Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Q1 2011 Earnings Presentation
13 slides from Two Harbors Investment's earnings presentation, May 9, 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 Securities Litigation Reform Act of 1995. Actual results of Two Harbors Investment Corp (“Two Harbors” or the “Compan
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: Two Harbors Well-Positioned
Two Harbors Well-Positioned Mook Value Fecorarance 2.2818 Book Valne Change” = NYSE-listed mortgageREIT investingin residential mortgage backed securities oon 17% 20% 30% — Formed in 2009 to take advantage of the changing mortgage landscape. — Manages $3.0 billion in Agency and non- Agency securitie
Slide 6: 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 7: 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 8: 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 9: 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 @... 20.0% — 16.3% Boy: 143% 5x 150% 60x 100% 40x 33x x 50% 205 4.2010 4.2010 gs.2010 42010 s.a010 4.2010 10 Peet
Slide 10: Contact Information
Contact Information For further information, please contact: Anh Huynh Investor Relations Two Harbors Investment Corp. 212, 364,3221 Ain
Slide 11: Appendix
VA Appendix
Slide 12: 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 13: 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
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