Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — 3rd Annual Credit Suisse Mortgage REIT & Servicer Conference (November 2013)
12 slides from Two Harbors Investment's conference presentation, Nov 19, 2013
Slide 1: 3rd Annual Credit Suisse Mortgage REIT & Servicer Conference
3 rd Annual Cred i t Suisse Mor tgage REIT & Ser v icer Conference Third Quarter 2013 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 may differ from expectations, estimates and projections and,
Slide 3: Mission-Based Strategy
Mission-Based Strategy OUR MISSION IS TO BE RECOGNIZED AS AN INDUSTRY -LEADING MORTGAGE REIT: • We are the largest hybrid mortgage REIT focused on investing in residential mortgage assets, with a market capitalization of $3.4 billion.(1) BENEFITS OF OUR HYBRID MORTGAGE REIT MODEL: • We have the flex
Slide 4: Book Value and Dividend History
Book Value and Dividend History STRONG RETURN ON BOOK VALUE • O u r fo c u s i s o n d e l i ve r i ng to t a l r e t u r n . • P ro te c t i n g b o o k va l u e i s c r i t i c a l to d i v i d e nd g e n e r a t io n ove r t i me . • O ppo r t u n i s t i c c a p i t a l a l l o c a t i on a n d
Slide 5: Current Positioning: Portfolio Composition
CURRENT POSIT IONING PORTFOLIO COMPOSITION Portfolio Composition 5 • Minimal rate exposure • Low Agency leverage and basis exposure • Numerous and diverse repo counterparties • Opportunistically purchased Agency ARMs in Q3 • Credit book maintains upside optionality Rates(3) $9.9B Credit(4) $3.7B AS
Slide 6: Mortgage Servicing Rights (MSRs)
Mortgage Servicing Rights (MSRs) RECENT DEVELOPMENTS • Flow sale agreement with PHH Mortgage Corporation to acquire MSRs – Right to acquire MSRs on at least 50% of eligible new Fannie Mae and Ginnie Mae mortgage loans, subject to quarterly pricing – Subservicing agreement with PHH Mortgage Corporati
Slide 7: Mortgage Loan Conduit and Securitization
Mortgage Loan Conduit and Securitization RECENT DEVELOPMENTS • In third quarter 2013, we completed Agate Bay Mortgage Trust 2013-1, a $434 million securitization of prime jumbo loans, using our own depositor ― Generated attractive subordinate and IO bonds for our portfolio • Ongoing progress buildin
Slide 8: Appendix
Appendix 8
Slide 9: Return on Book Value
Return on Book Value 9 Return on book value Q3-2013(1) (Per diluted share amounts, except for percentage) Book value at September 30, 2013 ($) $10.35 Book value at June 30, 2013 10.47 Decrease in book value (0.12) Dividend declared in Q3-2013 0.28 Return on book value Q3-2013 ($) $0.16 Return on boo
Slide 10: Agency Securities as of September 30, 2013
Agency Securities as of September 30, 2013 10 Par Value (M) Market Value (M) % of Agency Portfolio Amortized Cost Basis (M) Weighted Average Coupon Weighted Average Age (Months) 30-Year Fixed 3.0-3.5% $736 $749 7.5% $783 3.5% 16 4.0-4.5% 3,942 4,166 41.9% 4,281 4.1% 16 ≥ 5.0% 877 969 9.8% 953 5.6% 5
Slide 11: Non-Agency Securities as of September 30, 2013
Non-Agency Securities as of September 30, 2013 11 Senior Bonds Mezzanine Bonds Total P&I Bonds Portfolio Characteristics Carrying Value ($M) $2,421 $525 $2,946 % of Non-Agency Portfolio 82.2% 17.8% 100.0% Average Purchase Price(1) $51.20 $59.21 $52.63 Average Coupon 1.8% 1.6% 1.7% Weighted Average M
Slide 12: Two Harbors Investment Corp.
TWO HARBORS Investment Corp.