Agency RMBS repo markets remained stable with repurchase spreads around SOFR plus 20 basis points.
Comprehensive loss for the quarter was $221.8 million or $2.13 per share including the accrual, and $21.9 million or $0.21 per share excluding it.
For the first half of 2025, total economic return on book value was negative 10.3% including the accrual and positive 2.9% excluding it.
Including the accrual, book value decreased to $12.14 per share.
Mark-to-market gains and losses were lower by $93.4 million due to unfavorable market movements on MSR, swaps, TBAs, and futures, partially offset by positive movements on Agency RMBS.
MSR financing included $1.8 billion outstanding borrowings across 5 lenders with $837 million unused capacity.
Net interest and servicing income increased by $3.1 million driven by Agency RMBS portfolio growth and higher float income on MSR, partially offset by lower servicing fee income and higher financing costs.
The company issued $115 million of 9.38% senior notes due 2030 to refinance 6.25% senior notes due 2026.
The company took a loss contingency accrual of $199.9 million or $1.92 per share related to ongoing litigation from the termination of its management agreement with PRCM Advisers.
Two reported a total economic return of negative 14.5% for Q2 2025 including a loss contingency accrual of $1.92 per share, and negative 1.4% excluding the accrual.
Dafinchi