Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Corporate Update (December 2009)
9 slides from Two Harbors Investment's corporate update, Dec 11, 2009
Slide 1: Two Harbors Investment Corp. Interim Investment Update
‘Two Harbors Investment Corp. Interim Investment Update
Slide 2: Safe Harbor Statement
Sate Harbor Statement Forward-Looking Statements ‘This presentation may include “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
Slide 3: Executive Summary
Executive Summary ® Two Harbors Investment Corp. (NYSE Amex: TWO; TWO.WS) completed its merger transaction with Capitol Acquisition Corp. on October 28, 2009. — Two Harbors commenced operations as a REIT investing in residential mortgage- backed secutities on October 29, 2009. — The transaction gene
Slide 4: Investment Portfolio Summary
Investment Portfolio Summary December 8, 2009 Aggregate Capital for Investment (SM) S124 Target Target Assumed Total Target Total Assets Asset Allocation (96) Investment! (@M)_Haircut (%6)_Assets! (GMD)_ Purchased (SM) _Invested (96) Agency 30-35% $40 10% $400 sa10 Non-Agency Senior 25-30% 34 $68 $3
Slide 5: Investment Portfolio Composition
Investment Portfolio Composition December 8, 2009 Porrfolio Weighted ‘Weighted Estimated Agency Bond: Amount (SM) __ Average Coupon (96) Average Price () ‘Yield Range! (%) Fined Rete Bonds $99 523% s1086 4.00-4.30% Hybrid ARMs sa 4 sios9 Total Agency sa10 2 . Weighted ‘Weighted Estimated Amount (SM)
Slide 6: Agency Bond Profile
Agency Bond Profile Agency Bond Profile + Bonds with explicit prepayment protection or seasoned bonds represent approximately 83% of portfolio. + We believe seasoned bonds reflect refinancing bumnout and subsequently less prepayment risk + Average reset is 21 months for Hybrid ARMs. + Total IO expos
Slide 7: Non-Agency Profile
Non-Agency Profile Non-Agency Bond Profile + 67% of non-Agency bonds have floating sate coupons which should realize benefits in the event of dising interest rates. + Prepayment Upside - Total Discount to Par: ~$67M Senior Bonds 325M ‘Mezzanine Bonds $39M + Portfolio by Seasoning Seaios Mexz— Total
Slide 8: Financing, Duration and Leverage Profile
Financing, Duration and Leverage Profile Financing Weizbeed Repurchase Agreement! Amount (SM) _Average Rate (06) Within 30 days $65 30-90 days sus 90+ days $205 Tota? $383 omy Duration Duration Analyse Target Corrent +050 yr oy Leverage Leverage Amount (M9 Debt 3a Equity sina Debtte- Equity 31x
Slide 9: Contact Information
Contact Information For further information, please contact: Anh Huynb Investor Relations Two Harbors Investment Corp. 612.238.3348 Hiynh@ tn oharborsinvestment.com
Two Harbors Investment — Corporate Update (December 2009) on 6ix