Two Harbors Investment Corp. Reports Second Quarter 2024 Financial Results
Delivered Stable Results Amidst Heightened Volatility
Quarterly Summary
-
Reported book value of
$15.19 per common share, and declared a second quarter common stock dividend of$0.45 per share, representing a flat quarterly economic return on book value. For the first six months of 2024, generated a 5.8% total economic return on book value.(1) -
Generated Comprehensive Income of
$0.5 million , or$0.00 per weighted average basic common share. -
Repurchased
$10.0 million principal amount of convertible senior notes due 2026. - Launched direct-to-consumer recapture originations platform.
-
Actively managed MSR portfolio through an opportunistic commitment to sell
$6.4 billion unpaid principal balance (UPB). -
Settled
$327.8 million UPB of MSR through flow-sale acquisitions. -
Post quarter-end, settled an MSR bulk acquisition of
$1.6 billion UPB and committed to purchase an additional$1.0 billion UPB through a bulk acquisition. - Post quarter-end, increased at-the-market common stock offering program by 11.2 million shares, bringing total authorization to 15.0 million shares of common stock.
“This quarter again demonstrates the benefits of our unique portfolio construction of MSR paired with Agency RMBS,” stated
“MSR performed well in the second quarter, with valuations being bolstered by the current dynamics of lower supply and high demand. Given the strong bids in the market, we saw some of the largest MSR buyers of the past several years turn into sellers, and we actively managed our MSR portfolio by being both a seller and a buyer of servicing in the quarter,” stated
________________ | |
(1) |
Economic return on book value is defined as the increase (decrease) in book value per common share from the beginning to the end of the given period, plus dividends declared in the period, divided by book value as of the beginning of the period. |
Operating Performance
The following table summarizes the company’s GAAP and non-GAAP earnings measurements and key metrics for the second quarter of 2024 and first quarter of 2024:
|
|||||||||||||||||||
(dollars in thousands, except per common share data) |
|||||||||||||||||||
|
Three Months Ended |
|
Three Months Ended |
||||||||||||||||
Earnings attributable to common stockholders |
Earnings |
|
Per
|
|
Annualized
|
|
Earnings |
|
Per
|
|
Annualized
|
||||||||
Comprehensive Income |
$ |
479 |
|
|
$ |
— |
|
0.1 |
% |
|
$ |
89,370 |
|
|
$ |
0.85 |
|
22.4 |
% |
GAAP Net Income |
$ |
44,552 |
|
|
$ |
0.43 |
|
11.1 |
% |
|
$ |
192,448 |
|
|
$ |
1.85 |
|
48.2 |
% |
Earnings Available for Distribution(1) |
$ |
17,516 |
|
|
$ |
0.17 |
|
4.4 |
% |
|
$ |
4,725 |
|
|
$ |
0.05 |
|
1.2 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
||||||||
Operating Metrics |
|
|
|
|
|
|
|
|
|
|
|
||||||||
Dividend per common share |
$ |
0.45 |
|
|
|
|
|
|
$ |
0.45 |
|
|
|
|
|
||||
Annualized dividend yield(2) |
|
13.6 |
% |
|
|
|
|
|
|
13.6 |
% |
|
|
|
|
||||
Book value per common share at period end |
$ |
15.19 |
|
|
|
|
|
|
$ |
15.64 |
|
|
|
|
|
||||
Economic return on book value(3) |
|
— |
% |
|
|
|
|
|
|
5.8 |
% |
|
|
|
|
||||
Operating expenses, excluding non-cash LTIP amortization and certain operating expenses(4) |
$ |
37,924 |
|
|
|
|
|
|
$ |
40,300 |
|
|
|
|
|
||||
Operating expenses, excluding non-cash LTIP amortization and certain operating expenses, as a percentage of average equity(4) |
|
6.8 |
% |
|
|
|
|
|
|
7.2 |
% |
|
|
|
|
___________________ | |
(1) |
Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see page 11 for a definition of EAD and a reconciliation of GAAP to non-GAAP financial information. |
(2) |
Dividend yield is calculated based on annualizing the dividends declared in the given period, divided by the closing share price as of the end of the period. |
(3) |
Economic return on book value is defined as the increase (decrease) in book value per common share from the beginning to the end of the given period, plus dividends declared in the period, divided by the book value as of the beginning of the period. |
(4) |
Excludes non-cash equity compensation expense of |
Portfolio Summary
As of
The following tables summarize the company’s investment portfolio as of
|
||||||||||||
(dollars in thousands) |
||||||||||||
|
||||||||||||
Portfolio Composition |
|
As of |
|
As of |
||||||||
|
|
(unaudited) |
|
(unaudited) |
||||||||
Agency RMBS |
|
$ |
8,035,395 |
|
72.4 |
% |
|
$ |
8,188,432 |
|
72.6 |
% |
Mortgage servicing rights(1) |
|
|
3,065,415 |
|
27.6 |
% |
|
|
3,084,879 |
|
27.4 |
% |
Other |
|
|
3,942 |
|
— |
% |
|
|
3,953 |
|
— |
% |
Aggregate Portfolio |
|
|
11,104,752 |
|
|
|
|
11,277,264 |
|
|
||
Net TBA position(2) |
|
|
4,940,593 |
|
|
|
|
3,433,417 |
|
|
||
Total Portfolio |
|
$ |
16,045,345 |
|
|
|
$ |
14,710,681 |
|
|
__________________ | |
(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 |
|
As of |
||||
|
|
(unaudited) |
|
(unaudited) |
||||
Weighted average cost basis(1) |
|
$ |
101.28 |
|
|
$ |
100.70 |
|
Weighted average experienced three-month CPR |
|
|
7.3 |
% |
|
|
4.8 |
% |
Gross weighted average coupon rate |
|
|
5.8 |
% |
|
|
5.6 |
% |
Weighted average loan age (months) |
|
|
31 |
|
|
|
30 |
__________________ | |
(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 |
|
As of |
||||
(dollars in thousands) |
|
(unaudited) |
|
(unaudited) |
||||
Unpaid principal balance |
|
$ |
209,389,409 |
|
|
$ |
213,596,880 |
|
Gross coupon rate |
|
|
3.5 |
% |
|
|
3.5 |
% |
Current loan size |
|
$ |
333 |
|
|
$ |
335 |
|
Original FICO(2) |
|
|
759 |
|
|
|
759 |
|
Original LTV |
|
|
71 |
% |
|
|
72 |
% |
60+ day delinquencies |
|
|
0.7 |
% |
|
|
0.7 |
% |
Net servicing fee |
|
25.3 basis points |
|
25.3 basis points |
||||
|
|
|
|
|
||||
|
|
Three Months Ended
|
|
Three Months Ended
|
||||
|
|
(unaudited) |
|
(unaudited) |
||||
Fair value (losses) gains |
|
$ |
(22,857 |
) |
|
$ |
11,012 |
|
Servicing income |
|
$ |
169,882 |
|
|
$ |
160,928 |
|
Servicing costs |
|
$ |
5,214 |
|
|
$ |
6,904 |
|
Change in servicing reserves |
|
$ |
(739 |
) |
|
$ |
215 |
|
________________ | |
(1) |
Metrics exclude residential mortgage loans in securitization trusts for which the company is the named servicing administrator. Portfolio metrics, other than UPB, represent averages weighted by UPB. |
(2) |
FICO represents a mortgage industry accepted credit score of a borrower. |
Other Investments and Risk Management Metrics |
|
As of |
|
As of |
||||
(dollars in thousands) |
|
(unaudited) |
|
(unaudited) |
||||
Net long TBA notional(1) |
|
$ |
4,983,000 |
|
|
$ |
3,450,000 |
|
Futures notional |
|
$ |
(6,308,900 |
) |
|
$ |
(5,638,800 |
) |
Interest rate swaps notional |
|
$ |
11,739,471 |
|
|
$ |
9,822,112 |
|
__________________ | |
(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, term notes and convertible senior notes as of
|
|
Balance |
|
Weighted
|
|
Weighted
|
|
Number of
|
||
(dollars in thousands, unaudited) |
|
|
|
|
|
|
|
|
||
Repurchase agreements collateralized by securities |
|
$ |
7,834,910 |
|
5.48 |
% |
|
2.78 |
|
18 |
Repurchase agreements collateralized by MSR |
|
|
600,000 |
|
8.49 |
% |
|
22.72 |
|
1 |
Total repurchase agreements |
|
|
8,434,910 |
|
5.69 |
% |
|
4.20 |
|
19 |
Revolving credit facilities collateralized by MSR and related servicing advance obligations |
|
|
1,279,271 |
|
8.45 |
% |
|
20.25 |
|
4 |
Term notes payable collateralized by MSR |
|
|
— |
|
— |
% |
|
— |
|
n/a |
Unsecured convertible senior notes |
|
|
259,412 |
|
6.25 |
% |
|
18.54 |
|
n/a |
Total borrowings |
|
$ |
9,973,593 |
|
|
|
|
|
|
|
|
Balance |
|
Weighted
|
|
Weighted
|
|
Number of
|
||
(dollars in thousands, unaudited) |
|
|
|
|
|
|
|
|
||
Repurchase agreements collateralized by securities |
|
$ |
8,102,661 |
|
5.52 |
% |
|
2.91 |
|
18 |
Repurchase agreements collateralized by MSR |
|
|
258,977 |
|
6.92 |
% |
|
5.28 |
|
3 |
Total repurchase agreements |
|
|
8,361,638 |
|
5.61 |
% |
|
2.98 |
|
19 |
Revolving credit facilities collateralized by MSR and related servicing advance obligations |
|
|
1,357,671 |
|
8.56 |
% |
|
15.32 |
|
4 |
Term notes payable collateralized by MSR |
|
|
295,520 |
|
8.24 |
% |
|
2.83 |
|
n/a |
Unsecured convertible senior notes |
|
|
268,953 |
|
6.25 |
% |
|
21.53 |
|
n/a |
Total borrowings |
|
$ |
10,283,782 |
|
|
|
|
|
|
Borrowings by Collateral Type |
|
As of |
|
As of |
||||
(dollars in thousands) |
|
(unaudited) |
|
(unaudited) |
||||
Agency RMBS |
|
$ |
7,834,693 |
|
|
$ |
8,102,444 |
|
Mortgage servicing rights and related servicing advance obligations |
|
|
1,879,271 |
|
|
|
1,912,168 |
|
Other - secured |
|
|
217 |
|
|
|
217 |
|
Other - unsecured(1) |
|
|
259,412 |
|
|
|
268,953 |
|
Total |
|
|
9,973,593 |
|
|
|
10,283,782 |
|
TBA cost basis |
|
|
4,950,762 |
|
|
|
3,421,932 |
|
Net payable (receivable) for unsettled RMBS |
|
|
— |
|
|
|
(213,264 |
) |
Total, including TBAs and net payable (receivable) for unsettled RMBS |
|
$ |
14,924,355 |
|
|
$ |
13,492,450 |
|
|
|
|
|
|
||||
Debt-to-equity ratio at period-end(2) |
|
4.5 :1.0 |
|
4.6 :1.0 |
||||
Economic debt-to-equity ratio at period-end(3) |
|
6.8 :1.0 |
|
6.0 :1.0 |
||||
|
|
|
|
|
||||
Cost of Financing by Collateral Type(4) |
|
Three Months Ended
|
|
Three Months Ended
|
||||
|
|
(unaudited) |
|
(unaudited) |
||||
Agency RMBS |
|
|
5.54 |
% |
|
|
5.63 |
% |
Mortgage servicing rights and related servicing advance obligations(5) |
|
|
8.99 |
% |
|
|
9.08 |
% |
Other - secured |
|
|
5.53 |
% |
|
|
6.99 |
% |
Other - unsecured(1)(5) |
|
|
6.89 |
% |
|
|
6.87 |
% |
Annualized cost of financing |
|
|
6.23 |
% |
|
|
6.30 |
% |
Interest rate swaps(6) |
|
|
(0.61 |
)% |
|
|
(0.56 |
)% |
|
|
|
(0.29 |
)% |
|
|
(0.30 |
)% |
TBAs(8) |
|
|
3.44 |
% |
|
|
3.57 |
% |
Annualized cost of financing, including swaps, |
|
|
4.76 |
% |
|
|
5.02 |
% |
___________________ | |
(1) |
Unsecured convertible senior notes. |
(2) |
Defined as total borrowings to fund Agency and non-Agency investment securities and MSR, divided by total equity. |
(3) |
Defined as total borrowings to fund Agency and non-Agency investment securities and MSR, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity. |
(4) |
Excludes any repurchase agreements collateralized by |
(5) |
Includes amortization of debt issuance costs. |
(6) |
The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company’s outstanding borrowings includes interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements and is calculated using average borrowings balance as the denominator. |
(7) |
The cost of financing on |
(8) |
The implied financing benefit/cost of dollar roll income on TBAs is calculated using the average cost basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP. |
Conference Call
Forward-Looking Statements
This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our Annual Report on Form 10-K for the year ended
Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Two Harbors 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 Harbors’ most recent filings with the
Non-GAAP Financial Measures
In addition to disclosing financial results calculated in accordance with
Additional Information
Stockholders of Two Harbors and other interested persons may find additional information regarding the company at www.twoharborsinvestment.com, at the Securities and Exchange Commission’s internet site at www.sec.gov or by directing requests to:
|
|||||||
CONDENSED CONSOLIDATED BALANCE SHEETS |
|||||||
(dollars in thousands, except share data) |
|||||||
|
|
|
|
||||
|
(unaudited) |
|
|
||||
ASSETS |
|
|
|
||||
Available-for-sale securities, at fair value (amortized cost |
$ |
8,029,955 |
|
|
$ |
8,327,149 |
|
Mortgage servicing rights, at fair value |
|
3,065,415 |
|
|
|
3,052,016 |
|
Cash and cash equivalents |
|
624,199 |
|
|
|
729,732 |
|
Restricted cash |
|
162,623 |
|
|
|
65,101 |
|
Accrued interest receivable |
|
35,993 |
|
|
|
35,339 |
|
Due from counterparties |
|
372,192 |
|
|
|
323,224 |
|
Derivative assets, at fair value |
|
13,519 |
|
|
|
85,291 |
|
Reverse repurchase agreements |
|
349,660 |
|
|
|
284,091 |
|
Other assets |
|
196,161 |
|
|
|
236,857 |
|
Total Assets |
$ |
12,849,717 |
|
|
$ |
13,138,800 |
|
LIABILITIES AND STOCKHOLDERS’ EQUITY |
|
|
|
||||
Liabilities: |
|
|
|
||||
Repurchase agreements |
$ |
8,434,910 |
|
|
$ |
8,020,207 |
|
Revolving credit facilities |
|
1,279,271 |
|
|
|
1,329,171 |
|
Term notes payable |
|
— |
|
|
|
295,271 |
|
Convertible senior notes |
|
259,412 |
|
|
|
268,582 |
|
Derivative liabilities, at fair value |
|
14,264 |
|
|
|
21,506 |
|
Due to counterparties |
|
352,117 |
|
|
|
574,735 |
|
Dividends payable |
|
58,729 |
|
|
|
58,731 |
|
Accrued interest payable |
|
85,680 |
|
|
|
141,773 |
|
Other liabilities |
|
170,037 |
|
|
|
225,434 |
|
Total Liabilities |
|
10,654,420 |
|
|
|
10,935,410 |
|
Stockholders’ Equity: |
|
|
|
||||
Preferred stock, par value |
|
601,467 |
|
|
|
613,213 |
|
Common stock, par value |
|
1,036 |
|
|
|
1,032 |
|
Additional paid-in capital |
|
5,933,250 |
|
|
|
5,925,424 |
|
Accumulated other comprehensive loss |
|
(323,580 |
) |
|
|
(176,429 |
) |
Cumulative earnings |
|
1,610,541 |
|
|
|
1,349,973 |
|
Cumulative distributions to stockholders |
|
(5,627,417 |
) |
|
|
(5,509,823 |
) |
Total Stockholders’ Equity |
|
2,195,297 |
|
|
|
2,203,390 |
|
Total Liabilities and Stockholders’ Equity |
$ |
12,849,717 |
|
|
$ |
13,138,800 |
|
|
|||||||||||||||
CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) |
|||||||||||||||
(dollars in thousands, except share data) |
|||||||||||||||
Certain prior period amounts have been reclassified to conform to the current period presentation |
|||||||||||||||
|
Three Months Ended |
|
Six Months Ended |
||||||||||||
|
|
|
|
||||||||||||
|
2024 |
|
2023 |
|
2024 |
|
2023 |
||||||||
|
(unaudited) |
|
(unaudited) |
||||||||||||
Net interest income (expense): |
|
|
|
|
|
||||||||||
Interest income |
$ |
115,953 |
|
|
$ |
117,762 |
|
|
$ |
233,736 |
|
|
$ |
234,355 |
|
Interest expense |
|
154,207 |
|
|
|
159,561 |
|
|
|
314,207 |
|
|
|
302,051 |
|
Net interest expense |
|
(38,254 |
) |
|
|
(41,799 |
) |
|
|
(80,471 |
) |
|
|
(67,696 |
) |
Net servicing income: |
|
|
|
|
|
|
|
||||||||
Servicing income |
|
176,015 |
|
|
|
175,223 |
|
|
|
342,348 |
|
|
|
328,543 |
|
Servicing costs |
|
4,475 |
|
|
|
25,190 |
|
|
|
11,594 |
|
|
|
53,556 |
|
Net servicing income |
|
171,540 |
|
|
|
150,033 |
|
|
|
330,754 |
|
|
|
274,987 |
|
Other (loss) income: |
|
|
|
|
|
|
|
||||||||
(Loss) gain on investment securities |
|
(22,437 |
) |
|
|
2,172 |
|
|
|
(33,412 |
) |
|
|
12,970 |
|
(Loss) gain on servicing asset |
|
(22,857 |
) |
|
|
21,679 |
|
|
|
(11,845 |
) |
|
|
(6,400 |
) |
Gain (loss) on interest rate swap and swaption agreements |
|
22,012 |
|
|
|
56,533 |
|
|
|
120,522 |
|
|
|
(25,621 |
) |
(Loss) gain on other derivative instruments |
|
(750 |
) |
|
|
47,161 |
|
|
|
46,849 |
|
|
|
(108,610 |
) |
Other income |
|
226 |
|
|
|
2,200 |
|
|
|
223 |
|
|
|
2,200 |
|
Total other (loss) income |
|
(23,806 |
) |
|
|
129,745 |
|
|
|
122,337 |
|
|
|
(125,461 |
) |
Expenses: |
|
|
|
|
|
|
|
||||||||
Compensation and benefits |
|
21,244 |
|
|
|
8,868 |
|
|
|
47,773 |
|
|
|
22,951 |
|
Other operating expenses |
|
17,699 |
|
|
|
11,886 |
|
|
|
38,751 |
|
|
|
22,370 |
|
Total expenses |
|
38,943 |
|
|
|
20,754 |
|
|
|
86,524 |
|
|
|
45,321 |
|
Income before income taxes |
|
70,537 |
|
|
|
217,225 |
|
|
|
286,096 |
|
|
|
36,509 |
|
Provision for income taxes |
|
14,201 |
|
|
|
19,780 |
|
|
|
26,172 |
|
|
|
15,872 |
|
Net income |
|
56,336 |
|
|
|
197,445 |
|
|
|
259,924 |
|
|
|
20,637 |
|
Dividends on preferred stock |
|
(11,784 |
) |
|
|
(12,115 |
) |
|
|
(23,568 |
) |
|
|
(24,480 |
) |
Gain on repurchase and retirement of preferred stock |
|
— |
|
|
|
2,454 |
|
|
|
644 |
|
|
|
2,454 |
|
Net income (loss) attributable to common stockholders |
$ |
44,552 |
|
|
$ |
187,784 |
|
|
$ |
237,000 |
|
|
$ |
(1,389 |
) |
Basic earnings (loss) per weighted average common share |
$ |
0.43 |
|
|
$ |
1.94 |
|
|
$ |
2.27 |
|
|
$ |
(0.02 |
) |
Diluted earnings (loss) per weighted average common share |
$ |
0.43 |
|
|
$ |
1.80 |
|
|
$ |
2.16 |
|
|
$ |
(0.02 |
) |
Dividends declared per common share |
$ |
0.45 |
|
|
$ |
0.45 |
|
|
$ |
0.90 |
|
|
$ |
1.05 |
|
Weighted average number of shares of common stock: |
|
|
|
|
|
|
|
||||||||
Basic |
|
103,555,755 |
|
|
|
96,387,877 |
|
|
|
103,478,847 |
|
|
|
94,492,389 |
|
Diluted |
|
103,910,812 |
|
|
|
106,062,378 |
|
|
|
113,136,629 |
|
|
|
94,492,389 |
|
Comprehensive income (loss): |
|
|
|
|
|
|
|
||||||||
Net income |
$ |
56,336 |
|
|
$ |
197,445 |
|
|
$ |
259,924 |
|
|
$ |
20,637 |
|
Other comprehensive loss: |
|
|
|
|
|
|
|
||||||||
Unrealized loss on available-for-sale securities |
|
(44,073 |
) |
|
|
(156,306 |
) |
|
|
(147,151 |
) |
|
|
(30,375 |
) |
Other comprehensive loss |
|
(44,073 |
) |
|
|
(156,306 |
) |
|
|
(147,151 |
) |
|
|
(30,375 |
) |
Comprehensive income (loss) |
|
12,263 |
|
|
|
41,139 |
|
|
|
112,773 |
|
|
|
(9,738 |
) |
Dividends on preferred stock |
|
(11,784 |
) |
|
|
(12,115 |
) |
|
|
(23,568 |
) |
|
|
(24,480 |
) |
Gain on repurchase and retirement of preferred stock |
|
— |
|
|
|
2,454 |
|
|
|
644 |
|
|
|
2,454 |
|
Comprehensive income (loss) attributable to common stockholders |
$ |
479 |
|
|
$ |
31,478 |
|
|
$ |
89,849 |
|
|
$ |
(31,764 |
) |
|
|||||||||||||||
INTEREST INCOME AND INTEREST EXPENSE |
|||||||||||||||
(dollars in thousands, except share data) |
|||||||||||||||
|
|||||||||||||||
|
Three Months Ended |
|
Six Months Ended |
||||||||||||
|
|
|
|
||||||||||||
|
2024 |
|
2023 |
|
2024 |
|
2023 |
||||||||
|
(unaudited) |
|
(unaudited) |
||||||||||||
Interest income: |
|
|
|
|
|
||||||||||
Available-for-sale securities |
$ |
99,211 |
|
|
$ |
104,195 |
|
|
$ |
199,816 |
|
|
$ |
201,233 |
|
Other |
|
16,742 |
|
|
|
13,567 |
|
|
|
33,920 |
|
|
|
33,122 |
|
Total interest income |
|
115,953 |
|
|
|
117,762 |
|
|
|
233,736 |
|
|
|
234,355 |
|
Interest expense: |
|
|
|
|
|
|
|
||||||||
Repurchase agreements |
|
113,714 |
|
|
|
116,946 |
|
|
|
232,430 |
|
|
|
221,301 |
|
Revolving credit facilities |
|
29,906 |
|
|
|
29,684 |
|
|
|
60,153 |
|
|
|
55,340 |
|
Term notes payable |
|
6,008 |
|
|
|
8,239 |
|
|
|
12,426 |
|
|
|
15,882 |
|
Convertible senior notes |
|
4,579 |
|
|
|
4,692 |
|
|
|
9,198 |
|
|
|
9,528 |
|
Total interest expense |
|
154,207 |
|
|
|
159,561 |
|
|
|
314,207 |
|
|
|
302,051 |
|
Net interest expense |
$ |
(38,254 |
) |
|
$ |
(41,799 |
) |
|
$ |
(80,471 |
) |
|
$ |
(67,696 |
) |
|
|||||||
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 |
||||||
|
|
|
|
||||
|
(unaudited) |
|
(unaudited) |
||||
Reconciliation of comprehensive income to Earnings Available for Distribution: |
|
|
|
||||
Comprehensive income attributable to common stockholders |
$ |
479 |
|
|
$ |
89,370 |
|
Adjustment for other comprehensive loss attributable to common stockholders: |
|
|
|
||||
Unrealized loss on available-for-sale securities |
|
44,073 |
|
|
|
103,078 |
|
Net income attributable to common stockholders |
$ |
44,552 |
|
|
$ |
192,448 |
|
Adjustments to exclude reported realized and unrealized (gains) losses: |
|
|
|
||||
Realized loss on securities |
|
22,149 |
|
|
|
10,915 |
|
Unrealized loss (gain) on securities |
|
117 |
|
|
|
(20 |
) |
Provision for credit losses |
|
171 |
|
|
|
80 |
|
Realized and unrealized loss (gain) on mortgage servicing rights |
|
22,857 |
|
|
|
(11,012 |
) |
Realized gain on termination or expiration of interest rate swaps and swaptions |
|
(2,388 |
) |
|
|
(13,890 |
) |
Unrealized gain on interest rate swaps and swaptions |
|
(4,609 |
) |
|
|
(70,325 |
) |
Realized and unrealized loss (gain) on other derivative instruments |
|
852 |
|
|
|
(47,489 |
) |
Gain on repurchase and retirement of preferred stock |
|
— |
|
|
|
(644 |
) |
Other realized and unrealized (gains) losses |
|
(226 |
) |
|
|
3 |
|
Other adjustments: |
|
|
|
||||
MSR amortization(1) |
|
(89,058 |
) |
|
|
(78,704 |
) |
TBA dollar roll income (losses)(2) |
|
4,019 |
|
|
|
(1,905 |
) |
|
|
7,211 |
|
|
|
7,694 |
|
Change in servicing reserves |
|
(739 |
) |
|
|
215 |
|
Non-cash equity compensation expense |
|
1,643 |
|
|
|
6,083 |
|
Certain operating expenses(4) |
|
(624 |
) |
|
|
1,198 |
|
Net provision for income taxes on non-EAD |
|
11,589 |
|
|
|
10,078 |
|
Earnings available for distribution to common stockholders(5) |
$ |
17,516 |
|
|
$ |
4,725 |
|
Weighted average basic common shares |
|
103,555,755 |
|
|
|
103,401,940 |
|
Earnings available for distribution to common stockholders per weighted average basic common share |
$ |
0.17 |
|
|
$ |
0.05 |
|
________________ | |
(1) |
MSR amortization refers to the portion of change in fair value of MSR primarily attributed to the realization of expected cash flows (runoff) of the portfolio, which is deemed a non-GAAP measure due to the company’s decision to account for MSR at fair value. |
(2) |
TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. |
(3) |
|
(4) |
Certain operating expenses predominantly consists of expenses incurred in connection with the company’s ongoing litigation with |
(5) |
EAD is a non-GAAP measure that we define as comprehensive income attributable to common stockholders, excluding realized and unrealized gains and losses on the aggregate portfolio, gains and losses on repurchases of preferred stock, provision for (reversal of) credit losses, reserve expense for representation and warranty obligations on MSR, non-cash compensation expense related to restricted common stock and certain operating expenses. As defined, EAD includes net interest income, accrual and settlement of interest on derivatives, dollar roll income on TBAs, |
View source version on businesswire.com: https://www.businesswire.com/news/home/20240730617547/en/
Source: