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TWO Reports Second Quarter 2025 Financial Results
Wider Spreads Lead to Attractive Levered Returns


NEW YORK, July 28, 2025 - TWO (Two Harbors Investment Corp., NYSE: TWO), an MSR-focused real estate investment trust (REIT), today announced its financial results for the quarter ended June 30, 2025.

Quarterly Summary
•Reported book value of $12.14 per common share, and declared a second quarter common stock dividend of $0.39 per share, representing a (14.5)% quarterly economic return on book value. For the first six months of 2025, generated a (10.3)% total economic return on book value.(1)
•Incurred a Comprehensive Loss of $(221.8) million, or $(2.13) per weighted average basic common share.
•Recorded a contingency liability and related expense of $199.9 million, or $1.92 per weighted average basic common share, related to the company’s ongoing litigation with PRCM Advisers LLC.(2)
•Excluding the loss contingency accrual recognized during the quarter:
◦Generated a (1.4)% quarterly economic return on book value. For the first six months of 2025, generated a 2.9% total economic return on book value.(1)
◦Incurred a Comprehensive Loss of $(21.9) million, or $(0.21) per weighted average basic common share.
•Issued $115.0 million aggregate principal amount of 9.375% Senior Notes due 2030 through an underwritten offering for net proceeds of $110.8 million.
•Settled $6.6 billion in unpaid principal balance (UPB) of MSR through two bulk purchases, flow-sale acquisitions and recapture.
•As of June 30, 2025, MSR portfolio had a weighted average gross coupon rate of 3.53% and a 60+ day delinquency rate of 0.82%, compared to 0.85% as of March 31, 2025. For the second quarter of 2025, MSR portfolio experienced a 3-month CPR of 5.8%, compared to 5.3% for the second quarter of 2024.
•Funded $48.6 million UPB in first lien loans and brokered $44.0 million UPB in second lien loans.

“The combination of our investment portfolio and operating company allows us to be dynamic and responsive as opportunities emerge across the mortgage finance space,” said Bill Greenberg, TWO’s President and Chief Executive Officer. “Given the strength of our platform and the depth of expertise across our team, we are confident in our ability to navigate through changing market cycles, creating long-term value for our stockholders, customers, and business partners.”

________________
(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)The contingency liability is reflective of the $139.8 million termination fee that the Company believes would have been payable to PRCM Advisers for termination on the basis of unfair compensation pursuant to Section 13(a)(ii) of the Management Agreement, plus applicable pre-judgment interest on such amount accrued at the statutory rate of 9% through June 30, 2025. Estimated loss contingencies are required to be recorded under ASC 450, Contingencies, when a company determines a contingency liability is both probable and estimable.
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“Fixed-income and equity markets proved resilient in the second quarter,” stated Nick Letica, TWO’s Chief Investment Officer. “While we will continue to be mindful of the many sources of volatility that can impact our portfolio, we believe there is also opportunity in this environment. Spreads for Agency RMBS remain historically wide, and offer good relative value to other high quality spread assets. Our core strategy of low coupon MSR paired with Agency RMBS is well positioned to benefit from both stable prepayments and wide Agency RMBS spreads.”


Operating Performance
The following table summarizes the company’s GAAP and non-GAAP earnings measurements and key metrics for the second quarter of 2025 and first quarter of 2025:
Operating Performance (unaudited)
(dollars in thousands, except per common share data)

Three Months Ended June 30, 2025

Three Months Ended March 31, 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 (Loss) Income$(221,807)

$(2.13)

(64.3)%

$64,931 $0.62 16.8 %
GAAP Net Loss$(272,280)

$(2.62)

(79.0)%

$(92,241)$(0.89)(23.8)%
Earnings Available for Distribution(1)
$29,545 

$0.28 

8.6 %

$25,092 $0.24 6.5 %
Operating Metrics











Dividend per common share$0.39 





$0.45 




Annualized dividend yield(2)
14.5 %13.5 %
Book value per common share at period end$12.14 





$14.66 




Economic return on book value(3)
(14.5)%4.4 %
Operating expenses, excluding non-cash LTIP amortization and certain operating expenses(4)
$38,090 





$40,465 




Operating expenses, excluding non-cash LTIP amortization and certain operating expenses, as a percentage of average equity(4)
7.6 %7.5 %
_______________
(1)Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see page 11 for a definition of EAD and a reconciliation of GAAP to non-GAAP financial information.
(2)Dividend yield is calculated based on annualizing the dividends declared in the given period, divided by the closing share price as of the end of the period.
(3)Economic return on book value is defined as the increase (decrease) in 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 $1.9 million for the second quarter of 2025 and $6.5 million for the first quarter of 2025 and certain operating expenses of $2.8 million for the second quarter of 2025 and $0.1 million for the first quarter of 2025. Certain operating expenses predominantly consists of expenses incurred in connection with the company’s ongoing litigation with PRCM Advisers LLC.
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Portfolio Summary
As of June 30, 2025, the company’s portfolio was comprised of $11.4 billion of Agency RMBS, MSR and other investment securities as well as their associated notional debt hedges. Additionally, the company held $3.0 billion bond equivalent value of net long to-be-announced securities (TBAs).

The following tables summarize the company’s investment portfolio as of June 30, 2025 and March 31, 2025:
Investment Portfolio
(dollars in thousands)

Portfolio CompositionAs of June 30, 2025As of March 31, 2025
(unaudited)(unaudited)
Agency RMBS$8,387,068 73.5 %$8,627,708 74.4 %
Mortgage servicing rights(1)
3,015,643 26.5 %2,959,773 25.6 %
Other3,449 — %3,613 — %
Aggregate Portfolio11,406,160 11,591,094 
Net TBA position(2)
3,025,0993,001,064
Total Portfolio$14,431,259 $14,592,158 
________________
(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 RMBSAs of June 30, 2025As of March 31, 2025
(unaudited)
(unaudited)
Weighted average cost basis(1)
$101.24 $101.50 
Weighted average experienced three-month CPR8.4 %7.0 %
Gross weighted average coupon rate6.1 %6.1 %
Weighted average loan age (months)27 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 June 30, 2025As of March 31, 2025
(dollars in thousands)
(unaudited)
(unaudited)
Unpaid principal balance$198,822,611 $196,773,345 
Gross coupon rate3.5 %3.5 %
Current loan size$330 $330 
Original FICO(2)
760760
Original LTV73 %72 %
60+ day delinquencies0.8 %0.8 %
Net servicing fee25.4 basis points25.3 basis points
Three Months Ended June 30, 2025Three Months Ended March 31, 2025
(unaudited)(unaudited)
Fair value losses$(35,902)$(36,221)
Servicing income$147,961 $146,870 
Servicing costs$2,322 $3,302 
Change in servicing reserves$64 $(105)
________________
(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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Other Investments and Risk Management Metrics
As of June 30, 2025As of March 31, 2025
(dollars in thousands)
(unaudited)
(unaudited)
Net long TBA notional(1)
$3,040,382 $3,070,552 
Futures notional
$(3,398,092)$(2,930,590)
Interest rate swaps notional
$19,526,559 $14,755,568 
________________
(1)Accounted for as derivative instruments in accordance with GAAP.

Financing Summary
The following tables summarize the company’s financing metrics and outstanding repurchase agreements, revolving credit facilities, warehouse lines of credit, senior notes and convertible senior notes as of June 30, 2025 and March 31, 2025:
June 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$7,992,622 4.48 %1.96 18 
Repurchase agreements collateralized by MSR790,000 7.39 %10.54 3
Total repurchase agreements8,782,622 4.74 %2.73 19 
Revolving credit facilities collateralized by MSR and related servicing advance obligations
1,011,871 7.36 %19.96 3 
Warehouse lines of credit collateralized by mortgage loans
9,275 6.31 %2.47 1 
Unsecured senior notes110,867 9.38 %61.55 n/a
Unsecured convertible senior notes260,944 6.25 %6.54 n/a
Total borrowings$10,175,579 
March 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

$8,970,830 

4.50 %

2.23 

18 
Repurchase agreements collateralized by MSR

770,000 

7.38 %

13.88 

3
Total repurchase agreements

9,740,830 

4.73 %

3.16 

19 
Revolving credit facilities collateralized by MSR and related servicing advance obligations

933,171 

7.45 %15.91 

3 
Warehouse lines of credit collateralized by mortgage loans
7,971 6.36 %2.50 1 
Unsecured senior notes— — %— n/a
Unsecured convertible senior notes

260,591 

6.25 %

9.53 

n/a
Total borrowings

$10,942,563 






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Borrowings by Collateral TypeAs of June 30, 2025As of March 31, 2025
(dollars in thousands)(unaudited)(unaudited)
Agency RMBS$7,992,427 $8,970,635 
Mortgage servicing rights and related servicing advance obligations1,801,871 1,703,171 
Other - secured9,470 8,166 
Other - unsecured(1)
371,811 260,591 
Total10,175,579 10,942,563 
TBA cost basis3,009,819 3,001,672 
Net payable (receivable) for unsettled RMBS108,474 (643,896)
Total, including TBAs and net payable (receivable) for unsettled RMBS$13,293,872 $13,300,339 
Debt-to-equity ratio at period-end(2)
5.4 :1.05.1 :1.0
Economic debt-to-equity ratio at period-end(3)
7.0 :1.06.2 :1.0
Cost of Financing by Collateral Type(4)
Three Months Ended June 30, 2025Three Months Ended March 31, 2025
(unaudited)(unaudited)
Agency RMBS4.54 %4.62 %
Mortgage servicing rights and related servicing advance obligations(5)
7.87 %7.81 %
Other - secured6.68 %6.93 %
Other - unsecured(1)(5)
7.44 %6.84 %
Annualized cost of financing5.18 %5.27 %
Interest rate swaps(6)
(0.20)%(0.18)%
U.S. Treasury futures(7)
(0.10)%(0.04)%
TBAs(8)
2.65 %2.89 %
Annualized cost of financing, including swaps, U.S. Treasury futures and TBAs
4.43 %4.49 %
____________________
(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.

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Conference Call
TWO will host a conference call on July 29, 2025 at 9:00 a.m. ET to discuss its second quarter 2025 financial results and related information. To participate in the teleconference, please call toll-free (888) 394-8218 approximately 10 minutes prior to the above start time and provide the Conference Code 3889089. 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 release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our Annual Report on Form 10-K for the year ended December 31, 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 decision to terminate our management agreement with PRCM Advisers LLC and the ongoing litigation related to such termination; our ability to manage various operational risks and costs associated with our business, 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 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.






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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 11 of this release.

Additional Information
Stockholders of TWO and other interested persons may find additional information regarding the company at www.twoinv.com, at the Securities and Exchange Commission’s internet site at www.sec.gov or by directing requests to: TWO, Attn: Investor Relations, 1601 Utica Avenue South, Suite 900, St. Louis Park, MN, 55416, (612) 453-4100.

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)
June 30,
2025		December 31,
2024
(unaudited)
ASSETS
Available-for-sale securities, at fair value (amortized cost $8,436,743 and $7,697,027, respectively; allowance for credit losses $2,235 and $2,866, respectively)
$8,320,757 $7,371,711 
Mortgage servicing rights, at fair value3,015,643 2,994,271 
Mortgage loans held-for-sale9,888 2,334 
Cash and cash equivalents657,816 504,613 
Restricted cash140,481 313,028 
Accrued interest receivable36,768 33,331 
Due from counterparties285,570 386,464 
Derivative assets, at fair value88,651 10,114 
Reverse repurchase agreements228,587 355,975 
Other assets174,977 232,478 
Total Assets$12,959,138 $12,204,319 
LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities:
Repurchase agreements$8,782,622 $7,805,057 
Revolving credit facilities1,011,871 1,020,171 
Warehouse lines of credit9,275 2,032 
Senior notes110,867 — 
Convertible senior notes260,944 260,229 
Derivative liabilities, at fair value2,701 24,897 
Due to counterparties388,508 648,643 
Dividends payable54,195 58,725 
Accrued interest payable80,167 85,994 
Loss contingency accrual199,935 — 
Other liabilities172,027 176,062 
Total Liabilities11,273,047 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 104,132,453 and 103,680,321 shares issued and outstanding, respectively
1,041 1,037 
Additional paid-in capital5,945,210 5,936,609 
Accumulated other comprehensive loss(112,879)(320,524)
Cumulative earnings1,310,689 1,648,785 
Cumulative distributions to stockholders(5,859,502)(5,744,865)
Total Stockholders’ Equity1,886,026 2,122,509 
Total Liabilities and Stockholders’ Equity$13,159,073 $12,204,319 
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TWO HARBORS INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE (LOSS) INCOME
(dollars in thousands, except share data)
Certain prior period amounts have been reclassified to conform to the current period presentation
Three Months EndedSix Months Ended
June 30,June 30,
2025202420252024
(unaudited)(unaudited)
Net interest expense:
Interest income$117,082 $115,953 $228,464 $233,736 
Interest expense135,205 154,207 266,919 314,207 
Net interest expense(18,123)(38,254)(38,455)(80,471)
Net servicing income:
Servicing income158,354 176,015 315,213 342,348 
Servicing costs2,386 4,475 5,583 11,594 
Net servicing income155,968 171,540 309,630 330,754 
Other (loss) income:
Loss on investment securities(32,830)(22,437)(65,559)(33,412)
Loss on servicing asset(35,902)(22,857)(72,123)(11,845)
(Loss) gain on interest rate swap and swaption agreements(52,950)22,012 (151,738)120,522 
(Loss) gain on other derivative instruments(31,257)(750)(29,809)46,849 
Gain (loss) on mortgage loans held-for-sale883 — 1,552 (3)
Other income1,038 226 1,799 226 
Total other (loss) income(151,018)(23,806)(315,878)122,337 
Expenses:
Compensation and benefits21,469 21,244 48,058 47,773 
Other operating expenses21,307 17,699 41,812 38,751 
Loss contingency accrual
199,935 — 199,935 — 
Total expenses242,711 38,943 289,805 86,524 
(Loss) income before income taxes(255,884)70,537 (334,508)286,096 
Provision for income taxes1,661 14,201 2,092 26,172 
Net (loss) income(257,545)56,336 (336,600)259,924 
Dividends on preferred stock(13,239)(11,784)(26,425)(23,568)
Gain on repurchase and retirement of preferred stock— — — 644 
Net (loss) income attributable to common stockholders$(270,784)$44,552 $(363,025)$237,000 
Basic (loss) earnings per weighted average common share$(2.62)$0.43 $(3.51)$2.27 
Diluted (loss) earnings per weighted average common share$(2.62)$0.43 $(3.51)$2.16 
Comprehensive (loss) income:
Net (loss) income$(259,041)$56,336 $(338,096)$259,924 
Other comprehensive income (loss):
Unrealized gain (loss) on available-for-sale securities50,473 (44,073)207,645 (147,151)
Other comprehensive income (loss)50,473 (44,073)207,645 (147,151)
Comprehensive (loss) income(208,568)12,263 (130,451)112,773 
Dividends on preferred stock(13,239)(11,784)(26,425)(23,568)
Gain on repurchase and retirement of preferred stock— — — 644 
Comprehensive (loss) income attributable to common stockholders
$(221,807)$479 $(156,876)$89,849 
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TWO HARBORS INVESTMENT CORP.
INTEREST INCOME AND INTEREST EXPENSE
(dollars in thousands, except share data)
Three Months EndedSix Months Ended
June 30,June 30,
2025202420252024
(unaudited)(unaudited)
Interest income:
Available-for-sale securities$108,842 $99,211 $209,260 $199,816 
Mortgage loans held-for-sale145 3 198 4 
Other8,095 16,739 19,006 33,916 
Total interest income117,082 115,953 228,464 233,736 
Interest expense:
Repurchase agreements110,288 113,714 217,366 232,430 
Revolving credit facilities20,343 29,906 40,469 60,153 
Warehouse lines of credit129 — 184 — 
Term notes payable— 6,008 — 12,426 
Senior notes1,496 — 1,496 — 
Convertible senior notes4,445 4,579 8,900 9,198 
Total interest expense136,701 154,207 268,415 314,207 
Net interest expense$(19,619)$(38,254)$(39,951)$(80,471)
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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

June 30,
2025		March 31,
2025

(unaudited)
(unaudited)
Reconciliation of comprehensive (loss) income to Earnings Available for Distribution:


Comprehensive (loss) income attributable to common stockholders$(221,807)$64,931 
Adjustment for other comprehensive income attributable to common stockholders:

Unrealized gain on available-for-sale securities(50,473)(157,172)
Net loss attributable to common stockholders$(272,280)$(92,241)
Adjustments to exclude reported realized and unrealized (gains) losses:

Realized loss on securities32,599 33,661 
Unrealized loss (gain) on securities347 (1,026)
(Reversal of) provision for credit losses(116)94 
Realized and unrealized loss on mortgage servicing rights35,902 36,221 
Realized loss (gain) on termination or expiration of interest rate swaps and swaptions30,298 (26,587)
Unrealized loss on interest rate swaps and swaptions29,034 131,350 
Realized and unrealized loss (gain) on other derivative instruments32,606 (1,329)
Other adjustments:
MSR amortization(1)
(73,983)(70,303)
TBA dollar roll income (losses)(2)
6,181 8,178 
U.S. Treasury futures income(3)
3,358 1,272 
Change in servicing reserves
64 (105)
Non-cash equity compensation expense
1,932 6,523 
Certain operating expenses(4)
2,754 106 
Loss contingency accrual199,935 — 
Net provision for (benefit from) income taxes on non-EAD914 (722)
Earnings available for distribution to common stockholders(5)
$29,545 $25,092 
Weighted average basic common shares
104,084,326 103,976,437 
Earnings available for distribution to common stockholders per weighted average basic common share
$0.28 $0.24 
_____________
(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 expenses incurred in connection with the company’s ongoing litigation with PRCM Advisers LLC.
(5)EAD is a non-GAAP measure that we define as comprehensive (loss) income attributable to common stockholders, excluding realized and unrealized gains and losses on the aggregate investment portfolio, gains and losses on repurchases of preferred stock, provision for (reversal of) credit losses, reserve expense for representation and warranty obligations on MSR, non-cash compensation expense related to restricted common stock, certain operating expenses and loss contingency accrual. 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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