Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Q4 2010 Earnings Presentation
13 slides from Two Harbors Investment's earnings presentation, Feb 8, 2011
Slide 1: 2010 Fourth Quarter Earnings Call
Two Harbors Investment Corp. 2010 Fourth 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: Fourth Quarter 2010 Highlights
Fourth Quarter 2010 Highlights = Successfully completed secondary stock offering of 14.4 million shares, inclusive of the greenshoe, for net proceeds of approximately $128.4 million. = Achieved total Comprehensive Income of $23.0 million, or $0.84 per diluted weighted share, reflecting robust yields
Slide 4: Financial Summary
Financial Summary acial Highlights = Reported Core Earnings! of $0.36 per diluted share, reflecting attractive yields and favorable funding environment. = Achieved Adjusted GAAP Earnings? of $11.2 million, or $0.41 per share. Performance of underlying portfolio and Hi QLm10 © gem 20 Qt (mE Coce Eaei
Slide 5: Operating Performance
Operating Performance Comprehensive Income Book Value 10.00 f2s0 | em | 00 0 | el a a Ee a he eh — $50 scene 168.0% sg 200% 40% ) ae ao 150% 30% 2% ne —— mo =| 2 rs | =]| 2 t 0% 00% — ——— a SS a © 2010 dividendsmaynotbe indkatve of finme dividend divibutons, ‘The company othtely dtbuter dividends br
Slide 6: Portfolio Summary
Portfolio Summary acial Highlights am Ids by Port! Maintained strong fourth quarter 2010 yield: 10.8% 10.4% 120% and net interest spread 10.0% 20% oon Investment strategy delivered value to shareholders in 2H-2010 = Book value increased 8.5% in 2H-2010 qa zaman QUO Agency market presented contrastin
Slide 7: RMBS Portfolio Composition
RMBS Portfolio Composition As of September 30, 2010 §930M RMBS Portfolio Mezzanine 4 Hybeid ARMs senioe a $225 10sna 110! road fete oe $365 HI Agency Bonds $677M Non-Agenoy Bonds §274M Agency: Vintage & Prepayment Protction —Q3.2010_Q4.2010 Prepayment protected arn ay pennies an a Pee 2000 vintages
Slide 8: Portfolio Metrics
Portfolio Metrics Portfolio Yields and Metrics Agency RMBS CPR at At Realized Sept 30, Realized Dec. 31, Portfolio Yield 93.2010 2m Qe2010 2010 sane 250% Ananvalived yield? 59% 53% 58% 52% 0% 150% 0 43% 2 38% 4 Agenoy Non-Agency 10.4% = ay E 50% oon | Cost of finanving? 11% 11% 12% 12% qu gaan gam «
Slide 9: Financing
Financing December 31, 2010 Repurchase Agreements: RMBS and Agency Derivatives Amount ($M) ‘Within 30 days $197 30 to 59 days 212 60 to 89 days 118 90to 119 days 152 Over 120 days 292 ‘Total $971 «Maturities over 90 days represented 46% of total RMBS borrowings. «Added two new financing counterparti
Slide 10: Deployment of Proceeds
Deployment of Proceeds = Completed acquisition of targeted portfolio by late January 2011 = Excellent opportunities in Agency and non-Agency markets = Highlights of aggregate portfolio, as of January 31, 2011: — Significant allocation increase to Option ARM and Subprime bonds — 15-year Agency “Low L
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Slide 12: Operating Performance
Operating Performance ‘Operating Pesformance Coe Reed = Umeaized = Q32000 Core Realized Umeatied —_ Q4-2010 (Guin, except forperstae ators) Ramings Gains ‘MIM Financials Eamings Gains MIM. Financials Inveestincoe + up - $2 8 wD + ws -$ - 2 Inevestexpene 14 . 14 16 2 2 16 Netinterestinsooe 05 : : 05
Slide 13: Change in Stockholders' Equity
Change in Stockholders’ Equity 95.2010 Book 2010 Book Change in Stockholders’ Equity 3.2010 Value per Share 42010 Value per Share (larnilions, except for per share amounts) BookValue (diluted basis)! BookValue (diluted basis) Beginning stockholdees’ equity $ wa am § was § 928 [Net proceeds from comm
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