stock of UWM in connection with the proposed Acquisition; the filing by UWM with the Securities and Exchange Commission (“SEC”) of a registration statement on Form S-4 (the “Registration Statement”) and a proxy statement / prospectus included therein; the ability of the parties to complete the proposed Acquisition considering the various closing conditions; and other statements that are not historical facts. Such statements are subject to numerous assumptions, risks, and uncertainties. Statements that do not describe historical or current facts, including statements about beliefs and expectations, are forward-looking statements. The forward-looking statements are intended to be subject to the safe harbor provided by Section 27A of the Securities Act of 1933, as amended (the “Securities Act”) and Section 21E of the Securities Exchange Act of 1934, as amended (the “Exchange Act”) and the Private Securities Litigation Reform Act of 1995. All statements, other than statements of historical fact, included in this communication that address activities, events or developments that Two Harbors or UWM expects, believes or anticipates will or may occur in the future are forward-looking statements. Words such as “project,” “predict,” “believe,” “expect,” “anticipate,” “potential,” “create,” “estimate,” “plan,” “continue,” “intend,” “could,” “foresee,” “should,” “could,” “may,” “foresee,” “will,” “guidance,” “look,” “outlook,” “goal,” “future,” “assume,” “forecast,” “build,” “focus,” “work,” or the negative of such terms or other variations thereof and words and terms of similar substance used in connection with any discussion of future plans, actions, or events identify forward-looking statements. However, the absence of these words does not mean that the statements are not forward-looking. Pro forma, projected and estimated numbers are used for illustrative purposes only, are not forecasts and may not reflect actual results. These statements are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict. Two Harbors’ and UWM’s ability to predict results or the actual effect of future events, actions, plans or strategies is inherently uncertain. Although Two Harbors and UWM believe the expectations reflected in any forward-looking statements are based on reasonable assumptions, the companies can give no assurance that their expectations will be attained and therefore, actual outcomes and results may differ materially from what is expressed or forecasted in such forward looking statements.
There are a number of risks and uncertainties that could cause actual results to differ materially from the forward-looking statements included in this communication. These include, among other things: the expected timing and likelihood of completion of the proposed Acquisition; the ability to successfully integrate the businesses; the occurrence of any event, change or other circumstances that could give rise to the termination of the proposed Acquisition; the potential failure to receive, on a timely basis or otherwise, the required approvals of the proposed Acquisition, including stockholder approval by Two Harbors’ stockholders, and the potential failure to satisfy the other conditions to the consummation of the proposed Acquisition in a timely manner or at all; risks relating to the value of the UWM securities to be issued in the proposed Acquisition; risks related to disruption of management’s attention from ongoing business operations due to the proposed Acquisition; the risk that any announcements relating to the proposed Acquisition could have adverse effects on the market price of common stock of UWM or Two Harbors; the risk that the proposed Acquisition and its announcement could have an adverse effect on the ability of Two Harbors and UWM to retain and hire key personnel and the effect on the operating results and businesses of Two Harbors and UWM generally; the outcome of any legal proceedings relating to the proposed Acquisition, including stockholder litigation in connection with the proposed Acquisition; the risk that restrictions during the pendency of the proposed Acquisition may impact Two Harbors’ or UWM’s ability to pursue certain business opportunities or strategic transactions; that Two Harbors or UWM may be adversely affected by other economic, business or competitive factors; changes in future loan production; the
availability of suitable investment opportunities; changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability and terms of financing; general economic conditions; market conditions; conditions in the market for mortgage-related investments; legislative and regulatory changes that could adversely affect the business of Two Harbors or UWM. All such factors are difficult to predict and are beyond the control of Two Harbors and UWM, including those detailed in Two Harbors’ annual reports on Form 10-K, quarterly reports on Form 10-Q and periodic reports on Form 8-K that are available on Two Harbors’ website at www.twoinv.com/investors and on the SEC’s website at www.sec.gov, and those detailed in UWM’s annual reports on Form 10-K, quarterly reports on Form 10-Q and periodic reports on Form 8-K that are available on UWM’s website at investors.uwm.com/ and on the SEC’s website at www.sec.gov.
Each of the forward-looking statements of Two Harbors or UWM are based on assumptions that Two Harbors or UWM, as applicable, believes to be reasonable but that may not prove to be accurate. Any forward-looking statement speaks only as of the date on which such statement is made, and neither Two Harbors nor UWM undertakes any obligation to correct or update any forward-looking statement, whether as a result of new information, future events or otherwise, except as required by applicable law. Readers are cautioned not to place undue reliance on these forward-looking statements that speak only as of the date hereof.
IMPORTANT ADDITIONAL INFORMATION AND WHERE TO FIND IT
In connection with the proposed Acquisition, UWM has filed with the SEC the Registration Statement that includes a preliminary proxy statement of Two Harbors and that also constitutes a prospectus of UWM. The proposed Acquisition will be submitted to the stockholders of Two Harbors for their approval. Two Harbors and UWM may also file other documents with the SEC regarding the proposed Acquisition. UWM may not sell the common or preferred stock referenced in the preliminary proxy statement / prospectus until the Registration Statement filed with the SEC becomes effective. The preliminary proxy statement / prospectus and this communication are not offers to sell UWM securities, are not soliciting an offer to buy UWM securities in any state where the offer and sale is not permitted and are not a solicitation of any vote or approval. The definitive proxy statement / prospectus will be sent to the stockholders of Two Harbors. This document is not a substitute for the Registration Statement and proxy statement / prospectus that will be filed with the SEC or any other documents that Two Harbors or UWM may file with the SEC or send to stockholders of Two Harbors in connection with the proposed Acquisition. INVESTORS AND SECURITYHOLDERS OF TWO HARBORS ARE ADVISED TO READ THE REGISTRATION STATEMENT AND THE PROXY STATEMENT / PROSPECTUS REGARDING THE PROPOSED ACQUISITION (INCLUDING ALL OTHER RELEVANT DOCUMENTS THAT ARE FILED OR WILL BE FILED WITH THE SEC, AS WELL AS ANY AMENDMENTS OR SUPPLEMENTS TO THESE DOCUMENTS) CAREFULLY AND IN THEIR ENTIRETY BECAUSE THEY WILL CONTAIN IMPORTANT INFORMATION ABOUT THE PROPOSED ACQUISITION AND RELATED MATTERS. Investors and securityholders may obtain a free copy of the Registration Statement and the proxy statement / prospectus and all other documents filed or that will be filed with the SEC by Two Harbors or UWM on the SEC’s website at www.sec.gov. Copies of documents filed with the SEC by Two Harbors will be made available free of charge on Two Harbors’ website at www.twoinv.com/investors or by directing a request to: Two Harbors Investment Corp., 1601 Utica Avenue South, Suite 900, St. Louis Park, MN 55416, Attention: Investor Relations. Copies of documents filed with the SEC by UWM will be made available free of charge on UWM's website at investors.uwm.com/ or by directing a request to: UWM Holdings Corporation, 585 South Boulevard E. Pontiac, Michigan, 48341, Attention: Investor Relations.
PARTICIPANTS IN THE SOLICITATION
Two Harbors, UWM and their directors, executive officers and certain other members of management and employees of Two Harbors and UWM may be deemed to be “participants” in the solicitation of proxies from the stockholders of Two Harbors in connection with the proposed Acquisition. Securityholders can find information about Two Harbors and its directors and executive officers and their ownership of common stock of Two Harbors in Two Harbors’ annual report on Form 10-K for the fiscal year ended December 31, 2024 and in its definitive proxy statement relating to its 2025 annual meeting of stockholders filed with the SEC on April 2, 2025 (the “Two Harbors 2025 Proxy”). Please refer to the sections captioned “Compensation Discussion and Analysis”, “Summary Compensation Table”, “Stock Ownership” and “Proposal 2: Advisory Vote Relating to Executive Compensation” in the Two Harbors 2025 Proxy. Any changes in the holdings of Two Harbors’ securities by its directors or executive officers from the amounts described in the Two Harbors 2025 Proxy have been reflected in Statements of Change in Ownership on Form 4 filed with the SEC subsequent to the filing date of the Two Harbors 2025 Proxy and are available on the SEC’s website at www.sec.gov. Information regarding UWM’s directors and executive officers is available in UWM’s Annual Report on Form 10-K for the fiscal year ended December 31, 2024 and in its definitive proxy statement relating to its 2025 annual meeting of stockholders filed with the SEC on April 25, 2025 (the “UWM 2025 Proxy”). Please refer to the sections captioned “Compensation Discussion and Analysis”, “Executive Compensation”, “Stock Ownership” and “Proposal 3 – Advisory Vote on Executive Officer Compensation” in the UWM 2025 Proxy. Any changes in the holdings of
UWM’s securities by its directors or executive officers from the amounts described in the UWM 2025 Proxy have been reflected in Statements of Change in Ownership on Form 4 filed with the SEC subsequent to the filing date of the UWM 2025 Proxy and are available on the SEC’s website at www.sec.gov. Additional information regarding the interests of such individuals in the proposed Acquisition will be included in the proxy statement / prospectus relating to the proposed Acquisition when it is filed with the SEC. Free copies of these documents may be obtained as described in the preceding paragraph.
NO OFFER OR SOLICITATION
This communication is for informational purposes only and is not intended to, and shall not, constitute an offer to sell or the solicitation of an offer to buy any securities or a solicitation of any vote or approval, nor shall there be any sale of securities in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such jurisdiction. No offering of securities shall be made except by means of a prospectus meeting the requirements of Section 10 of the Securities Act.
| Item 9.01 | Financial Statements and Exhibits. |
|---|
(d) Exhibits.
| Exhibit No. | Description |
|---|---|
| 99.1 | Press Release of Two Harbors Investment Corp., datedFebruary 2, 2026. |
| 99.2 | 2025 Fourth Quarter Earnings Call Presentation. |
| 104 | Cover Page Interactive Data File, formatted in Inline XBRL. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
| TWO HARBORS INVESTMENT CORP. | ||
|---|---|---|
| By: | /s/ REBECCA B. SANDBERG | |
| Rebecca B. Sandberg | ||
| Chief Legal Officer and Secretary | ||
| Date: February 2, 2026 |
Document
TWO Reports Fourth Quarter 2025 Financial Results
Announced Definitive Merger Agreement with UWM Holdings Corporation (UWMC)
NEW YORK, February 2, 2026 - TWO (Two Harbors Investment Corp., NYSE: TWO), an MSR-focused real estate investment trust (REIT), today announced its financial results for the quarter ended December 31, 2025.
Quarterly Summary
•Entered into a definitive merger agreement with UWMC pursuant to which UWMC will acquire TWO in an all-stock transaction.
◦TWO stockholders will receive a fixed exchange ratio of 2.3328 shares of UWMC Class A Common Stock for each share of TWO common stock. This represents an $11.94 per share value based on UWMC’s closing price as of December 16, 2025, and a premium of 21% the volume weighted average price of TWO’s common stock for the 30 days ending December 16, 2025.
◦The all-stock transaction is intended to be tax-free to TWO’s stockholders.
◦Prior to the closing of the merger, TWO intends to pay regular quarterly dividends in the ordinary course consistent with past practice for all completed quarterly periods. TWO does not intend to pay a partial dividend for the quarter in which the closing occurs in the event the closing does not occur as of quarter-end.
◦TWO preferred stock will be converted into equivalent shares of UWMC preferred stock.
◦The transaction is expected to close in the second quarter of 2026, subject to approval of TWO’s stockholders and the satisfaction of other closing conditions, including customary regulatory approvals.
•Reported book value of $11.13 per common share, and declared a fourth quarter common stock dividend of $0.34 per share, representing a 3.9% quarterly economic return on book value.(1)
•Generated comprehensive income of $50.4 million, or $0.48 per weighted average basic common share.
•Added $399.1 million in unpaid principal balance (UPB) of MSR through flow-sale acquisitions and recapture, and sold $9.6 billion MSR UPB on a subservicing-retained basis.
•As of December 31, 2025, MSR portfolio had a weighted average gross coupon rate of 3.55% and a 60+ day delinquency rate of 0.87%, and had experienced a 3-month CPR of 6.4%.
•Funded $93.8 million UPB in loans and brokered an additional $58.5 million UPB in second lien loans.
Annual Summary
•Declared dividends of $1.52 per common share.
•Generated a (12.6)% economic return on book value.(1)
◦Excluding the $375 million settlement expense to resolve litigation with the company’s former external manager, generated a 12.1% economic return on book value.(1)
•Total stockholder return of 2.8%.(2)
•Added $7.9 billion in UPB of MSR through bulk and flow-sale acquisitions and recapture, and sold $28.7 billion MSR UPB on a subservicing-retained basis.
•Funded $221.1 million UPB in loans and brokered an additional $198.7 million UPB in second lien loans.
Post Quarter-End Update
•Convertible senior notes of $261.9 million in UPB were repaid in full on their January 15, 2026 maturity date.
________________
(1)Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by common book value as of the beginning of the period.
(2)Total stockholder return is calculated for the period December 31, 2024 through December 31, 2025. Total stockholder return is defined as stock price appreciation including reinvestment of dividends. Source: Bloomberg.
- 1 -
“The acquisition of TWO by UWMC joins us with the country’s number one mortgage originator and doubles the size of the MSR portfolio to a pro-forma $400 billion,” said Bill Greenberg, TWO’s President and Chief Executive Officer. “This transaction creates, I believe, a very powerful strategic alignment of two high-quality organizations, and positions the combined company for accelerated growth and meaningful upside for shareholders. ”
“Our portfolio performed well in the fourth quarter, as RMBS returns benefited from lower realized and implied volatility as well the re-emergence of the GSE’s as a source of demand. Our MSR portfolio performed as it was designed to do and earned its carry,” stated Nick Letica, TWO’s Chief Investment Officer. “With the significant mortgage spread tightening realized in the fourth quarter and continuing into this quarter, spreads and volatility are back to pre-COVID levels, which makes the risk of owning RMBS more two-sided going forward and highlights the benefits of owning a portfolio of hedged MSR which is less sensitive to those spread movements”
Operating Performance
The following table summarizes the company’s GAAP and non-GAAP earnings measurements and key metrics for the fourth quarter of 2025 and third quarter of 2025:
| Operating Performance (unaudited) | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (dollars in thousands, except per common share data) | ||||||||||||||
| Three Months Ended December 31, 2025 | Three Months Ended September 30, 2025 | |||||||||||||
| 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 (Loss) | $ | 50,429 | $ | 0.48 | 17.2 | % | $ | (80,207) | $ | (0.77) | (26.5) | % | ||
| GAAP Net Loss | $ | (1,325) | $ | (0.02) | (0.5) | % | $ | (141,245) | $ | (1.36) | (46.6) | % | ||
| Earnings Available for Distribution(1) | $ | 27,435 | $ | 0.26 | 9.4 | % | $ | 37,154 | $ | 0.36 | 12.3 | % | ||
| Operating Metrics | ||||||||||||||
| Dividend per common share | $ | 0.34 | $ | 0.34 | ||||||||||
| Annualized dividend yield(2) | 13.0 | % | 13.8 | % | ||||||||||
| Book value per common share at period end | $ | 11.13 | $ | 11.04 | ||||||||||
| Economic return on book value(3) | 3.9 | % | (6.3) | % | ||||||||||
| Operating expenses, excluding non-cash LTIP amortization and certain operating expenses(4) | $ | 43,699 | $ | 38,748 | ||||||||||
| Operating expenses, excluding non-cash LTIP amortization and certain operating expenses, as a percentage of average equity(4) | 9.7 | % | 8.5 | % |
_______________
(1)Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see page 12 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 common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by the common book value as of the beginning of the period.
(4)Excludes non-cash equity compensation expense of $3.4 million for the fourth quarter of 2025 and $1.5 million for the third quarter of 2025 and certain operating expenses of $4.2 million for the fourth quarter of 2025 and $4.1 million for the third quarter of 2025. Certain operating expenses predominantly consists of transaction expenses incurred in connection with the company’s proposed merger with UWMC and the company’s litigation with its former external manager.
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Portfolio Summary
As of December 31, 2025, the company’s portfolio was comprised of $9.0 billion of Agency RMBS, MSR and other investment securities as well as their associated notional debt hedges. Additionally, the company held $4.2 billion bond equivalent value of net long to-be-announced securities (TBAs).
The following tables summarize the company’s investment portfolio as of December 31, 2025 and September 30, 2025:
| Investment Portfolio Composition | As of December 31, 2025 | As of September 30, 2025 | ||||||
|---|---|---|---|---|---|---|---|---|
| (dollars in thousands) | (unaudited) | (unaudited) | ||||||
| Agency RMBS | $ | 6,579,141 | 73.1 | % | $ | 6,477,694 | 71.1 | % |
| Mortgage servicing rights(1) | 2,421,910 | 26.9 | % | 2,626,706 | 28.9 | % | ||
| Other | 3,259 | — | % | 3,284 | — | % | ||
| Aggregate Portfolio | 9,004,310 | 9,107,684 | ||||||
| Net TBA position(2) | 4,199,576 | 4,384,749 | ||||||
| Total Portfolio | $ | 13,203,886 | $ | 13,492,433 |
________________
(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 December 31, 2025 | As of September 30, 2025 | ||||
|---|---|---|---|---|---|---|
| (unaudited) | (unaudited) | |||||
| Weighted average cost basis(1) | $ | 101.61 | $ | 101.68 | ||
| Weighted average experienced three-month CPR | 7.9 | % | 8.0 | % | ||
| Gross weighted average coupon rate | 6.1 | % | 6.1 | % | ||
| Weighted average loan age (months) | 26 | 28 |
______________
(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 December 31, 2025 | As of September 30, 2025 | ||||
|---|---|---|---|---|---|---|
| (dollars in thousands) | (unaudited) | (unaudited) | ||||
| Unpaid principal balance | $ | 162,450,487 | $ | 175,820,641 | ||
| Gross coupon rate | 3.6 | % | 3.6 | % | ||
| Current loan size | $ | 324 | $ | 328 | ||
| Original FICO(2) | 760 | 759 | ||||
| Original LTV | 73 | % | 73 | % | ||
| 60+ day delinquencies | 0.9 | % | 0.9 | % | ||
| Net servicing fee | 25.3 basis points | 25.4 basis points | ||||
| Three Months Ended December 31, 2025 | Three Months Ended September 30, 2025 | |||||
| (unaudited) | (unaudited) | |||||
| Fair value losses | $ | (65,213) | $ | (104,896) | ||
| Servicing income | $ | 133,160 | $ | 155,713 | ||
| Servicing costs | $ | 3,705 | $ | 4,270 | ||
| Change in servicing reserves | $ | (322) | $ | (508) |
________________
(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.
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| As of December 31, 2025 | As of September 30, 2025 | |||||
|---|---|---|---|---|---|---|
| Serviced Mortgage Assets | Number of Loans | Unpaid Principal Balance | Number of Loans | Unpaid Principal Balance | ||
| (dollars in thousands) | (unaudited) | (unaudited) | ||||
| Mortgage servicing rights | 675,215 | $ | 162,450,487 | 720,038 | $ | 175,820,641 |
| Subservicing(1) | 178,356 | 40,492,124 | 135,706 | 30,203,608 | ||
| Servicing administrator(2) | 514 | 272,820 | 519 | 278,371 | ||
| Mortgage loans held-for-sale(3) | 38 | 13,336 | 41 | 12,300 | ||
| Total serviced mortgage assets | 854,123 | $ | 203,228,767 | 856,304 | $ | 206,314,920 |
________________
(1)Off-balance sheet mortgage loans owned by third parties and subserviced by the company.
(2)Off-balance sheet mortgage loans owned by third parties for which the company acts as servicing administrator (subserviced by appropriately licensed third-party subservicers).
(3)Originated or purchased mortgage loans held-for-sale at period-end.
| Other Investments and Risk Management Metrics | As of December 31, 2025 | As of September 30, 2025 | ||
|---|---|---|---|---|
| (dollars in thousands) | (unaudited) | (unaudited) | ||
| Net long TBA notional(1) | $ | 4,206,715 | $ | 4,407,629 |
| Futures notional | $ | (4,357,800) | $ | (5,048,200) |
| Interest rate swaps notional | $ | 12,579,986 | $ | 24,881,904 |
________________
(1)Accounted for as derivative instruments in accordance with GAAP.
Financing Summary
The following tables summarize the company’s secured and unsecured financing arrangements and related metrics as of December 31, 2025 and September 30, 2025:
| December 31, 2025 | Balance | Weighted Average Borrowing Rate | Weighted Average Months to Maturity | Number of Distinct Counterparties | ||
|---|---|---|---|---|---|---|
| (dollars in thousands, unaudited) | ||||||
| Repurchase agreements collateralized by securities | $ | 6,601,446 | 4.13 | % | 1.78 | 16 |
| Repurchase agreements collateralized by MSR | 650,000 | 6.76 | % | 6.34 | 3 | |
| Repurchase agreements collateralized by mortgage loans | 4,094 | 5.88 | % | 2.72 | 1 | |
| Total repurchase agreements | 7,255,540 | 4.36 | % | 2.19 | 18 | |
| Revolving credit facilities collateralized by MSR and related servicing advance obligations | 919,371 | 6.77 | % | 21.30 | 3 | |
| Warehouse lines of credit collateralized by mortgage loans | 9,406 | 6.00 | % | 2.63 | 1 | |
| Unsecured senior notes | 111,055 | 9.38 | % | 55.50 | n/a | |
| Unsecured convertible senior notes | 261,810 | 6.25 | % | 0.49 | n/a | |
| Total borrowings | $ | 8,557,182 |
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| September 30, 2025 | Balance | Weighted Average Borrowing Rate | Weighted Average Months to Maturity | Number of Distinct Counterparties | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| (dollars in thousands, unaudited) | ||||||||||||||
| Repurchase agreements collateralized by securities | $ | 6,363,146 | 4.29 | % | 2.90 | 16 | ||||||||
| Repurchase agreements collateralized by MSR | 738,000 | 7.35 | % | 9.40 | 3 | |||||||||
| Repurchase agreements collateralized by mortgage loans | 3,504 | 6.28 | % | 2.83 | 1 | |||||||||
| Total repurchase agreements | 7,104,650 | 4.61 | % | 3.58 | 18 | |||||||||
| Revolving credit facilities collateralized by MSR and related servicing advance obligations | 945,371 | 7.23 | % | 17.03 | 3 | |||||||||
| Warehouse lines of credit collateralized by mortgage loans | 8,452 | 6.38 | % | 2.70 | 1 | |||||||||
| Unsecured senior notes | 110,866 | 9.38 | % | 58.52 | n/a | |||||||||
| Unsecured convertible senior notes | 261,370 | 6.25 | % | 3.52 | n/a | |||||||||
| Total borrowings | $ | 8,430,709 | Borrowings by Collateral Type | As of December 31, 2025 | As of September 30, 2025 | |||||||||
| --- | --- | --- | --- | --- | --- | --- | ||||||||
| (dollars in thousands) | (unaudited) | (unaudited) | ||||||||||||
| Agency RMBS | $ | 6,601,446 | $ | 6,363,146 | ||||||||||
| Mortgage servicing rights and related servicing advance obligations | 1,569,371 | 1,683,371 | ||||||||||||
| Other - secured | 13,500 | 11,956 | ||||||||||||
| Other - unsecured(1) | 372,865 | 372,236 | ||||||||||||
| Total | 8,557,182 | 8,430,709 | ||||||||||||
| TBA cost basis | 4,185,465 | 4,391,419 | ||||||||||||
| Net payable (receivable) for unsettled RMBS | (177,891) | (133,405) | ||||||||||||
| Total, including TBAs and net payable (receivable) for unsettled RMBS | $ | 12,564,756 | $ | 12,688,723 | ||||||||||
| Debt-to-equity ratio at period-end(2) | 4.8 | :1.0 | 4.8 | :1.0 | ||||||||||
| Economic debt-to-equity ratio at period-end(3) | 7.0 | :1.0 | 7.2 | :1.0 | ||||||||||
| Cost of Financing by Collateral Type(4) | Three Months Ended December 31, 2025 | Three Months Ended September 30, 2025 | ||||||||||||
| (unaudited) | (unaudited) | |||||||||||||
| Agency RMBS | 4.27 | % | 4.55 | % | ||||||||||
| Mortgage servicing rights and related servicing advance obligations(5) | 7.63 | % | 7.90 | % | ||||||||||
| Other - secured | 6.60 | % | 6.91 | % | ||||||||||
| Other - unsecured(1)(5) | 7.96 | % | 7.96 | % | ||||||||||
| Annualized cost of financing | 5.04 | % | 5.38 | % | ||||||||||
| Interest rate swaps(6) | (0.13) | % | (0.24) | % | ||||||||||
| U.S. Treasury futures(7) | (0.14) | % | (0.15) | % | ||||||||||
| TBAs(8) | 4.00 | % | 4.25 | % | ||||||||||
| Total annualized cost of financing(8) | 4.41 | % | 4.59 | % |
____________________
(1)Unsecured borrowings under senior notes and 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 U.S. Treasuries.
(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 U.S. Treasury futures held to mitigate interest rate risk associated with the company’s outstanding borrowings is calculated using average borrowings balance as the denominator. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.
(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. For the third quarter of 2025, the implied cost of financing of TBAs, and thus the total annualized cost of financing, has been updated to conform to the current period presentation.
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Conference Call
TWO will host a conference call on February 3, 2026 at 9:00 a.m. ET to discuss its fourth quarter 2025 financial results and related information. To participate in the teleconference, please call toll-free (800) 330-6710 approximately 10 minutes prior to the above start time and provide the Conference Code 2449958. 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 Maryland corporation, is a real estate investment trust that invests in mortgage servicing rights, residential mortgage-backed securities, and other financial assets. TWO is headquartered in St. Louis Park, MN.
Forward-Looking Statements
This press release may contain “forward-looking statements,” including certain plans, expectations, goals, projections and statements about the benefits and synergies of the proposed transaction between TWO and UWMC; pro forma descriptions of the combined company and its operations, integration and transition plans, synergies and anticipated future performance; future opportunities for the combined company; TWO’s and UWMC’s plans, objectives, expectations and intentions, the expected timing of completion of the proposed transaction, the issuance of UWMC common stock and preferred stock in connection with the proposed transaction; the filing by UWMC with the Securities and Exchange Commission (“SEC”) of a registration statement on Form S-4 (the “Registration Statement”) and a proxy statement / prospectus included therein; the ability of the parties to complete the proposed transaction considering the various closing conditions; and other statements that are not historical facts. Such statements are subject to numerous assumptions, risks, and uncertainties. Statements that do not describe historical or current facts, including statements about beliefs and expectations, are forward-looking statements. The forward-looking statements are intended to be subject to the safe harbor provided by Section 27A of the Securities Act of 1933, as amended (the “Securities Act”) and Section 21E of the Securities Exchange Act of 1934, as amended, and the Private Securities Litigation Reform Act of 1995. All statements, other than statements of historical fact, included in this press release that address activities, events or developments that TWO or UWMC expects, believes or anticipates will or may occur in the future are forward-looking statements. Words such as “project,” “predict,” “believe,” “expect,” “anticipate,” “potential,” “create,” “estimate,” “plan,” “continue,” “intend,” “could,” “foresee,” “should,” “could,” “may,” “foresee,” “will,” “guidance,” “look,” “outlook,” “goal,” “future,” “assume,” “forecast,” “build,” “focus,” “work,” or the negative of such terms or other variations thereof and words and terms of similar substance used in connection with any discussion of future plans, actions, or events identify forward-looking statements. However, the absence of these words does not mean that the statements are not forward-looking. Pro forma, projected and estimated numbers are used for illustrative purposes only, are not forecasts and may not reflect actual results. These statements are not guarantees of future performance and involve certain risks, uncertainties and assumptions that are difficult to predict. TWO’s and UWMC’s ability to predict results or the actual effect of future events, actions, plans or strategies is inherently uncertain. Although TWO and UWMC believe the expectations reflected in any forward-looking statements are based on reasonable assumptions, the companies can give no assurance that their expectations will be attained and therefore, actual outcomes and results may differ materially from what is expressed or forecasted in such forward looking statements.
There are a number of risks and uncertainties that could cause actual results to differ materially from the forward-looking statements included in this press release. These include, among other things: the state of credit markets and general economic conditions; the rates of default or decreased recovery on the mortgages underlying TWO’s target assets; declines in home prices; TWO’s ability to establish, adjust and maintain appropriate hedges for the risks in its portfolio; the availability and cost of TWO’s target assets; the availability and cost of financing; changes in the competitive landscape within TWO’s industry; TWO’s ability to manage various operational risks and costs associated with its business, including the risks associated with operating a mortgage loan servicer and originator; interruptions in or impairments to TWO’s communications and information technology systems; TWO’s ability to acquire MSR and to maintain its MSR portfolio; TWO’s exposure to legal and regulatory claims; TWO’s ability to maintain its REIT qualification; limitations imposed on TWO’s business due to its REIT status and its exempt status under the Investment Company Act of 1940; the expected timing and likelihood of completion of the proposed transaction between TWO and UWMC; the ability to successfully integrate the businesses; the occurrence of any event, change or other circumstances that could give rise to the termination of the proposed transaction; the potential failure to receive, on a
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timely basis or otherwise, the required approvals of the proposed transaction, including stockholder approval by TWO’s stockholders, and the potential failure to satisfy the other conditions to the consummation of the proposed transaction in a timely manner or at all; risks relating to the value of the UWMC securities to be issued in the proposed transaction; risks related to disruption of management’s attention from ongoing business operations due to the proposed transaction; the risk that any announcements relating to the proposed transaction could have adverse effects on the market price of common stock of UWMC or TWO; the risk that the proposed transaction and its announcement could have an adverse effect on the ability of TWO and UWMC to retain and hire key personnel and the effect on the operating results and businesses of TWO and UWMC generally; the outcome of any legal proceedings relating to the proposed transaction; including stockholder litigation in connection with the proposed transaction; the risk that restrictions during the pendency of the proposed transaction may impact TWO’s or UWMC’s ability to pursue certain business opportunities or strategic transactions; that TWO or UWMC may be adversely affected by other economic, business or competitive factors; changes in future loan production; the availability of suitable investment opportunities; changes in interest rates; changes in the yield curve; changes in prepayment rates; the availability and terms of financing; conditions in the market for mortgage-related investments; legislative and regulatory changes that could adversely affect the business of TWO or UWMC. All such factors are difficult to predict and are beyond the control of TWO and UWMC, including those detailed in TWO’s annual reports on Form 10-K, quarterly reports on Form 10-Q and periodic reports on Form 8-K that are available on TWO’s website at www.twoinv.com/investors and on the SEC’s website at www.sec.gov, and those detailed in UWMC’s annual reports on Form 10-K, quarterly reports on Form 10-Q and periodic reports on Form 8-K that are available on UWMC’s website at https://investors.uwm.com/ and on the SEC’s website at www.sec.gov.
Each of the forward-looking statements of TWO or UWMC are based on assumptions that TWO or UWMC, as applicable, believes to be reasonable but that may not prove to be accurate. Any forward-looking statement speaks only as of the date on which such statement is made, and neither TWO nor UWMC undertakes any obligation to correct or update any forward-looking statement, whether as a result of new information, future events or otherwise, except as required by applicable law. Readers are cautioned not to place undue reliance on these forward-looking statements that speak only as of the date hereof.
IMPORTANT ADDITIONAL INFORMATION AND WHERE TO FIND IT
In connection with the proposed transaction, UWMC has filed with the SEC the Registration Statement that includes a preliminary proxy statement of TWO and also constitutes a prospectus of UWMC. The proposed transaction will be submitted to the stockholders of TWO for their approval. TWO and UWMC may also file other documents with the SEC regarding the proposed transaction. UWMC may not sell the common or preferred stock referenced in the preliminary proxy statement / prospectus until the Registration Statement filed with the SEC becomes effective. The preliminary proxy statement / prospectus and this press release are not offers to sell UWMC securities, are not soliciting an offer to buy UWMC securities in any state where the offer and sale is not permitted and are not a solicitation of any vote or approval. The definitive proxy statement / prospectus will be sent to the stockholders of TWO. This document is not a substitute for the Registration Statement and proxy statement / prospectus that will be filed with the SEC or any other documents that TWO or UWMC may file with the SEC or send to stockholders of TWO in connection with the proposed transaction. INVESTORS AND SECURITYHOLDERS OF TWO ARE ADVISED TO READ THE REGISTRATION STATEMENT AND THE PROXY STATEMENT / PROSPECTUS REGARDING THE PROPOSED TRANSACTION (INCLUDING ALL OTHER RELEVANT DOCUMENTS THAT ARE FILED OR WILL BE FILED WITH THE SEC, AS WELL AS ANY AMENDMENTS OR SUPPLEMENTS TO THESE DOCUMENTS) CAREFULLY AND IN THEIR ENTIRETY BECAUSE THEY WILL CONTAIN IMPORTANT INFORMATION ABOUT THE PROPOSED TRANSACTION AND RELATED MATTERS. Investors and securityholders may obtain a free copy of the Registration Statement and the proxy statement / prospectus and all other documents filed or that will be filed with the SEC by TWO or UWMC on the SEC’s website at www.sec.gov. Copies of documents filed with the SEC by TWO will be made available free of charge on TWO’s website at www.twoinv.com/investors or by directing a request to: Two Harbors Investment Corp., 1601 Utica Avenue South, Suite 900, St. Louis Park, MN 55416, Attention: Investor Relations. Copies of documents filed with the SEC by UWMC will be made available free of charge on UWMC's website at investors.uwm.com or by directing a request to: UWM Holdings Corporation, 585 South Boulevard E. Pontiac, Michigan, 48341, Attention: Investor Relations.
PARTICIPANTS IN THE SOLICITATION
TWO, UWMC and their directors, executive officers and certain other members of management and employees of TWO and UWMC may be deemed to be “participants” in the solicitation of proxies from the stockholders of TWO in
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connection with the proposed transaction. Securityholders can find information about TWO and its directors and executive officers and their ownership of TWO common stock in TWO’s annual report on Form 10-K for the fiscal year ended December 31, 2024 and in its definitive proxy statement relating to its 2025 annual meeting of stockholders filed with the SEC on April 2, 2025 (the “TWO 2025 Proxy”). Please refer to the sections captioned “Compensation Discussion and Analysis”, “Summary Compensation Table”, “Stock Ownership” and “Proposal 2: Advisory Vote Relating to Executive Compensation” in the TWO 2025 Proxy. Any changes in the holdings of TWO’s securities by its directors or executive officers from the amounts described in the TWO 2025 Proxy have been reflected in Statements of Change in Ownership on Form 4 filed with the SEC subsequent to the filing date of the TWO 2025 Proxy and are available on the SEC’s website at www.sec.gov. Information regarding UWMC’s directors and executive officers is available in UWMC’s Annual Report on Form 10-K for the fiscal year ended December 31, 2024 and in its definitive proxy statement relating to its 2025 annual meeting of stockholders filed with the SEC on April 25, 2025 (the “UWMC 2025 Proxy”). Please refer to the sections captioned “Compensation Discussion and Analysis”, “Executive Compensation”, “Stock Ownership” and “Proposal 3 – Advisory Vote on Executive Officer Compensation” in the UWMC 2025 Proxy. Any changes in the holdings of UWMC’s securities by its directors or executive officers from the amounts described in the UWMC 2025 Proxy have been reflected in Statements of Change in Ownership on Form 4 filed with the SEC subsequent to the filing date of the UWMC 2025 Proxy and are available on the SEC’s website at www.sec.gov. Additional information regarding the interests of such individuals in the proposed transaction will be included in the proxy statement / prospectus relating to the proposed transaction when it is filed with the SEC. Free copies of these documents may be obtained as described in the preceding paragraph.
NO OFFER OR SOLICITATION
This press release is for informational purposes only and is not intended to, and shall not, constitute an offer to sell or the solicitation of an offer to buy any securities or a solicitation of any vote or approval, nor shall there be any sale of securities in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such jurisdiction. No offering of securities shall be made except by means of a prospectus meeting the requirements of Section 10 of the Securities Act.
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 earnings available for distribution and related per basic common share measures. 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 12 of this release.
Contact
Margaret Karr, Head of Investor Relations, TWO, (612)-453-4080, Margaret.Karr@twoinv.com
#
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| TWO HARBORS INVESTMENT CORP. | ||||
|---|---|---|---|---|
| CONSOLIDATED BALANCE SHEETS | ||||
| (dollars in thousands, except share data) | ||||
| December 31,<br>2025 | December 31,<br>2024 | |||
| (unaudited) | ||||
| ASSETS | ||||
| Available-for-sale securities, at fair value (amortized cost $6,516,016 and $7,697,027, respectively; allowance for credit losses $1,609 and $2,866, respectively) | $ | 6,514,471 | $ | 7,371,711 |
| Mortgage servicing rights, at fair value | 2,421,910 | 2,994,271 | ||
| Mortgage loans held-for-sale, at fair value | 13,630 | 2,334 | ||
| Cash and cash equivalents | 842,319 | 504,613 | ||
| Restricted cash | 219,633 | 313,028 | ||
| Accrued interest receivable | 29,229 | 33,331 | ||
| Due from counterparties | 379,259 | 386,464 | ||
| Derivative assets, at fair value | 87,549 | 10,114 | ||
| Reverse repurchase agreements | 157,120 | 355,975 | ||
| Other assets | 194,097 | 232,478 | ||
| Total Assets | $ | 10,859,217 | $ | 12,204,319 |
| LIABILITIES AND STOCKHOLDERS’ EQUITY | ||||
| Liabilities: | ||||
| Repurchase agreements | $ | 7,255,540 | $ | 7,805,057 |
| Revolving credit facilities | 919,371 | 1,020,171 | ||
| Warehouse lines of credit | 9,406 | 2,032 | ||
| Senior notes | 111,055 | — | ||
| Convertible senior notes | 261,810 | 260,229 | ||
| Derivative liabilities, at fair value | 4,254 | 24,897 | ||
| Due to counterparties | 215,814 | 648,643 | ||
| Dividends payable | 48,932 | 58,725 | ||
| Accrued interest payable | 81,914 | 85,994 | ||
| Other liabilities | 163,194 | 176,062 | ||
| Total Liabilities | 9,071,290 | 10,081,810 | ||
| Stockholders’ Equity: | ||||
| Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 24,870,817 shares issued and outstanding ($621,770 liquidation preference) | 601,467 | 601,467 | ||
| Common stock, par value $0.01 per share; 175,000,000 shares authorized and 104,806,311 and 103,680,321 shares issued and outstanding, respectively | 1,048 | 1,037 | ||
| Additional paid-in capital | 5,948,478 | 5,936,609 | ||
| Accumulated other comprehensive loss | (87) | (320,524) | ||
| Cumulative earnings | 1,194,485 | 1,648,785 | ||
| Cumulative distributions to stockholders | (5,957,464) | (5,744,865) | ||
| Total Stockholders’ Equity | 1,787,927 | 2,122,509 | ||
| Total Liabilities and Stockholders’ Equity | $ | 10,859,217 | $ | 12,204,319 |
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| TWO HARBORS INVESTMENT CORP. | ||||||||
|---|---|---|---|---|---|---|---|---|
| CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||
| (dollars in thousands, except per share amounts) | ||||||||
| Certain prior period amounts have been reclassified to conform to the current period presentation | ||||||||
| Three Months Ended | Year Ended | |||||||
| December 31, | December 31, | |||||||
| 2025 | 2024 | 2025 | 2024 | |||||
| (unaudited) | (unaudited) | |||||||
| Net interest expense: | ||||||||
| Interest income | $ | 89,919 | $ | 103,774 | $ | 411,998 | $ | 450,152 |
| Interest expense | 105,408 | 138,668 | 490,943 | 607,806 | ||||
| Net interest expense | (15,489) | (34,894) | (78,945) | (157,654) | ||||
| Net servicing income: | ||||||||
| Servicing income | 145,062 | 167,568 | 626,723 | 681,648 | ||||
| Servicing costs | 3,383 | 4,575 | 12,728 | 20,069 | ||||
| Net servicing income | 141,679 | 162,993 | 613,995 | 661,579 | ||||
| Other (loss) income: | ||||||||
| Loss on investment securities | (14,432) | (8,009) | (96,178) | (40,038) | ||||
| (Loss) gain on servicing asset | (65,213) | 82,520 | (242,232) | (62,674) | ||||
| Gain (loss) on derivative instruments | 21,165 | 144,468 | (91,484) | 106,854 | ||||
| Gain on mortgage loans held-for-sale | 1,557 | 558 | 4,705 | 1,482 | ||||
| Other (loss) income | (714) | 850 | 5,199 | 1,199 | ||||
| Total other (loss) income | (57,637) | 220,387 | (419,990) | 6,823 | ||||
| Expenses: | ||||||||
| Compensation and benefits | 25,961 | 21,800 | 95,326 | 89,753 | ||||
| Other operating expenses | 25,299 | 19,085 | 90,162 | 76,241 | ||||
| Litigation settlement expense | — | — | 375,000 | — | ||||
| Total expenses | 51,260 | 40,885 | 560,488 | 165,994 | ||||
| Income (loss) before income taxes | 17,293 | 307,601 | (445,428) | 344,754 | ||||
| Provision for income taxes | 5,576 | 30,872 | 8,872 | 46,586 | ||||
| Net income (loss) | 11,717 | 276,729 | (454,300) | 298,168 | ||||
| Dividends on preferred stock | (13,042) | (11,784) | (52,791) | (47,136) | ||||
| Gain on repurchase and retirement of preferred stock | — | — | — | 644 | ||||
| Net (loss) income attributable to common stockholders | $ | (1,325) | $ | 264,945 | $ | (507,091) | $ | 251,676 |
| Basic (loss) earnings per weighted average common share | $ | (0.02) | $ | 2.54 | $ | (4.88) | $ | 2.41 |
| Diluted (loss) earnings per weighted average common share | $ | (0.02) | $ | 2.37 | $ | (4.88) | $ | 2.37 |
| Comprehensive income (loss): | ||||||||
| Net income (loss) | $ | 11,717 | $ | 276,729 | $ | (454,300) | $ | 298,168 |
| Other comprehensive income (loss): | ||||||||
| Unrealized gain (loss) on available-for-sale securities | 51,754 | (266,565) | 320,437 | (144,095) | ||||
| Other comprehensive income (loss) | 51,754 | (266,565) | 320,437 | (144,095) | ||||
| Comprehensive income (loss) | 63,471 | 10,164 | (133,863) | 154,073 | ||||
| Dividends on preferred stock | (13,042) | (11,784) | (52,791) | (47,136) | ||||
| Gain on repurchase and retirement of preferred stock | — | — | — | 644 | ||||
| Comprehensive income (loss) attributable to common stockholders | $ | 50,429 | $ | (1,620) | $ | (186,654) | $ | 107,581 |
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| TWO HARBORS INVESTMENT CORP. | ||||||||
|---|---|---|---|---|---|---|---|---|
| INTEREST INCOME AND INTEREST EXPENSE | ||||||||
| (in thousands) | ||||||||
| Three Months Ended | Year Ended | |||||||
| December 31, | December 31, | |||||||
| 2025 | 2024 | 2025 | 2024 | |||||
| (unaudited) | (unaudited) | |||||||
| Interest income: | ||||||||
| Available-for-sale securities | $ | 81,964 | $ | 92,644 | $ | 374,987 | $ | 393,527 |
| Mortgage loans held-for-sale | 203 | 49 | 526 | 78 | ||||
| Other | 7,752 | 11,081 | 36,485 | 56,547 | ||||
| Total interest income | 89,919 | 103,774 | 411,998 | 450,152 | ||||
| Interest expense: | ||||||||
| Repurchase agreements | 81,084 | 112,510 | 388,341 | 468,492 | ||||
| Revolving credit facilities | 16,080 | 21,597 | 75,691 | 108,623 | ||||
| Warehouse lines of credit | 129 | 55 | 424 | 66 | ||||
| Term notes payable | — | — | — | 12,426 | ||||
| Senior notes | 2,884 | — | 7,264 | — | ||||
| Convertible senior notes | 4,532 | 4,506 | 17,949 | 18,199 | ||||
| Other | 699 | — | 1,274 | — | ||||
| Total interest expense | 105,408 | 138,668 | 490,943 | 607,806 | ||||
| Net interest expense | $ | (15,489) | $ | (34,894) | $ | (78,945) | $ | (157,654) |
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| 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 | ||||
| December 31,<br>2025 | September 30,<br>2025 | |||
| (unaudited) | (unaudited) | |||
| Reconciliation of comprehensive income (loss) to Earnings Available for Distribution: | ||||
| Comprehensive income (loss) attributable to common stockholders | $ | 50,429 | $ | (80,207) |
| Adjustment for other comprehensive income attributable to common stockholders: | ||||
| Unrealized gain on available-for-sale securities | (51,754) | (61,038) | ||
| Net loss attributable to common stockholders | $ | (1,325) | $ | (141,245) |
| Adjustments to exclude reported realized and unrealized (gains) losses: | ||||
| Realized loss on securities | 15,018 | 16,012 | ||
| Unrealized (gain) loss on securities | (578) | 266 | ||
| Reversal of provision for credit losses | (8) | (91) | ||
| Realized and unrealized loss on mortgage servicing rights | 65,213 | 104,896 | ||
| Realized and unrealized gain on derivative instruments | (13,121) | (55,692) | ||
| Other losses (gains) | 2,590 | (2,304) | ||
| Other adjustments: | ||||
| MSR amortization(1) | (69,700) | (78,902) | ||
| TBA dollar roll income(2) | 12,409 | 10,371 | ||
| U.S. Treasury futures income(3) | 4,471 | 5,006 | ||
| Change in servicing reserves | (322) | (508) | ||
| Non-cash equity compensation expense | 3,352 | 1,544 | ||
| Certain operating expenses(4) | 4,209 | 4,066 | ||
| Litigation settlement expense | — | 175,065 | ||
| Net provision for (benefit from) income taxes on non-EAD | 5,227 | (1,330) | ||
| Earnings available for distribution to common stockholders(5) | $ | 27,435 | $ | 37,154 |
| Weighted average basic common shares | 104,239,402 | 104,144,560 | ||
| Earnings available for distribution to common stockholders per weighted average basic common share | $ | 0.26 | $ | 0.36 |
_____________
(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)U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.
(4)Certain operating expenses predominantly consists of transaction expenses incurred in connection with the company’s proposed merger with UWMC and the company’s litigation with its former external manager.
(5)EAD is a non-GAAP measure that we define as comprehensive income (loss) 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, certain operating expenses and litigation settlement expense. As defined, EAD includes net interest income, accrual and settlement of interest on derivatives, dollar roll income on TBAs, U.S. Treasury futures income, servicing income, net of estimated amortization on MSR and certain cash related operating expenses. EAD provides supplemental information to assist investors in analyzing the company’s results of operations and helps facilitate comparisons to industry peers. EAD is one of several measures our board of directors considers to determine the amount of dividends to declare on our common stock and should not be considered an indication of our taxable income or as a proxy for the amount of dividends we may declare.
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q425earningsdeck2
An MSR-Focused REIT Fourth Quarter Earnings Call Presentation February 3, 2026
Safe Harbor Statement 2 FORWARD-LOOKING STATEMENTS This presentation of Two Harbors Investment Corp., or TWO, 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 2024, 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 entry into a merger agreement with UWM Holdings Corporation and the ability to realize the potential benefits and synergies of the proposed transaction; our ability to manage various operational risks and costs associated with our business, including the risks associated with operating a mortgage loan servicer and originator; interruptions in or impairments to our communications and information technology systems; our ability to acquire mortgage servicing rights (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. 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 should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors.
Common Stock Dividend $0.34 Comprehensive Income per Share $0.48 Investment Portfolio(2) $13.2b Quarter-End Economic Debt-to-Equity(3) 7.0x Note: Financial data throughout this presentation is as of or for the quarter ended December 31, 2025, unless otherwise noted. Per share metrics utilize basic common shares as the denominator. The End Notes are an integral part of this presentation. See slides 30 through 35 at the back of this presentation for information related to certain financial metrics and defined terms used herein. Quarterly Financials Overview 3 Book Value per Share $11.13 Economic Return on Book Value(1) 3.9%
4 Markets Overview Positive Performance Across RMBS + MSR Strategy • The Federal Reserve delivered two 25 basis point cuts to its benchmark rate, in line with market expectations • By the end of the quarter, the yield curve had reached its steepest level since January 2022 ◦ 2-year U.S. Treasury yields declined by 14 basis points to 3.47% ◦ 10-year U.S. Treasury yields rose by 2 basis points to 4.17% I. FED FUND RATE EXPECTATIONS(1) II. QUARTERLY YIELD CURVE CHANGE(1) 2yr Tsy -14bps 10yr Tsy +2bps
$38 million UPB in Originations Pipeline(1) $203 billion Serviced UPB 854,123 Loans Serviced Hedges Portfolio Direct-to-consumer protects value of TWO’s MSR portfolio when interest rates decline and refinancing activity increases more than expected Cost Efficiencies Focused on additional operational efficiencies to deliver lower cost-to- service per loan Additional Income Subservicing, direct-to-consumer originations, and ancillary products offer new sources of income RoundPoint Operations Update 5 $94 million UPB Funded First and Second Liens Direct-to-Consumer Originations Highlights Servicing Platform Highlights TWO + RoundPoint Benefits $58 million UPB Brokered Second Lien Loans $162 billion Owned Servicing UPB $40 billion Subserviced UPB Technology Drives Efficiencies and Experience AI in the Contact Center Deploying speech recognition, transcription and analysis help increase operational efficiency Automated Interactions Expanding to leverage AI for automated interactions via virtual agents, improve quality assurance, and streamline risk reviews AI-Driven Agent Assistance and Knowledge Bases Reduced call time and improved experiences through first call resolution, more accurate responses
$1,149.9 $11.7 $51.7 $(13.0) $(35.9) $1.7 $1,166.1 September 30, 2025 Common Stockholders’ Equity GAAP Net Income Other Comprehensive Income Preferred Stock Dividends Common Stock Dividends Other December 31, 2025 Common Stockholders’ Equity ($ in millions, except per share data) $11.04 per common share $11.13 per common share Represents Comprehensive Income of $50.4 million, or $0.48 per common share Declared common stock dividend of $0.34 per share Increase Decrease Total Book Value Summary 6 3.9% quarterly economic return on book value(1)
$126.2 $(6.7) $0.8 $(51.3) $— $(5.6) $(13.0) $50.4 $139.2 $8.8 $5.7 $(44.3) $(175.1) $(1.2) $(13.3) $(80.2) Q4 2025 Q3 2025 Net Interest and Servicing Income Mark-to-Market Gains and Losses Other Income Operating Expenses Litigation Settlement Expense Tax Provision Preferred Stock Dividends Comprehensive Income (Loss) Comprehensive Income (Loss) Summary 7 ($ in millions, except per share data) Q4 Comprehensive Income of $0.48 per weighted average common share Higher operating expenses, primarily from higher compensation and benefits and higher loan level expenses Includes income related to originations MSR portfolio runoff and bull-steepening in rates MSR sales drove decrease in servicing income, partially offset by lower financing rates (1) (2)
• $1.5 billion of outstanding borrowings under bilateral MSR asset financing facilities • $1.1 billion of unused MSR asset financing capacity; $102.1 million committed and $950.0 million uncommitted • $71.5 million outstanding borrowings and $78.5 million of unused, committed capacity for servicing advance receivables BALANCE SHEET AS OF DECEMBER 31, 2025 • $6.6 billion of outstanding repurchase agreements with 16 counterparties • Weighted average days to maturity of 54 days Av er ag e R ep o R at e - S O FR (b ps ) 3-month 6-month Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 0 20 40(1 ) Agency RMBS $6.6 billion MSR $2.4 billion Cash & cash equivalents $0.8 billion All other assets $1.1 billion Agency RMBS repurchase agreements $6.6 billion MSR financing $1.6 billion All other liabilities $0.5 billion Preferred equity $0.6 billion Common equity $1.2 billion Senior/convertible notes $0.4 billion 2021 2022 2023 2024 Financing Profile 8 AGENCY RMBS MORTGAGE SERVICING RIGHTS 2025 • Post quarter-end, convertible senior notes of $261.9 million in UPB were repaid in full on their January 15, 2026 maturity date
At December 31, 2025, $13.2 billion portfolio Includes $9.0 billion settled positions M ar ke t Va lu e Eq ui va le nt s ($ b ill io ns ) Econom ic D ebt-To-Equity 8.6 8.4 6.5 6.6 3.0 3.0 4.4 4.2 3.0 3.0 2.6 2.4 6.2x 7.0x 7.2x 7.0x Agency Net TBA Position MSR Economic Debt-to-Equity 3/31/2025 6/30/2025 9/30/2025 12/31/2025 0 5 10 15 20 25 0.0x 2.0x 4.0x 6.0x 8.0x (3) (3 ) (2) 13.213.5 14.6 14.4 Note: Sensitivity data as of December 31, 2025. The above scenarios are provided for illustration purposes only and are not necessarily indicative of TWO’s financial condition and operating results, nor are they necessarily indicative of the financial condition or results of operations that may be expected for any future period or date. See Slide 17 the Appendix for more information on our risk positioning. C ha ng e in c om m on bo ok v al ue (1.2)% (0.8)% (1.1)% (0.9)% 9/30/2025 12/31/2025 Up 25 basis points Down 25 basis points (2.0)% (1.0)% —% C ha ng e in c om m on bo ok v al ue (4.5)% 2.3% (4.0)% 3.7% 9/30/2025 12/31/2025 Up 25 basis points Down 25 basis points (8.0)% —% 8.0% 9 Portfolio Composition and Risk Positioning I. PORTFOLIO COMPOSITION(1) II. INTEREST RATE EXPOSURE(4) III. MORTGAGE SPREAD EXPOSURE(5)
10 Agency RMBS Investment Landscape STRONG QUARTER FOR RMBS WITH LOW REALIZED VOLATILITY • Realized and implied volatility continued to decline to pre-COVID levels, with 2-year/10-year swaption implied volatility down to 79 basis points, 4 basis points below its 10- year average, and the yield curve steepened • RMBS spreads tightened in response, with current coupon nominal and option-adjusted spreads tighter by 30 and 23 basis points, respectively ◦ Post quarter-end, spreads have tightened further given the mandate for the GSEs to buy $200 billion of RMBS with the explicit goal of tightening mortgage spreads • Mortgage spreads have returned to pre-COVID levels and some measures (like OAS relative to Treasuries) are historically tight, though coordinated support from the Administration should limit their widening potential and may keep them in a tighter range I. RMBS SPREADS(1) II. NOMINAL SPREAD CURVE IS STEEP, OAS CURVE FLAT(2)
Coupon Ti ck s (3 2 nd s) TBAs TWO Specified Pools 3.0 3.5 4.0 4.5 5.0 5.5 6 6.5 0 10 20 30 40 50 60 70 TWO Specified Pools (Q4-2025)TBAs (Q4-2025)(5) TBAs (Q3-2025)(5) TWO Specified Pools (Q3-2025) Market Value(4) ($ billions) $— $— $— $1.07 $1.44 $0.80 $1.79 $0.54 11 Agency RMBS Portfolio I. RMBS QUARTERLY PERFORMANCE II. SPECIFIED POOL PREPAYMENT SPEEDS(1) (2) (3) QUARTERLY HIGHLIGHTS • Hedged performance for Agency RMBS across the stack was positive in the fourth quarter • For the coupons that TWO owned, specified pools outperformed TBAs led by 4.5s and 5.0s, where we have our largest pool exposure • Agency RMBS pass-through position was largely stable quarter over quarter, with over 90% of pool holdings in prepayment protected securities • Higher coupon speeds increased reflecting the drop in mortgage rates in the third quarter to around 6.25%, where they stabilized in the fourth quarter • Weighted average specified pool portfolio prepayment speeds increased to 8.6%, compared to 8.3% in the third quarter(1)
12 MSR Investment Landscape MSR MARKET CONTINUES TO BE WELL SUPPORTED • Demand remains strong for MSR amongst the origination and investor communities • The housing market remains slow, with weak winter seasonals; no near-term material change in turnover rates anticipated • With rates around 6.25%, about 3% of the UPB of TWO's MSR portfolio has 50 basis points or more of a rate incentive to refinance • The Administration is focused on policies to stimulate the housing market and increase homeownership; anticipate home prices will continue to rise in the low single digits (annualized) and for housing turnover to continue to trend about 5% higher year-on-year • Actual prepayment speeds continue to run below model speeds I. BULK MSR BID VOLUME(1) II. COMPOSITION OF TWO MSR VS. CURRENT RATES(2)
UPB(3) ($ billions) $62.5 $26.9 $17.2 $9.8 $8.2 $6.4 $4.0 $3.2 $3.6 $1.7 QUARTERLY HIGHLIGHTS • Price multiple consistent quarter-over-quarter at 5.8x • Added $399.1 million UPB through flow acquisitions and recapture • Sold $9.6 billion UPB of MSR on a subservicing-retained basis • Weighted average 3-month CPR increased to 6.4% CPR from 6.0% in Q3, reflecting housing turnover rates • 60+ day delinquencies remain low at 0.9% 12/31/2025 9/30/2025 Fair value ($ millions) $ 2,422 $ 2,627 Price multiple 5.8x 5.8x UPB ($ millions) $ 163,773 $ 177,216 Gross coupon rate 3.55 % 3.59 % Current loan size ($ thousands) $ 325 $ 329 Original FICO(2) 760 760 Original Loan-to-Value (LTV) 73 % 73 % 60+ day delinquencies 0.9 % 0.9 % Net servicing fee (bps) 25.3 25.4 Loan age (months) 64 60 3-month CPR 6.4 % 6.0 % TWO MSR (Q4-2025)TBAs (Q4-2025)(4) TBAs (Q3-2025)(4) TWO MSR (Q3-2025) 13 MSR Portfolio I. MSR PORTFOLIO CHARACTERISTICS(1) II. 30-YEAR MSR PREPAYMENT SPEEDS
14 Return Potential and Outlook ATTRACTIVE RETURN OPPORTUNITIES FOR UNIQUELY POSITIONED PORTFOLIO As of December 31, 2025 PORTFOLIO MARKET VALUE ($ millions) INVESTED CAPITAL ALLOCATED(1) STATIC RETURN ESTIMATE(2) SERVICING MSR 2,422 RMBS(3) 5,055 Total 7,477 65% 10% - 13% SECURITIES RMBS(3) 4,859 Other Securities 943 Total 5,802 35% 10% - 14% INVESTED CAPITAL ($ millions) TWO’s STATIC RETURN ESTIMATE(4) Total Portfolio Before Corporate and Tax Expenses 10.3% - 13.5% Corporate and Tax Expenses(5) (3.3)% - (3.3)% Total Return to Invested Capital 6.9% - 10.2% INVESTED CAPITAL Senior Notes 115 9.4% Preferred Equity(6) 622 8.7% Common Equity 1,166 5.8% - 11.1% Total Invested Capital 1,903 PROSPECTIVE QUARTERLY STATIC RETURN PER BASIC COMMON SHARE(7): $0.16 - $0.31 Note: This slide presents estimates for illustrative purposes only, using TWO’s base case assumptions (e.g., spreads, prepayment speeds, financing costs, leverage and expenses), and does not contemplate market- driven value changes, active portfolio management, or certain operating expenses. Actual results may differ materially.
Appendix
Coupon (%) TBA Market Price(1) TBA Notional ($m) Specified Pools Par Value ($m)(2) MSR/ Agency IO UPB ($m)(3) Combined ($m) ZV to SOFR Spreads for Specified Pools(4) 3.5% $ 92.48 $ — $ — $ — $ — — 4.0% $ 94.94 — — — — — 4.5% $ 97.68 (120) 1,090 (128) 842 90 5.0% $ 99.81 2,853 1,429 (4,889) (607) 99 5.5% $ 101.44 2,788 787 — 3,575 121 6.0% $ 102.68 (833) 1,732 — 899 137 ≥ 6.5% $ 104.56 (481) 508 — 27 142 Total $ 4,207 $ 5,546 $ (5,017) $ 4,736 116 16 Effective Coupon Positioning Coupon U PB ( $ in b ill io ns ) Q4 2025 Q3 2025 3.5 4.0 4.5 5.0 5.5 6.0 ≥ 6.5 -2.0 -1.0 0.0 1.0 2.0 3.0 II. QUARTER-OVER-QUARTER CHANGE IN POSITIONINGI. EFFECTIVE COUPON POSITIONING Combined TBA, Specified Pool and MSR positioning by coupon
Note: Sensitivity data as of December 31, 2025. The above scenarios are provided for illustration purposes only and are not necessarily indicative of TWO’s financial condition and operating results, nor are they necessarily indicative of the financial condition or results of operations that may be expected for any future period or date. Book Value Exposure to Changes in Rates % Change in Common Book Value 2-Year Rate (basis points) 10-Year Rate (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Other(2) Combined -25 0 Bull Steepener(3) 2.7 % 0.7 % (3.1) % 0.3 % 0 -25 Bull Flattener(4) 5.0 % (5.0) % (1.2) % (1.2) % -50 -50 Parallel Shift(5) 14.3 % (9.6) % (8.7) % (4.0) % -25 -25 Parallel Shift(5) 7.8 % (4.4) % (4.3) % (0.9) % 0 0 Base — % — % — % — % +25 +25 Parallel Shift(5) (9.0) % 3.8 % 4.1 % (1.1) % +50 +50 Parallel Shift(5) (19.2) % 6.4 % 7.9 % (4.9) % +25 0 Bear Flattener(3) (2.8) % (1.0) % 2.8 % (1.0) % 0 +25 Bear Steepener(4) (6.3) % 4.8 % 1.3 % (0.2) % Book Value Exposure to Current Coupon Spread(6) % Change in Common Book Value Parallel Shift in Spreads (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Combined -25 7.4 % (3.7) % 3.7 % 0 — % — % — % +25 (8.5) % 4.5 % (4.0) % 17 Risk Positioning
18 Markets Overview I. QUARTERLY MORTGAGE PERFORMANCE(1) II. DAILY VOLATILITY OF 10-YEAR SWAP RATE(2) III. MORTGAGE SPREAD VOLATILITY(3) IV. TWO MSR SPEEDS AND EXISTING HOME SALES(4)
$(1.6) $64.9 $(221.8) $(80.2) $50.4 Comprehensive Income ($ in millions) Q4-2024 Q1-2025 Q2-2025 Q3-2025 Q4-2025 $-300 $-150 $0 $150 $14.47 $14.66 $12.14 $11.04 $11.13 $0.45 $0.45 $0.39 $0.34 $0.34 Book Value ($) Dividend Declared ($) Q4-2024 Q1-2025 Q2-2025 Q3-2025 Q4-2025 $5.00 $10.00 $15.00 $20.00 —% 4.4% (14.5)% (6.3)% 3.9% Quarterly Return on Book Value Q4-2024 Q1-2025 Q2-2025 Q3-2025 Q4-2025 -20% -10% 0% 10% 15.2% 13.5% 14.5% 13.8% 13.0% Dividend Yield Q4-2024 Q1-2025 Q2-2025 Q3-2025 Q4-2025 5% 10% 15% 20% 19 Financial Performance I. COMPREHENSIVE INCOME (LOSS) II. QUARTERLY ECONOMIC RETURN ON BOOK VALUE(1) III. DIVIDEND YIELD(2) IV. BOOK VALUE AND DIVIDEND PER COMMON SHARE(2)
$(15.5) $141.7 $37.3 $21.2 $(65.2) $(23.5) $162.7 $44.8 $68.9 $(104.9) Q4 2025 Q3 2025 Net Interest Expense Net Servicing Income Investment Securities Gain and Change in OCI Net Derivatives Gain Servicing Asset Loss Net Interest and Servicing Income Net Interest, Servicing and Mark-to-Market Detail 20 ($ in millions, except per share data) Mark-to-Market Decrease in net interest expense driven by lower financing costs due to lower average balances primarily as a result of MSR sales and lower rates MSR portfolio runoff and market movement on swaps, partially offset by positive market movement on Agency RMBS, TBAs and futures driven by bull steepening in rates Decrease in servicing fee income a result of MSR sales; lower float income due to lower rates and balances at the end of the year
($ thousands) Portfolio Asset Type Measure Average Amortized Cost Income(1) Average Yield Available-for-sale securities GAAP $ 6,589,521 $ 81,964 4.98% Mortgage loans held-for-sale GAAP 12,868 203 6.31% Adjustments to include other portfolio items: Mortgage servicing rights(2)(3) Non-GAAP 1,521,757 42,132 11.07% Agency derivatives(2)(4) Non-GAAP 102,738 3,877 15.09 % TBAs(2)(5) Non-GAAP 4,154,734 53,999 5.20 % Total portfolio Non-GAAP $ 12,381,618 $ 182,175 5.89% Financing Collateral Type Measure Average Outstanding Balance Expense(6) Average Cost Borrowings collateralized by available-for-sale securities GAAP $ 6,384,948 $ 68,104 4.27% Borrowings collateralized by mortgage loans held-for-sale GAAP 12,976 214 6.60 % Adjustments to include other financing items: Borrowings collateralized by mortgage servicing rights and advances GAAP 1,471,382 28,085 7.63 % Borrowings collateralized by Agency derivatives(4) GAAP 76,191 890 4.67 % Senior notes(7) GAAP 110,991 2,884 10.39 % Convertible senior notes(8) GAAP 261,663 4,532 6.93 % Interest rate swaps(2)(9) Non-GAAP (4,167) (0.13) % U.S. Treasury futures(2)(10) Non-GAAP (4,471) (0.14) % TBAs(2)(5) Non-GAAP 4,154,734 41,590 4.00 % Total financing Non-GAAP $ 12,472,885 $ 137,661 4.41 % Net Spread Measure Average Yield, less Cost Net spread on AFS securities and mortgage loans held-for-sale GAAP 0.71% Net spread on total portfolio Non-GAAP 1.48% 21 Q4-2025 Portfolio Yields and Financing Costs
Par Value ($ millions) Market Value ($ millions) Weighted Average CPR(1) % Prepay Protected(2) Amortized Cost Basis ($ millions) Gross Weighted Average Coupon Weighted Average Age (Months) 30-Year Fixed 4.5% 1,090 1,074 8.1 % 100.0 % $ 1,090 5.2 % 42 5.0% 1,429 1,442 8.0 % 100.0 % 1,451 5.7 % 42 5.5% 787 804 13.0 % 99.7 % 796 6.4 % 41 6.0% 1,732 1,790 9.8 % 82.9 % 1,777 6.9 % 8 ≥ 6.5% 508 532 17.0 % 89.8 % 528 7.3 % 9 5,546 5,642 10.2 % 93.6 % 5,642 6.2 % 28 Other P&I(3) 853 852 0.7 % — % 851 5.2 % 12 IOs and IIOs(4) 1,549 85 14.4 % — % 96 6.7 % 50 Total Agency RMBS $ 7,948 $ 6,579 80.3 % $ 6,589 ($ millions) Notional Amount Bond Equivalent Value(5) Through-the-Box Speeds(6) TBA Positions 4.5% $ (120) $ (117) 1.9 % 5.0% 2,853 2,846 4.1 % 5.5% 2,788 2,827 17.8 % 6.0% (833) (856) 34.8 % ≥ 6.5% (481) (500) 48.8 % Net TBA Position $ 4,207 $ 4,200 22 Agency RMBS Portfolio
Number of Loans Unpaid Principal Balance ($ millions) Gross Coupon Rate Current Loan Size ($ thousands) Loan Age (months) Original FICO(2) Original LTV 60+ Day Delinquencies 3-Month CPR Net Servicing Fee (bps) 30-Year Fixed < 3.25% 248,086 $ 73,206 2.8% $ 350 59 768 72% 0.5% 3.9% 25.0 3.25% - 3.75% 115,500 27,960 3.4% 310 73 753 74% 0.9% 5.4% 25.1 3.75% - 4.25% 77,384 14,415 3.9 % 247 101 752 75 % 1.2 % 5.8 % 25.3 4.25% - 4.75% 46,149 7,767 4.4 % 242 98 739 77 % 1.8 % 6.3 % 25.2 4.75% - 5.25% 32,883 7,472 5.0 % 347 62 748 79 % 1.9 % 6.6 % 25.2 > 5.25% 56,820 17,506 6.2 % 411 31 750 80 % 1.8 % 16.9 % 27.0 576,822 148,326 3.6 % 334 65 759 74 % 0.9 % 6.3 % 25.3 15-Year Fixed < 2.25% 17,461 3,747 2.0 % 257 56 776 60 % 0.2 % 4.3 % 25.0 2.25% - 2.75% 30,400 5,291 2.4 % 217 60 772 60 % 0.2 % 5.4 % 25.0 2.75% - 3.25% 24,800 2,537 2.9 % 154 84 765 62 % 0.3 % 7.3 % 25.2 3.25% - 3.75% 13,113 917 3.4 % 112 102 755 64 % 0.5 % 10.4 % 25.2 3.75% - 4.25% 5,927 368 3.9 % 109 98 739 66 % 0.8 % 9.7 % 25.4 > 4.25% 5,164 746 5.3 % 292 37 750 64 % 1.2 % 21.6 % 27.5 96,865 13,606 2.7 % 211 66 769 61 % 0.3 % 6.9 % 25.2 Total ARMs 1,528 518 5.2 % 452 44 766 72 % 0.4 % 30.9 % 25.2 Total Portfolio 675,215 $ 162,450 3.6 % $ 324 65 760 73 % 0.9 % 6.4 % 25.3 23 Mortgage Servicing Rights Portfolio(1)
$ millions Q4-2025 Q3-2025 Q2-2025 Q1-2025 Q4-2024 UPB at beginning of period $ 175,821 $ 198,823 $ 196,773 $ 200,317 $ 202,052 Bulk purchases of mortgage servicing rights — — 6,385 — 2,063 Flow purchases of mortgage servicing rights 330 664 170 155 376 Originations/recapture of mortgage servicing rights 69 34 34 20 43 Sales of mortgage servicing rights (9,552) (19,112) — — 3 Scheduled payments (1,423) (1,647) (1,637) (1,624) (1,647) Prepaid (2,739) (2,964) (2,914) (2,110) (2,545) Other changes (56) 23 12 15 (28) UPB at end of period $ 162,450 $ 175,821 $ 198,823 $ 196,773 $ 200,317 24 Mortgage Servicing Rights UPB Roll-forward
12/31/2025 9/30/2025 Number of Loans Unpaid Principal Balance ($ millions) Number of Loans Unpaid Principal Balance ($ millions) Mortgage servicing rights 675,215 $ 162,450 720,038 $ 175,821 Subservicing(1) 178,356 40,492 135,706 30,204 Servicing administrator(2) 514 273 519 278 Mortgage loans held-for-sale(3) 38 14 41 12 Total serviced mortgage assets 854,123 $ 203,229 856,304 $ 206,315 25 Serviced Mortgage Assets
$ millions Outstanding Borrowings and Maturities(1) Repurchase Agreements Revolving Credit Facilities Warehouse Lines of Credit Senior Notes Convertible Notes Total Borrowings Percent (%) Within 30 days $ 2,251.0 $ — $ — $ — $ 261.8 $ 2,512.8 29.4 % 30 to 59 days 1,744.7 — 0.7 — — 1,745.4 20.4 % 60 to 89 days 1,693.7 — 8.7 — — 1,702.4 19.9 % 90 to 119 days 916.1 — — — — 916.1 10.7 % 120 to 364 days 650.0 71.5 — — — 721.5 8.4 % One to three years — 567.7 — — — 567.7 6.6 % Three to five years — 280.2 — 111.1 — 391.3 4.6 % $ 7,255.5 $ 919.4 $ 9.4 $ 111.1 $ 261.8 $ 8,557.2 100.0 % Collateral Pledged for Borrowings Repurchase Agreements(2) Revolving Credit Facilities(2) Warehouse Lines of Credit Senior Notes Convertible Notes Total Collateral Pledged Percent (%) Available-for-sale securities, at fair value $ 6,505.4 $ — $ — n/a n/a $ 6,505.4 69.1 % Mortgage servicing rights, at fair value 959.0 1,458.6 — n/a n/a 2,417.6 25.7 % Mortgage loans held-for-sale, at fair value 3.7 — 9.6 n/a n/a 13.3 0.1 % Restricted cash 108.4 — 0.4 n/a n/a 108.8 1.1 % Due from counterparties 206.5 — — n/a n/a 206.5 2.2 % Derivative assets, at fair value 67.2 — — n/a n/a 67.2 0.7 % Other assets (includes servicing advances) — 100.1 — n/a n/a 100.1 1.1 % $ 7,850.2 $ 1,558.7 $ 10.0 n/a n/a $ 9,418.9 100.0 % 26 Financing
Type & Maturity Notional Amount ($M) Carrying Value ($M)(1) Weighted Average Months to Expiration U.S. Treasury futures 2 year $ (1,448.0) $ — 3.0 5 year (1,047.4) — 3.0 10 year (115.7) — 2.6 20 year 283.3 — 2.6 Eris SOFR swap futures 5 year (1,200.0) — 62.6 10 year (830.0) — 122.6 Total futures $ (4,357.8) $ — 36.0 27 Futures
Maturities Notional Amount ($M) Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) Payers ≤ 1 year $ 1,968.9 4.087 % 3.870 % — > 1 and ≤ 3 years 2,956.6 3.412 % 3.870 % 1.9 > 3 and ≤ 5 years 1,761.4 3.589 % 3.870 % 3.9 > 5 and ≤ 7 years 1,112.8 3.680 % 3.870 % 6.1 > 7 and ≤ 10 years 441.6 3.877 % 3.870 % 9.0 > 10 years 670.4 3.855 % 3.870 % 14.3 $ 8,911.7 3.686 % 3.870 % 3.7 Maturities Notional Amount ($M) Average Pay Rate Average Fixed Receive Rate Average Maturity (Years) Receivers ≤ 1 year $ — — % — % — > 1 and ≤ 3 years — — % — % — > 3 and ≤ 5 years 1,857.3 3.870 % 3.471 % 4.6 > 5 and ≤ 7 years 203.6 3.870 % 3.712 % 6.2 > 7 and ≤ 10 years 740.0 3.870 % 3.768 % 9.8 > 10 years 867.4 3.870 % 3.656 % 17.8 $ 3,668.3 3.870 % 3.588 % 8.9 28 Interest Rate Swaps
29 Tax Characterization of Dividends in 2025 • Generated REIT taxable loss of $(76.3) million, before dividend distributions and net operating loss deductions ◦ Current year taxable loss created net operating loss, which can be carried forward indefinitely to offset future taxable income • 2025 distributions for tax purposes totaled $221.1 million – Consisted of distributions to common shares of $169.5 million and distributions to preferred shares of $51.5 million – Q4 2024 common stock distribution payable to shareholders on January 29, 2025 with a record date of January 3, 2025 was treated as a 2025 distribution for tax purposes – Q4 2025 common stock distribution payable to shareholders on January 29, 2026 with a record date of January 5, 2026 will be treated as a 2026 distribution for tax purposes – No convertible note deemed distributions occurred in 2025 • 2025 common distributions were characterized for tax purposes as 0% taxable ordinary dividends and 100% nontaxable distributions (i.e., return of capital)(1) • 2025 preferred distributions were characterized for tax purposes as 0% taxable ordinary dividends and 100% nontaxable distributions (i.e., return of capital)(1) Full Year 2025 Distribution Summary
PAGE 3 - Quarterly Financials Overview 1. Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by common book value as of the beginning of the period. 2. Includes $9.0 billion in settled positions and $4.2 billion net TBA position, which represents the bond equivalent value of the company’s TBA position. Bond equivalent value is defined as notional amount multiplied by market price. TBA contracts accounted for as derivative instruments in accordance with GAAP. For additional detail on the portfolio, see slides 11 and 13, and Appendix slides 22 and 23. 3. Economic debt-to-equity is 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. PAGE 4 - Markets Overview 1. Source: Bloomberg, as of the dates noted. PAGE 5 - RoundPoint Operations Update 1. Number represents approximate pull-through adjusted UPB in originations pipeline as of December 31, 2025. PAGE 6 - Book Value Summary 1. Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by common book value as of the beginning of the period. PAGE 7 - Comprehensive Income (Loss) Summary 1. Mark-to-Market Gains and Losses represents the sum of investment securities gain (loss) and change in accumulated other comprehensive income (OCI), net swap and other derivative gains (losses), and servicing asset gains (losses). See Appendix slide 20 for more detail. 2. During the quarter ended September 30, 2025, the company recognized litigation settlement expense of $175.1 million related to the settlement agreement with the company’s former external manager, which is the difference between the $375.0 million cash payment made to the company’s former external manager, less the related loss contingency accrual recorded in the second quarter of $199.9 million. PAGE 8 - Financing Profile 1. Source: Bloomberg. Represents the average spread between repurchase rates and the Secured Overnight Financing Rate (SOFR) over trailing three-month and six-month periods between Q4 2022 and Q4 2025 (as of December 31, 2025). PAGE 9 - Portfolio Composition and Risk Positioning 1. For additional detail on the portfolio, see slides 11 and 13, and Appendix slides 22 and 23. 2. Net TBA position represents the bond equivalent value of the company’s TBA position. Bond equivalent value is defined as notional amount multiplied by market price. TBA contracts are accounted for as derivative instruments in accordance with GAAP. 3. Economic debt-to-equity is 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. Interest rate exposure represents estimated change in common book value for theoretical parallel shift in interest rates. 5. Spread exposure represents estimated change in common book value for theoretical parallel shifts in spreads. 30 End Notes
PAGE 10 - Agency RMBS Investment Landscape 1. Source: J.P. Morgan DataQuery. Data is model-based and represents universal mortgage-backed securities (UMBS) generic TBA spreads as of the dates noted. In 2023, J.P. Morgan updated their model affecting only 2023 data. Data as of January 29, 2026. 2. Spreads produced using prepayment speeds generated with The Yield Book® Software using internally calibrated prepayment dials. Data as of December 31, 2025. ZV Spread stands for zero volatility spread. PAGE 11 - Agency RMBS Portfolio 1. Specified pools include securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank-serviced and others. 2. Represents UMBS generic TBA performance during the quarter. 3. Specified pool performance excludes (1) certain coupons in which we were not invested for the full duration of the quarter and (2) certain coupons with de minimis balances. 4. Specified pool market value by coupon as of December 31, 2025. 5. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 12 - MSR Investment Landscape 1. Source: RiskSpan and TWO’s internal estimates as of December 31, 2025. 2. TWO MSR 30-year fixed-rate UPB as of December 31, 2025 factor date; Freddie Mac’s Primary Mortgage Market Survey (PMMS) as of December 31, 2025. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. PAGE 13 - MSR Portfolio 1. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry accepted credit score of a borrower. 3. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. 4. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 14 - Return Potential and Outlook 1. Capital allocated represents management’s internal allocation. Certain financing balances and associated interest expenses are allocated between investments based on management’s assessment of leverage ratios and required capital or liquidity to support the investment. 2. Market return estimates reflect static assumptions using quarter-end spreads and market data. 3. Includes Agency pools and TBA positions. TBA contracts accounted for as derivative instruments in accordance with GAAP. 4. Estimated return on invested capital reflects static return assumptions using quarter-end portfolio valuations. 5. Total expenses includes operating expenses and tax expenses within the company’s taxable REIT subsidiaries. 6. Preferred equity coupon represents the 5-year yield along the forward curve to account for floating rate resets. 7. Prospective quarterly static return estimate per basic common share reflects portfolio performance expectations given current market conditions and represents the comprehensive income attributable to common stockholders (net of dividends on preferred stock). 31 End Notes (continued)
PAGE 16 - Effective Coupon Positioning 1. Represents UMBS TBA market prices as of December 31, 2025. 2. Specified pools include securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank-serviced and others. 3. MSR/Agency IO represents an internally calculated exposure of a synthetic TBA position and the current coupon equivalents of our MSR, including the effect of unsettled MSR, and Agency IO RMBS. 4. Spreads generated with The Yield Book® Software using internally calibrated dials. PAGE 17 - Risk Positioning 1. MSR/Agency IO RMBS includes the effect of unsettled MSR. 2. Other includes all other derivative assets and liabilities and borrowings. Other excludes TBAs, which are included in the Agency P&I RMBS/TBA category. 3. Bull Steepener/Bear Flattener is a shift in short-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 2- year rates while holding long-term rates constant. 4. Bull Flattener/Bear Steepener is a shift in long-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 10-year rates while holding short-term rates constant. 5. Parallel shift represents estimated change in common book value for theoretical parallel shift in interest rates. 6. Book value exposure to current coupon spread represents estimated change in common book value for theoretical parallel shifts in spreads. PAGE 18 - Markets Overview 1. Source: Bloomberg, US MBS Index Monthly Treasury Excess Return data as of dates noted. 2. Source: Bloomberg, as of dates noted. 3. Source: J.P. Morgan DataQuery. 4. Monthly prepay speeds from National Association of Realtors via Bloomberg and RiskSpan as of December 31, 2025. MSR portfolio based on the prior month-end's principal balance of the loans underlying the company's MSR, increased for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer as well as MSR on loans recently settled for which transfer to the company is not yet complete. PAGE 19 - Financial Performance 1. Economic return on book value is defined as the increase (decrease) in common book value from the beginning to the end of the given period, plus dividends declared to common stockholders in the period, divided by the common book value as of the beginning of the period. 2. Historical dividends may not be indicative of future dividend distributions. The company ultimately distributes dividends based on its taxable income per common share, not GAAP earnings. The annualized dividend yield on the company’s common stock is calculated based on the closing price of the last trading day of the relevant quarter. 32 End Notes (continued)
PAGE 21 - Q3-2025 Portfolio Yields and Financing Costs 1. Includes interest income, net of premium amortization/discount accretion, on Agency and non-Agency investment securities, servicing income, net of estimated amortization and servicing expenses, on MSR, and the implied asset yield portion of dollar roll income on TBAs. Amortization on MSR 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. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 2. As reported elsewhere in the company’s filings with the Securities and Exchange Commission, MSR, Agency derivatives, TBA, interest rate swap agreements and U.S. Treasury futures are reported at fair value in the company’s consolidated financial statements in accordance with GAAP, and the GAAP presentation and disclosure requirements for these items do not define or include the concepts of yield or cost of financing, amortized cost, or outstanding borrowings. 3. Amortized cost on MSR for a given period equals the net present value of the remaining future cash flows (obtained by applying original prepayment assumptions to the actual unpaid principal balance at the start of the period) using a discount rate equal to the original pricing yield. Original pricing yield is the discount rate which makes the net present value of the cash flows projected at purchase equal to the purchase price. MSR amortized cost is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair value. 4. Represents inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP. 5. Both the implied asset yield and implied financing benefit/cost of dollar roll income on TBAs are 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. 6. Includes interest expense and amortization of deferred debt issuance costs on borrowings under repurchase agreements (excluding those collateralized by U.S. Treasuries), revolving credit facilities, senior notes and convertible senior notes, interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements, and the implied financing benefit/cost portion of dollar roll income on TBAs. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 7. Unsecured senior notes. 8. Unsecured convertible senior notes. 9. The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company’s outstanding borrowings is calculated using average borrowings balance as the denominator. 10. The cost of financing on U.S. Treasury futures held to mitigate interest rate risk associated with the company’s outstanding borrowings is calculated using average borrowings balance as the denominator. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements. PAGE 22 - Agency RMBS Portfolio 1. Weighted average actual one-month CPR released at the beginning of the following month based on RMBS held as of the preceding month-end. 2. Determination of the percentage of prepay protected 30-year fixed Agency RMBS includes securities with implicit or explicit prepayment protection, including lower loan balances (securities collateralized by loans less than or equal to $300K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores. 3. Other P&I includes 15-year fixed, Hybrid ARMs, CMO and DUS pools. 4. IOs and IIOs represent market value of $67.9 million of Agency derivatives and $16.9 million of interest-only Agency RMBS. Agency derivatives are inverse interest-only Agency RMBS, which are accounted for as derivative instruments in accordance with GAAP. 5. Bond equivalent value is defined as the notional amount multiplied by market price. TBA contracts accounted for as derivative instruments in accordance with GAAP. 6. Three-month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Bank of America, and Citi data. PAGE 23 - Mortgage Servicing Rights Portfolio 1. MSR portfolio excludes residential mortgage loans for which the company is the named servicing administrator. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry-accepted credit score of a borrower. 33 End Notes (continued)
PAGE 25 - Serviced Mortgage Assets 1. Off-balance sheet mortgage loans owned by third parties and subserviced by the Company. 2. Off-balance sheet mortgage loans owned by third parties for which the Company acts as servicing administrator (subserviced by appropriately licensed third-party subservicers). 3. Originated or purchased mortgage loans held-for-sale at period-end. PAGE 26 - Financing 1. As of December 31, 2025, outstanding borrowings had a weighted average of 4.9 months to maturity. 2. Repurchase agreements and revolving credit facilities secured by MSR and/or other assets may be over-collateralized due to operational considerations. PAGE 27 - Futures 1. Exchange-traded derivative instruments (futures and options on futures) require the posting of an “initial margin” amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the derivative instrument’s maximum estimated single-day price movement. The company also exchanges “variation margin” based upon daily changes in fair value, as measured by the exchange. The exchange of variation margin is considered a settlement of the derivative instrument, as opposed to pledged collateral. Accordingly, the receipt or payment of variation margin is accounted for as a direct reduction to the carrying value of the exchange-traded derivative asset or liability. PAGE 29 - Tax Characterization of Dividends in 2025 1. The U.S. federal income tax treatment of holding TWO stock to any particular stockholder will depend on the stockholder’s particular tax circumstances. You are urged to consult your tax advisor regarding the U.S. federal, state, local and foreign income and other tax consequences to you, in light of your particular investment or tax circumstances, of acquiring, holding and disposing of TWO stock. TWO does not provide tax, accounting or legal advice. Any tax statements contained herein were not intended or written to be used and cannot be used for the purpose of avoiding U.S., federal, state or local tax penalties. Please consult your advisor as to any tax, accounting or legal statements made herein. 34 End Notes (continued)
