英文【摩根大通】双港公司（TWO,TWO US）：Two HarborsTWO预计利差扩大将推动更高回报

North America Equity Research30 April 2025J P M O R G A Nwww.jpmorganmarkets.comTwo HarborsTWO Expects Wider Spreads to Drive Higher ReturnsNeutralTWO, TWO USPrice (29 Apr 25):$12.42▲Price Target (Dec-25):$11.50Prior (Dec-25):$10.50Consumer FinanceRichard Shane AC(1-415) 315-6701richard.b.shane@jpmorgan.comA. J. Denham, CFA, CPA(1-212) 622-0853aj.denham@jpmchase.comMelissa Wedel, CFA(1-415) 315-6763melissa.wedel@jpmorgan.comJ.P. Morgan Securities LLCKey Changes (FYE Dec)PrevCurAdj. EPS - 25E ($)0.381.16Adj. EPS - 26E ($)1.231.04Quarterly Forecasts (FYE Dec)Adj. EPS ($)2024A2025E2026EQ10.050.24A0.21Q20.170.280.25Q30.130.280.29Q40.200.350.28FY0.541.161.04Style ExposureTWO reported 1Q25 EAD/sh of $0.24, above JPMe $0.18 but below consensus $0.40. Tangible book value per share increased +1.3% sequentially to $14.66, above our forecast of $14.18 and consensus $14.49. TWO’s book value was down -3.5% QTD (through April 25). We increase our Dec 25 price target to $11.50 (vs. $10.50 prior) and reiterate our Neutral rating. Our price target is based on 0.80x our FY25 BV estimate of $14.66, implying a 5.4% annualized total return. Model Impact:•We increase our EAD per share estimate to $1.16 in 2025 (vs. $0.38 prior) and decrease it to $1.04 in 2026 (vs. $1.23 prior). •We decrease our estimate for operating expense to $192.4M in 2025 (vs. $196.0M prior) and to $192.8M in 2026 (vs. $200.0M prior). •We increase our TBVPS estimate to $14.66 in 2025 (vs. $13.96 prior) and to $15.25 in 2026 (vs. $15.16 prior). Key Takeaways:•Higher spread income was driven by portfolio shift to higher coupon Agency MBS and lower borrowing rates, slightly offset by lower float income due to seasonality and lower rates and lower servicing fee income from MSR portfolio runoff. Agency MBS outperformed hedges in January/February, but underperformed in March. Higher coupons in both TBAs and specified pools outperformed longer duration lower coupons. TWO started the quarter with a bias towards higher coupons. The company reduced its exposure to 3.0%-4.5% spec pools while adding 6.5% spec pools and reducing its corresponding net TBA position in 6.5% coupons. •TWO’s static return estimate widened Q/Q, driven by lower portfolio leverage estimates on the low end of the range. In prior quarters, TWO estimates the static return range by varying prepayment speeds and funding costs, but it now varies leverage levels too (from ~6% at the low end to ~7% at the high end). Convexity hedging costs are higher but wider spreads should mitigate some of the cost. Mgmt. expects wider spreads in April to add ~$0.03 to the company’s return potential.•TWO decreased risk throughout the quarter, reaching the low 5x range, and ending the quarter with an economic debt-to-equity ratio of 6.2x. The company intends to keep risk levels low given elevated macro uncertainty.•TWO remains focused on scaling its RoundPoint servicing business. The company’s efforts are focused on: 1) Scaling the DTC originations platf