Two Harbors Investment Corp · NYSE:TWO
Two Harbors Investment — Investor Presentation (September 2011)
15 slides from Two Harbors Investment's investor presentation, Sep 2, 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 Secutities Litigation Reform Act of 1995. Actual results of Two Harbors Investment Corp. (“Two Harbors”) may differ
Slide 3: Mortgage Market Overview
Mortgage Market Overview = Changes to the mortgage market will create great opportunity ‘Thegovernment’s share of the §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/ Broke
Slide 4: Supply and Opportunity
Supply and Opportunity = Over §2 trillion in government “supply” will likely keep spreads attractive — FannieMaeand Freddie Mac are mandated to shrink their portfolios by at least 10% per year ‘The Fed’s §1.0 trillion portfolio will likely be in runoff mode. — Excess supply will likely help keep mor
Slide 5: Two Harbors Well-Positioned
Two Harbors Well-Positioned Mook Value Fecorarance = NYSE-listed mortgage REIT investingin residential mortgage backed securities — Formed in 2009 to take advantage of the changing mortgagelandscape — Manages $4.6 billion in Agency and non-Agency securities across all sectors — Strong historic track
Slide 6: Investment Approach
Investment Approach InvestmentStrategy Opportunistic Capital Allocation = Captures Benefits of Hybrid Model: We takea September 30, 2010 holistic view of the market by evaluating Non-Ageney opportunities across the Agency and non-Agency ~6OMh RMBS universe. = Opportunistic: We deploy a fluid capital
Slide 7: Fluid Asset Allocation Drives Performance
Fluid Asset Allocation Drives Performance avestment Portfolio fields @ As of Jume 50, 2011 114% Ginmiond a Seid 100% Hybrid ARMs $250 an Mezzanine oom 40% Senios 20% $609 az = tam Qt Qt 10sand 11O# $254 ME Agency RMES NHN Non-Ageney RUBS) —S— Tord NetSpread ©) Other Fined $269 ‘Toul portfolio: $4.68
Slide 8: Importance of Security Selection
Importance of Security Selection Portfolio Com position Q2-2011 Agency Book Post 2006: Peetnium & 10 om sage 14% Discount LoweeLoan Balances 26% 16% Q2-2011 Non-Agency Book Sub-Poime 55% ‘gue sd at on ede ew oie , 20, Seu costar byonn oh pete a oreialto0% Lome tn Soe colstentard youn fl an epi HIS F
Slide 9: Importance of Risk Management
Importance of Risk Management = Portfolio reflects low interest rate exposure = Strong focus on funding management — Long-dated repos and non-Agency one year facility = Swaps/swaptions complement IO strate; eee ” = provides stability = 40% of notional in interest rate swaptions is optional protectio
Slide 10: 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 @... 0% 80x 10x uM uA% S35 150% 60x aa 100% 40x ~ 5.0% 20" ~ e201 oan ~ erent gent qin = eanit 10 Peet Medan ‘wo
Slide 11: Contact Information
Contact Information For further information, please contact: Anh Huynh Investor Relations Two Harbors Investment Corp. 212, 364,3221 Ain
Slide 12: Appendix
VA Appendix
Slide 13: Anticipated Opportunity in Securitization
Anticipated Opportunity in Securitization Anticipated housing finance shift to the private sector creates opportunity for Two Harbors ‘We believe we can create mortgage credit investments at attractive yield levels that result from high-qualityloan origination and securitization. A securitization pr
Slide 14: Two Harbors Team with Deep Securities Experience
Two Harbors Team with Deep Securities Experience Investment Team { Co-Chief Investment Officers | | SubstantialRMBS Team | Steven Kuhn William Roth Traders and Analysts — Also serves as Partner-Head of Fixed — Also servesas Fixed Income Portfolio — Trading team of six traders and Income Trading of P
Slide 15: 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 Min
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