Two Harbors Investment Corp.

Two Harbors reported a first-quarter 2026 comprehensive loss of $24.7 million, or $0.24 per share. Book value was $10.57 per share at March 31 versus $11.13 at December 31, and including the $0.34 common stock dividend, the quarter produced a negative 2.0% economic return. On the operating side, the company said net interest and servicing income declined because of lower float earnings, lower balances from MSR sales and seasonals, and lower servicing fee collections, partly offset by lower financing rates. Looking ahead, management did not provide traditional operating guidance, but it said the amended CrossCountry deal is expected to close in the second half of 2026, is not subject to a financing condition, and that quarterly dividends will continue prior to closing, but not stub dividends.

Bill Greenberg focused mainly on the strategic transaction process, emphasizing that the board unanimously viewed CrossCountry’s revised all-cash proposal as the best outcome for shareholders. He said the amended agreement at $11.30 per share followed a review of a competing UWM proposal and highlighted the combination of CrossCountry’s retail origination platform with RoundPoint servicing as creating a fully integrated mortgage company. His tone was confident and transaction-focused, with repeated emphasis on certainty of cash and shareholder choice.

William Dellal said book value declined to $10.57 per share from $11.13 at year-end and tied the negative 2% economic return to the $0.34 dividend and portfolio marks. He pointed to a $24.7 million comprehensive loss, citing lower float earnings, lower servicing balances, and higher mark-to-market losses on RMBS/TBAs from rising rates and wider spreads, partly offset by better derivative hedging results. He also highlighted liquidity and funding strength: over $500 million of cash, full repayment of the $261.9 million convertible senior notes on January 15, 2026, repo spreads around SOFR plus 15 to 18 basis points, $1.5 billion of MSR-related borrowings, and $977 million of unused MSR financing capacity.

Analysts asked about the split in book value performance between hedged MSR and hedged agency securities, and management said hedged MSR performed very well while the securities book was an offset, with higher realized and implied volatility increasing convexity hedging costs. Nick Letica also said book value was up about 2% quarter-to-date. Another question focused on whether the UWM bid remained live and whether there was room for higher bids before the shareholder vote; Bill Greenberg said the company had signed the revised CCM agreement, the vote is scheduled for May 19, and any further process would be governed by the merger agreement’s prescribed terms. On financing for the $11.30 deal, management deferred to the public merger agreement rather than providing additional detail.