An Agency + MSR REIT Third Quarter 2023 Earnings Call OCTOBER 31, 2023 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, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as "expect," "target," ...

Two Harbors Investment Corp. (NYSE:TWO) Q2 2023 Earnings Conference Call August 1, 2023 9:00 AM ET Company Participants Maggie Karr - Head of Investor Relations William Greenberg - President and Chief Executive Officer Mary Riskey - Vice President and Chief Financial Officer Nicholas Letica - Vice President and Chief Investment Officer Conference Call Participants Douglas Harter - Credit Suisse AG Bose George - Keefe, Bruyette, & Woods, Inc. Trevor Cranston - JMP Securities LLC Kenneth Lee - RBC Capital Mar ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Quarterly Period Ended: June 30, 2023 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Commission File Number 001-34506 TWO HARBORS INVESTMENT CORP. (Exact Name of Registrant as Specified in Its Charter) Maryland 27-0312904 (State or Other Jurisdiction of Incorporation or Organization) ...

An Agency + MSR REIT Second Quarter 2023 Earnings Call AUGUST 1, 2023 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, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as "expect," "target," ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the Quarterly Period Ended: March 31, 2023 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Commission File Number 001-34506 TWO HARBORS INVESTMENT CORP. (Exact Name of Registrant as Specified in Its Charter) Maryland 27-0312904 (State or Other Jurisdiction of Incorporation or Organization) ...

| --- | --- | --- | --- | --- | --- | --- | |-------|-------|-------|-------|-------------------------------------------------|-----------------|-------| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | An Agency + MSR | | | | | | | Mortgage REIT | | | | | | | | | | | | | | | | First Quarter 2023 Earnings Call MAY 2, 2023 | | | | | | | | | | | | | | | | | | | | | | | | | | | Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes "forward-looking statements" wi ...

Two Harbors Investment Corp. (NYSE:TWO) Q1 2023 Earnings Conference Call May 2, 2023 9:00 AM ET Company Participants Maggie Karr - Head, IR Bill Greenberg - President & CEO Mary Riskey - CFO Nick Letica - Chief Investment Officer Conference Call Participants Doug Harter - Credit Suisse Kenneth Lee - RBC Capital Markets Bose George - KBW Trevor Cranston - JMP Securities Arren Cyganovich - Citi Eric Hagen - BTIG Rick Shane - JPMorgan Operator Good morning. My name is Diego and I will be your conference facili ...

Financial Instruments and Debt - The company has issued and outstanding $287.5 million aggregate principal amount of 6.25% convertible senior notes due January 2026, which may not be repaid if sufficient funds are not available at maturity[85]. - The company has $287.5 million in convertible senior notes that may require cash payments upon a fundamental change, impacting liquidity[85]. - The company engages in hedging transactions that may expose it to contingent liabilities, potentially affecting cash available for distribution to stockholders[89]. - The company may issue additional shares through public offerings, private placements, or equity awards, which could impact the market price of its common stock[127]. - The company operates to qualify as a REIT, but changes in legislation or interpretations could affect its ability to maintain this status[133]. - The company must distribute at least 90% of its REIT taxable income annually to maintain its REIT status, or face a 4% nondeductible excise tax on any shortfall[141]. - The maximum U.S. federal income tax rate for dividends payable to domestic stockholders is 20%, but dividends from REITs generally do not qualify for reduced tax rates, potentially affecting share value[147]. Regulatory and Compliance Risks - The proposed acquisition of RoundPoint Mortgage Servicing Corporation is subject to various regulatory and GSE approvals, with no assurance that all conditions will be satisfied[100]. - The company may not realize all expected benefits from the proposed acquisition of RoundPoint, which could adversely affect its business and financial condition[101]. - Compliance with financial covenants related to credit facilities is crucial, as failure to comply could result in default and adverse financial consequences[81]. - Certain provisions of Maryland law may inhibit changes in control, potentially affecting stockholder interests[119]. - The company's charter includes ownership limits that restrict the ability of individuals to purchase shares beyond specified thresholds, which may deter potential acquisitions[121]. Operational and Market Risks - The company is highly dependent on information technology, and any security breaches could lead to significant legal claims and regulatory penalties, negatively impacting financial results[87]. - The performance of third-party service providers, including mortgage servicers, poses risks that could adversely affect the company's operations and financial condition[92]. - The company may face representation and warranty risks related to its ownership of mortgage servicing rights (MSR) and prior securitization transactions, which could lead to financial losses[98]. - Changes in mortgage prepayment rates can adversely affect the value of the company's assets, including mortgage-backed securities and mortgage servicing rights (MSR)[106][107]. - Rising interest rates may reduce the availability of target assets and adversely affect the company's ability to generate income and pay dividends[116]. - Deficiencies in servicing and foreclosure practices could negatively impact the value of Agency RMBS and MSR, affecting financial results[117]. - The company may face liquidity issues due to required servicing advances that may not be recoverable, impacting cash flows[118]. Financial Performance and Cash Flow - For the year ended December 31, 2022, cash flows from operating activities increased cash balances by approximately $623.4 million, primarily driven by financial results for the year[279]. - Cash flows from investing activities decreased cash balances by approximately $2.8 billion, primarily due to purchases of AFS securities and MSR[279]. - Cash flows from financing activities increased cash balances by approximately $1.2 billion, driven by an increase in financing on RMBS and MSR[279]. - The company reported a net income of $220.24 million for 2022, compared to $187.23 million in 2021, an increase of 17.6%[326]. - Basic earnings per share increased to $2.15 in 2022 from $1.72 in 2021, a rise of 25.0%[326]. - The company’s cash and cash equivalents decreased to $683.48 million in 2022 from $1.15 billion in 2021, a decline of 40.9%[323]. - Total stockholders' equity decreased to $2.18 billion in 2022 from $2.74 billion in 2021, a decrease of 20.4%[323]. Interest Rate and Market Valuation Risks - An increase in short-term interest rates could reduce the spread between returns on assets and borrowing costs, adversely affecting profitability[86]. - Interest rate risk is significant, with potential impacts on net interest income and portfolio value due to changes in market interest rates[279]. - The company employs various interest rate risk management techniques, including derivatives and non-derivative instruments, to mitigate the impact of interest rate changes[281]. - The company anticipates that changes in interest rates could lead to a decline in net interest spread and net interest margin during periods of rising rates[284]. - The company conducts interest rate sensitivity analyses to assess the impact of interest rate changes on financial results[287]. - The company monitors and adjusts hedges daily to manage interest rate risk effectively, particularly for localized interest rate moves[291]. Asset Management and Valuation - The fair value of non-publicly traded assets may fluctuate significantly, potentially leading to material differences between estimated and realized values upon disposal[105]. - The estimated fair value of available-for-sale securities fluctuates primarily due to changes in interest rates and market valuation of credit risks[299]. - The company holds $3.0 billion in mortgage servicing rights (MSR) reported at fair value as of December 31, 2022[316]. - The company’s available-for-sale (AFS) securities totaled $7.78 billion as of December 31, 2022, up from $7.16 billion in 2021, representing an increase of about 8.6%[400]. - The carrying value of non-Agency securities in unconsolidated variable interest entities (VIEs) rose to $125.2 million as of December 31, 2022, compared to $12.3 million in 2021, marking a significant increase of over 910%[402]. Credit Risk Management - The allowance for credit losses on Agency AFS securities decreased from $(12,851) thousand in 2021 to $(6,785) thousand in 2022, a reduction of approximately 47.3%[406]. - The total allowance for credit losses at the end of 2022 was $(6,958) thousand, down from $(14,238) thousand in 2021, indicating a significant improvement in credit quality[406]. - Write-offs for Agency securities in 2022 amounted to $10,010 thousand, compared to $9,770 thousand in 2021, reflecting ongoing credit loss management[406]. - The total allowance for credit losses on both Agency and non-Agency AFS securities at the end of 2022 was $(6,958) thousand, down from $(14,238) thousand in 2021, showing a positive trend in credit risk management[406].

Two Harbors Investment Corp. (NYSE:TWO) Q4 2022 Earnings Conference Call February 9, 2023 9:00 AM ET Company Participants Maggie Karr - Head, Investor Relations Bill Greenberg - President and Chief Executive Officer Nick Letica - Chief Investment Officer Mary Riskey - Chief Financial Officer Conference Call Participants Doug Harter - Credit Suisse Trevor Cranston - JMP Securities Kenneth Lee - RBC Capital Markets Bose George - KBW Rick Shane - JPMorgan Eric Hagen - BTIG Operator Good morning. My name is She ...

| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |-------|-------|-------|-------|-------|-------|-------|-------|--------------------------------------------------------------------------------------|-------|-------|-------| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | An Agency + MSR Mortgage REIT Fourth Quarter 2022 Earnings Call FEBRUARY 9, 2023 | | | | | | | | | | | | | | | | | Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes ...