Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Investor Presentation (May 2011)
16 slides from Two Harbors Investment's investor presentation, May 18, 2011
Slide 1: Two Harbors Investment Corp. Investor Presentation
Two Harbors Investment Corp. Investor Presentation
Slide 2: Safe Harbor Statement
Safe Harbor Statement Forward-Looking Statements ‘This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Secutities Litigation Reform Act of 1995. Actual results of Two Harbors Investment Corp. (“Two Harbors” or the “Comp
Slide 3: Mortgage Market Overview
Mortgage Market Overview = Changes to the mortgage market will create great opportunity. — Governmentshare ofthe $11 trillion mortgage market will shrink considerably. — The Administration intends for private capital to play the predominant role in housing finance. REITs /Othee Hedge Funds/ Brokers
Slide 4: Supply and Opportunity
Supply and Opportunity = Over §2 trillion in government “supply” will likely keep spreads attractive — FannieMaeand Freddie Mac mandated to shrink their portfolios by at least 10% per year USD$ eieha — Fed’s $1.0 trillion portfolio will be in runoff mode. 2002 ROD — Nomura estimates that $200 to $33
Slide 5: Opportunity in Securitization
Opportunity in Securitization Market Opportunity The distressed non-Agency opportunity is playing out as anticipated and will go away over time. The government share of mortgage credit will revert towards historical norms and need for private capital will increase Attractive investment opportunities
Slide 6: TWO Announces Intention to Securitize in 2011
TWO Announces Intention to Securitize in 2011 ‘Two Harbors will partner with Barclays Bank PLC and one or more mortgage loan originators to generate, warehouse and securitize prime jumbo mortgage loans. — The partnership with Barclays lays the foundation for underwriting and asset creation as an ong
Slide 7: Hypothetical Deal Structure
Mm Loins AAA-Rated Bonds I Subordinate Bonds Hypothetical Deal Structure Sold to Investors Available for Sale Retained by ‘Two Harbors Prime Jumbo Loans $250MM AABonds $8MM ABonds & Below $15 MM Mowe: hshdesforaeenn on, Theor and terme ofan aca de fy wll be trina Wy my sale Sig the sale of pame unBo
Slide 8: Two Harbors Well-Positioned
Two Harbors Well-Positioned Mook Value Fecorarance = NYSE-listed mortgageREIT investingin residential (Q5-2518 wm QL InP mortgage backed securities — Formed in 2009 to take advantage of the changing mortgage landscape. — Manages $3.0 billion in Agency and non- Agency securities across all sectors, —
Slide 9: Investment Approach
Investment Approach InvestmentStrategy Investment Portfolio As of March 31, 2011 Hybrid ARMs Gonna) = Captures Benefits of Hybrid Model: Holistic view Mezzanine $265 of the market is taken by evaluating opportunities $99 30-Yeer Fond across the Agency and non-Agency RMBS universe Sele oe $557 TO and
Slide 10: Importance of Security Selection
Importance of Security Selection Portfolio Com position QL-2011 Agency Book Pia Focus on low and stable prepayments eeu & e% |= Poolswith seasoning, prepayment protection, and lowerloan aa LourtLoan balances provide for sustainable yields. Balances Prepayment aan | Stable cash flows make interest ra
Slide 11: Importance of Risk Management
Importance of Risk Management = Over 90% hedged maintains low duration exposure!, Strong focus on funding management. = 28% of notional in interest rate swaptions is optional — Long-term repos provide stability protection. — Non-agency committed facility in place. = Swaps/swaptions complement IO str
Slide 12: Attractive Returns With Lower Risk
Attractive Returns With Lower Risk Superior asset selection and risk management drive returns while taking on less tisk. Attractive & Comparable Dividend Yield... «+. With Lower Leverage @... 200% 0x ieside 14% 150% Gx 100% 40x 50% 20x 7 quan Quan — ~ granin g¢znt0 grant q3.2n10 Qazi Qizott 10 Peet
Slide 13: Contact Information
Contact Information For further information, please contact: Anh Huynh Investor Relations Two Harbors Investment Corp. 212, 364,3221 Ain
Slide 14: Appendix
VA Appendix
Slide 15: Two Harbors Team with Deep Securities Experience
Two Harbors Team with Deep Securities Experience Investment Team ( Co-Chief Investment Officers | | 19-memberRMBS Team | Steven Kuhn William Roth Traders and Analysts ~ Also serves as Partner-Head of Fixed — Also servesas Fixed Income Portfolio — ‘Trading team of five traders and Income Trading of P
Slide 16: Overview of Pine River Capital Management
Overview of Pine River Capital Management Global multi-strategy asset management firm providing comprehensive portfolio management, transparency and liquidity to institutional and high net worth investors. m Founded June 2002 with offices in New York, London, Beijing, Hong Kong, San Francisco and Mi
Two Harbors Investment — Investor Presentation (May 2011) on 6ix