Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Q1 2011 Earnings Presentation
14 slides from Two Harbors Investment's earnings presentation, May 4, 2011
Slide 1: 2011 First Quarter Earnings Call
Two Harbors Investment Corp. 2011 First Quarter Earnings Call
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 may differ from expectations, estimates and projections and,
Slide 3: First Quarter 2011 Highlights
First Quarter 2011 Highlights Achieved total Comprehensive Income of $31.5 million, or $0.69 per diluted weighted share, reflecting Agency and non-Agency portfolio appreciation. = Increased Book Value 4.9% on a sequential quarter basis to $9.90 per diluted share. = Declared dividend of $0.40 per sha
Slide 4: Financial Summary
Financial Summary acial Highlights = Core Earnings! increased $4.9 million on a sequential basis to §14.8 million or $0.32 per weighted average share. Increase primarily attributed to a higher average investment base of approximately $1.7 billion. = Achieved Adjusted GAAP Earnings? of SBM: AAAS, SAA
Slide 5: Operating Performance
Operating Performance Comprehensive Income Book Value $5000 so 000 aa [ $25,000 jane p50 20000 200% to | 4 $00 10.000 50 $5.00 é pao | m0 emi Qs200 QLamD QL m0 eam Gann QtanID QLaML i Compethemive Iecome — Compatersive Income ROAE Took Valee 50 qe TEI) agg oo 40% N32 ian 150% 30% 020 20% 19% em 10.0
Slide 6: Portfolio Summary
Portfolio Summary Portfolio Highlights am Ids by Port! Portfolio yields in line with expectations. = Market opportunities led to higher capital allocation to Agency strategy. QD QVIMN §—QB2N0 QHD QL ME Apeney RMES NN Non Agency RMES | —8~ Tord Net Interest Spread?” = Yield, net interest margin and l
Slide 7: RMBS Portfolio Composition
RMBS Portfolio Composition Portfolio Compo: As of December 31, 2010 As of March 31, 2011 $1.4B RMBS Portfolio $3.0B RMBS Portfolio Mezesnine yoda ARMs 9 syed Ants ues nes seas pas 20-Yeu Fed $268 Senior $587 $05 20-Yeur Fed re $160 iS ge C= Ba + # gi.164 omsersad 15-Yeu Fined Otter Fired sons $350 $
Slide 8: Portfolio Metrics
Portfolio Metrics Portfolio Yields and Metrics Agency RMBS CPR At At Realized Dec. 31, Realized Mar. 31, Portfolio Yield tone 200 QL2011 2001 sane 250% Ananvalived yield? 5B% Sa 52% 52% 0% 150% 0 38% 2 30% 4 Agenoy Nom-Ageney 114% 2 9m E 50% oon | Cost of finanving? 12% 12% 14% 14% isin Qzamn azn ea
Slide 9: Hedging Strategy
a Hedging Strategy March31,2011 = Hedging positions at March 31, 2011 Notional Average = Average Average = $2.4 billion notional hedging Agency Sieps Amows FhedPay Recene —Maturay 4 ‘Matusities «eK Rate Rate (ean) strategy’ 2012 25,000 0.866% oat 173 . o Over 90% hedged maintains low a le ta ion ae
Slide 10: Financing
Financing March 31, 2011 Repurchase Agreements: RMBS and Agency Derivatives Amount ($M) Percent (%) ‘Within 30 days $593 25% 30 to 59 days 323 14% 60 to 89 days 431 19% 90to 119 days 560 24% Over 120 days 410 18% ‘Total $2,317 «Maturities over 90 days represented 42% of total RMBS borrowings. +Added
Slide 11: Deployment of Proceeds
Deployment of Proceeds = Completed deployment of March 2011 capital raise. = Excellent opportunities in Agency and non-Agency markets with compelling stories in the Agency sector. = Highlights of anticipated aggregate portfolio: — Deployment capital allocation: Approximately 85% Agency and 15% non-A
Slide 12: Appendix
Appendix 12
Slide 13: Operating Performance
Operating Performance ‘Operating Performance Core Realized «Unrealized © QU-2010 Core Reslized Unrealized = QUI, (Gime, except forpershare ammount) Eamings ‘Gains ‘MIM Financials Eamings Gains MIM Financials Ineestincome + 20 - 4 - 9 199 = 4 - 199 Interestexperce 16 é 16 23 : = 23 Netinterestincome
Slide 14: Change in Stockholders' Equity
Change in Stockholders’ Equity Q#2010 Book Q1-2011 Book Change in Stockholders’ Equity 42010 Value per Share Q1-2011 Value per Share (larnilions, except for per share amounts) BookValue (diluted basis)! BookValue (diluted basis) Beginning stockholdees’ equity $ wma § 924 § 3824 § 9.48 [Net proceeds
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