Two Harbors Investment Corp (NYSE:TWO) Q4 2021 Earnings Conference Call February 10, 2022 9:00 AM ET Company Participants Paulenier Sims - Senior Director, IR William Greenberg - President, CEO , CIO & Director Mary Riskey - VP & CFO Conference Call Participants Trevor Cranston - JMP Securities Douglas Harter - Crédit Suisse Eric Hagen - BTIG Michael Smyth - KBW Kenneth Lee - RBC Capital Markets Richard Shane - JPMorgan Chase & Co. Operator Good morning. My name is Peter, and I will be your conference facil ...

| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |-------|-------|-------|-------|-------|-------|-------|---------------|----------------------------------------------------------------------|-------|-------|-------| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Third Quarter | NOVEMBER 9, 2021 An Agency + MSR Mortgage REIT 2021 Earnings Call | | | | | | | | | | | | | | | | | Safe Harbor Statement FORWARD-LOOKING STATEMENTS This prese ...

Two Harbors Investment Corp. (NYSE:TWO) Q3 2021 Earnings Conference Call November 9, 2021 9:00 AM ET Company Participants Paulina Sims – Head of Investor Relations Bill Greenberg – President and Chief Executive Officer and Chief Investment Officer Mary Riskey – Vice President and Chief Financial Officer Conference Call Participants Trevor Cranston – JMP Securities Eric Hagen – BTIG Mike Smyth – KBW Rick Shane – JPMorgan Operator Good morning. My name is John, and I will be your conference facilitator. At th ...

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: September 30, 2021 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 Organizat ...

| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |-------|-------|-------|-------|-------|-------|----------------|--------------------------------------------------------------------|-------|-------|-------| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | AUGUST 5, 2021 | An Agency + MSR Mortgage REIT Second Quarter 2021 Earnings Call | | | | | | | | | | | | | | | | Safe Harbor Statement FORWARD-LOOKING STATEMENTS This presentation includes "forward- ...

Financial Data and Key Metrics Changes - At the end of Q2 2021, the book value was $6.42 per share, reflecting a negative 9.6% total economic quarterly return, primarily due to wider spreads on high coupon RMBS [7][20] - Comprehensive income was negative $194.6 million, resulting in an annualized return on average common equity of negative 40.7% [20] - Core earnings were $0.19 per share, an increase from $0.17 in Q1 [21] Business Line Data and Key Metrics Changes - Interest income decreased from $56.1 million to $43.4 million due to a decline in RMBS positions from sales and pay-downs [21] - Net servicing income increased by $3.6 million to $47.4 million, attributed to higher balances, slower speeds, and fewer delinquencies [22] - The realized net spread rose by 28 basis points to 1.93%, driven by a 47 basis point increase in portfolio yield [23] Market Data and Key Metrics Changes - The second quarter was characterized by falling long-term interest rates and wider mortgage spreads despite continued buying of current coupon RMBS by the Federal Reserve [11][15] - The CPI index reached 5.4% in mid-July, the highest in 13 years, indicating inflationary pressures [12] - Banks purchased $100 billion of RMBS in Q2, down from $180 billion in Q1, indicating a decrease in demand [16] Company Strategy and Development Direction - The company plans to deploy capital in the MSR space, having purchased $6.5 billion UPB in Q2 and committed to an additional $17 billion post-quarter end [8][9] - The company maintains a disciplined approach to leverage, keeping it low amid tight mortgage spreads [10] - The strategy includes focusing on high coupon specified pools due to their historical stability and wider spreads [45] Management's Comments on Operating Environment and Future Outlook - Management expressed concerns about the potential impact of the Delta variant on economic growth and the overall market environment [13] - The company anticipates robust MSR supply in the second half of the year and is prepared to invest when opportunities arise [42] - Management noted that the market's expectations for prepayment speeds have adjusted, particularly in the high coupon sector [29] Other Important Information - The company issued approximately $256 million of common equity in a non-dilutive transaction, enhancing its liquidity for future investments [9][24] - The percentage of MSR in forbearance declined to 2.2% by loan count, indicating improving conditions [31] Q&A Session Summary Question: Thoughts on longer-term portfolio construction and coupon distribution - Management indicated that they are generally net flat on current coupons and prefer high coupon specified pools due to their historical performance and wider spreads [45] Question: Deployment timeline for raised capital - Capital deployment will be based on a combination of current opportunities and expected spread widening [49] Question: Update on book value quarter-to-date - Book value has increased slightly by around 0.5% through the end of July [51] Question: Expectations for prepayment speeds in primary markets - Management noted that fewer borrowers have refinancing incentives at current rates, which may lead to slower prepayment speeds [56] Question: Current expectations for dollar roll specialness - Management stated that dollar roll specialness is closely tied to Fed and bank buying, and will likely decrease as those activities moderate [60] Question: Hedging profile ahead of potential Fed tapering - The company has positioned itself to be flat on current coupons, which serves as a hedge against tapering risks [62] Question: Risks to high coupon underperformance - Management believes that increased prepayment expectations and government programs have already been factored into prices, making further declines unlikely [67]

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, 2021 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) ...

Two Harbors Investment Corp. (NYSE:TWO) Q1 2021 Results Earnings Conference Call May 6, 2021 9:00 AM ET Company Participants Paulina Sims - Senior Director of Investor Relations Bill Greenberg - Chief Executive Officer and President Mary Riskey - Chief Financial Officer Matt Koeppen - Chief Investment Officer Conference Call Participants Doug Harter - Credit Suisse Securities Charlie Arestia - JPMorgan Bose George - Keefe, Bruyette & Woods Eric Hagen - BTIG Research Trevor Cranston - JMP Securities Operator ...

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, 2021 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) ...

Financial Performance - The company reported a book value of $729 per common share, representing a (22)% quarterly return on book value[7] - The company generated a Comprehensive Loss of $(485) million, representing an annualized return on average common equity of (93)%[7] - Core Earnings were $458 million, or $017 per weighted average basic common share[7] - A first quarter common stock dividend of $017 per share was declared[7] MSR Portfolio Activity - The company settled $213 billion unpaid principal balance (UPB) of MSR through flow-sale arrangements and closed on an additional $11 billion of UPB of MSR through bulk purchases[7, 25] - Term sheets were executed on an additional $72 billion UPB of MSR through bulk purchases, with a further $61 billion UPB of MSR after the quarter ended[7, 8] - The MSR fair value increased by over 30%, benefiting from higher rates and a steeper curve[44] Financing and Capital Structure - The company issued $2875 million principal amount of 5-year convertible senior notes due 2026[7] - $1437 million principal amount of convertible senior notes due 2022 were repurchased and retired[7] - The company completed the redemption of $75 million Series D and $200 million Series E preferred shares[7] - Funding capacity was expanded with the closing of a $300 million MSR asset financing facility, of which $225 million is committed[7] Portfolio Composition and Strategy - The company sold $21 billion of specified pool positions and added $131 million of interest-only securities (IOs)[25] - The net TBA position declined $460 million during the quarter[25] - Economic debt-to-equity was 64x at March 31, 2021, compared to 68x at December 31, 2020[24]