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Form 8-K TWO HARBORS INVESTMENT For: Feb 04

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February 4, 2015 4:05 PM EST


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.��20549

FORM 8-K

Current Report
�
Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
�

Date of Report:�February 4, 2015

Two Harbors Investment Corp.
(Exact name of registrant as specified in its charter)
�
Maryland
�
001-34506
�
27-0312904
(State or other jurisdiction
of incorporation)
�
(Commission
File Number)
�
(I.R.S. Employer
Identification No.)
�
590 Madison Avenue, 36th Floor
New York, NY 10022
(Address of principal executive offices)
(Zip Code)

Registrants telephone number, including area code:�� (612) 629-2500

Not Applicable
(Former name or former address, if changed since last report)
�
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

o
Written communications pursuant to Rule 425 under the Securities Act��(17 CFR 230.425)
�
�
o
Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
�
�
o
Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
�
�
o
Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))
�




�





�
Item 2.02���������� Results of Operations and Financial Condition.

On February 4, 2015, Two Harbors Investment Corp. issued a press release announcing its financial results for the fiscal quarter ended December 31, 2014. A copy of the press release and the 2014 Fourth Quarter Earnings Call Presentation are attached hereto as Exhibits 99.1 and 99.2, respectively, and are incorporated herein by reference.

The information in this Current Report, including Exhibits 99.1 and 99.2 attached hereto, is furnished pursuant to Item 2.02 of Form 8-K and shall not be deemed to be filed for any other purpose, including for purposes of Section 18 of the Securities Exchange Act of 1934, as amended, or otherwise subject to the liabilities of that Section. The information in Item 2.02 of this Current Report, including Exhibits 99.1 and 99.2, shall not be deemed incorporated by reference into any filing of the registrant under the Securities Act of 1933 or the Exchange Act, whether made before or after the date hereof, regardless of any general incorporation language in such filings (unless the registrant specifically states that the information or exhibit in this Item 2.02 is incorporated by reference).



�





Item 9.01
Financial Statements and Exhibits.

(d) Exhibits.
Exhibit No.
�
Description
�
�
�
99.1

�
Press Release of Two Harbors Investment Corp., dated February 4, 2015.
99.2

�
2014 Fourth Quarter Earnings Call Presentation.

�
�
�
�
�
�
�
�
�
�
�
�
�
�
�
�
�
�


�
�
�
�
�




�
�





�
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

�
TWO HARBORS INVESTMENT CORP.
�
�
�
�
�
�
�
By:
/s/ REBECCA B. SANDBERG
�
�
Rebecca B. Sandberg
�
�
General Counsel and Secretary
�
�
�
Date: February 4, 2015
�
�
�




Exhibit Index
Exhibit No.
�
Description
Filing Method
�
�
�
�
99.1

�
Press Release of Two Harbors Investment Corp., dated February 4, 2015.
Electronically
99.2

�
2014 Fourth Quarter Earnings Call Presentation.
Electronically







Two Harbors Investment Corp. Reports Fourth Quarter 2014 Financial Results
Delivered 2014 Return on Book Value of 15.0%(1) While Advancing Operational Businesses
NEW YORK, February�4, 2015 - Two Harbors Investment Corp. (NYSE: TWO), a real estate investment trust that invests in residential mortgage-backed securities (RMBS), residential mortgage loans, mortgage servicing rights (MSR) and other financial assets, today announced its financial results for the quarter ended December�31, 2014.

2014 Highlights
"
Generated total annual return on book value of 15.0%.(1)�
"
Delivered Comprehensive Income of $578.2 million, a return on average equity of 14.4%, or $1.58 per diluted weighted average common share.

"
Expanded operational businesses; completed three securitizations in 2014 and increased seller network to 33 originators at year-end.

Quarterly Highlights

"
Book value was $11.10 per diluted common share, representing a 1.0%(2) quarterly total return on book value, after accounting for a dividend of $0.26 per share.

"
Delivered Comprehensive Income of $42.2 million, a return on average equity of 4.1%, or $0.12 per diluted weighted average common share.

"
Reported Core Earnings of $83.1 million, or $0.23 per diluted weighted average common share.(3)

"
Generated an aggregate portfolio yield of 4.5% for the quarter ended December 31, 2014, consistent with the quarter ended September 30, 2014.

"
Completed a securitization, Agate Bay Mortgage Trust 2014-3, issuing securities backed by approximately $356 million unpaid principal balance (UPB) of prime jumbo mortgage loans.


We believe the growth of our mortgage loan conduit and MSR businesses in 2014, as well as our intent to further diversify into commercial mortgage loans, will enable us to continue to generate stockholder return and build franchise value in the years ahead, stated Thomas Siering, Two Harbors President and Chief Executive Officer. We also delivered a 15.0%(2) total return on book value in 2014, a result we are proud of considering the interest rate volatility within the year.


(1) Return on book value for the year ended December 31, 2014 is defined as the increase in book value per diluted share from December 31, 2013 to December 31, 2014 of $0.54, plus dividends declared of $1.04 per share, divided by December 31, 2013 diluted book value of $10.56 per share.
(2) Return on book value for the quarter ended December 31, 2014 is defined as the decrease in book value per diluted share from September 30, 2014 to December 31, 2014 of $0.15, plus the dividend declared of $0.26 per share, divided by September 30, 2014 diluted book value of $11.25 per share.
(3) Core Earnings is a non-GAAP measure that we define as GAAP net income, excluding impairment losses, realized and unrealized gains or losses on the aggregate portfolio, gains and losses related to discontinued operations, amortization of business combination intangible assets, reserve expense for representation and warranty obligations on MSR and certain upfront costs related to securitization transactions. As defined, Core Earnings includes interest income or expense and premium income or loss on derivative instruments and servicing income, net of estimated amortization on MSR. Core Earnings is provided for purposes of comparability to other peer issuers.

- 1 -


Operating Performance
The following table summarizes the companys GAAP and non-GAAP earnings measurements and key metrics for the respective periods in 2014:
Two Harbors Investment Corp. Operating Performance






(dollars in thousands, except per share data)




Three Months Ended December 31, 2014

Year Ended December 31, 2014

(unaudited)

(unaudited)
Earnings
�Earnings

�Per diluted weighted share

Annualized return on average equity


�Earnings

�Per diluted weighted share

Annualized return on average equity

Core Earnings(1)
$
83,108

$
0.23

8.1
�%

$
343,808

$
0.94

8.5
%
GAAP Net (Loss) Income
$
(36,963
)
$
(0.10
)
(3.6
)%

$
167,139

$
0.46

4.2
%
Comprehensive Income
$
42,178

$
0.12

4.1
�%

$
578,193

$
1.58

14.4
%








Operating Metrics








Dividend per common share
$0.26






Book value per diluted share at period end
$11.10






Other operating expenses as a percentage of average equity
1.5%






�
�
(1) Please see page 12 of this press release for a reconciliation of GAAP to non-GAAP financial information.


Earnings Summary
Two Harbors reported Core Earnings for the quarter ended December�31, 2014 of $83.1 million, or $0.23 per diluted weighted average common share outstanding, as compared to Core Earnings for the quarter ended September�30, 2014 of $82.8 million, or $0.23 per diluted weighted average common share outstanding. On a Core Earnings basis, the company recognized an annualized return on average equity of 8.1% for each of the quarters ended December�31, 2014 and September�30, 2014.

For the fourth quarter of 2014, the company recognized:
"
net realized gains on RMBS, trading securities and mortgage loans held-for-sale of $30.4 million, net of tax;
"
unrealized gains on trading securities and mortgage loans held-for-sale of $4.0 million, net of tax;
"
other-than-temporary impairment loss of $0.2 million, net of tax;
"
net losses of $8.5 million, net of tax, related to swap and swaption terminations and expirations;
"
net unrealized losses of $103.2 million, net of tax, associated with its interest rate swaps and swaptions economically hedging its investment portfolio, repurchase agreements and Federal Home Loan Bank of Des Moines (FHLB) advances;
"
net realized and unrealized losses on other derivative instruments of approximately $6.0 million, net of tax;
"
net realized and unrealized losses on consolidated financing securitizations of $2.1 million, net of tax; and
"
a net decrease in fair value of $49.2 million(2) on MSR, net of tax.








(2) Decrease in fair value on MSR, net of tax, of $49.2 million is comprised of a decrease in fair value of $37.0 million, net of tax, excluded from Core Earnings and $12.2 million, net of tax, of estimated amortization included in Core Earnings.


- 2 -


The company reported a GAAP Net Loss of $37.0 million, or $0.10 per diluted weighted average common share outstanding, for the quarter ended December�31, 2014, as compared to GAAP Net Income of $193.6 million, or $0.53 per diluted weighted average common share outstanding, for the quarter ended September�30, 2014. On a GAAP Net Income basis, the company recognized an annualized return on average equity of (3.6)% and 18.9% for the quarters ended December�31, 2014 and September�30, 2014, respectively.
�
The company reported Comprehensive Income of $42.2 million, or $0.12 per diluted weighted average common share outstanding, for the quarter ended December�31, 2014, as compared to Comprehensive Income of $152.6 million, or $0.42 per diluted weighted average common share outstanding, for the quarter ended September�30, 2014. The company records unrealized fair value gains and losses on RMBS securities, classified as available-for-sale, as Other Comprehensive Income. On a Comprehensive Income basis, the company recognized an annualized return on average equity of 4.1% and 14.9% for the quarters ended December�31, 2014 and September�30, 2014, respectively.
�
Other Key Metrics
Two Harbors declared a quarterly cash dividend of $0.26 per common share for the quarter ended December�31, 2014. The annualized dividend yield on the companys common stock for the fourth quarter of 2014, based on the December�31, 2014 closing price of $10.02, was 10.4%.
�
The companys book value per diluted share, after taking into account the fourth quarter 2014 dividend of $0.26 per share, was $11.10 as of December�31, 2014, compared to $11.25 as of September�30, 2014, which represented a total return on book value for the fourth quarter of 2014 of 1.0%.(1) For the year ended December�31, 2014, the company reported a total return on book value of 15.0%.(2)�

Other operating expenses for the quarter ended December�31, 2014 were approximately $15.0 million, or 1.5% of average equity, compared to approximately $12.4 million, or 1.2% of average equity, for the quarter ended September�30, 2014.

Portfolio Summary
The companys aggregate portfolio is principally comprised of RMBS available-for-sale securities, inverse interest-only securities (Agency Derivatives), MSR, residential mortgage loans held-for-sale and net economic interests in consolidated securitization trusts. As of December�31, 2014, the total value of the companys portfolio was $16.0 billion.

The companys portfolio includes the rates strategy, which consists of $11.9 billion of Agency RMBS, Agency Derivatives and MSR as well as associated notional hedges as of December�31, 2014. The remaining portfolio is invested in the credit strategy, which consists of $4.1 billion of non-Agency RMBS, net economic interests in consolidated securitization trusts, prime jumbo residential mortgage loans and credit sensitive loans, as well as their associated notional hedges as of December�31, 2014.

For the quarter ended December�31, 2014, the annualized yield on the companys average aggregate portfolio was 4.5% and the annualized cost of funds on the associated average borrowings, which includes net interest rate spread expense on interest rate swaps, was 1.6%. This resulted in a net interest rate spread of 2.9%.

RMBS and Agency Derivatives
For the quarter ended December�31, 2014, the annualized yield on average RMBS securities and Agency Derivatives was 4.3%, consisting of an annualized yield of 3.4% in Agency RMBS and Agency Derivatives and 8.1% in non-Agency RMBS.



(1) Return on book value for the quarter ended December 31, 2014 is defined as the decrease in book value per diluted share from September 30, 2014 to December 31, 2014 of $0.15, plus the dividend declared of $0.26 per share, divided by September 30, 2014 diluted book value of $11.25 per share.
(2) Return on book value for the year ended December 31, 2014 is defined as the increase in book value per diluted share from December 31, 2013 to December 31, 2014 of $0.54, plus dividends declared of $1.04 per share, divided by December 31, 2013 diluted book value of $10.56 per share.

- 3 -


The company experienced a three-month average constant prepayment rate (CPR) of 7.5% for Agency RMBS securities and Agency Derivatives held during the quarter ended December�31, 2014, as compared to 7.9% for those securities held during the quarter ended September�30, 2014. The weighted average cost basis of the principal and interest Agency portfolio was 107.7% of par for the quarter ended December�31, 2014, compared to 108.3% of par for the quarter ended September�30, 2014. The net premium amortization was $35.5 million and $39.5 million for the quarters ended December�31, 2014 and September�30, 2014, respectively.�

The company experienced a three-month average CPR of 4.2% for non-Agency principal and interest RMBS securities held during the quarter ended December�31, 2014, as compared to 4.1% for those securities held during the quarter ended September�30, 2014. The weighted average cost basis of the non-Agency portfolio was 59.2% of par as of December�31, 2014, compared to 57.2% of par for the quarter ended September�30, 2014. The discount accretion was $30.5 million for the quarter ended December�31, 2014 compared to $32.8 million for the quarter ended September�30, 2014. The total net discount remaining was $1.9 billion as of December�31, 2014 compared to $2.0 billion as of September�30, 2014, with $0.9 billion designated as credit reserve as of December�31, 2014.

As of December�31, 2014, fixed-rate investments composed 80.2% and adjustable-rate investments composed 19.8% of the companys RMBS and Agency Derivatives portfolio.

As of December�31, 2014, the company had mortgage loans held-for-investment with a carrying value of $1.7 billion and the companys collateralized borrowings had a carrying value of $1.2 billion, resulting in net economic interests in consolidated securitization trusts of $535.1 million.

Mortgage Servicing Rights
The company held MSR on mortgage loans with UPB totaling $44.9 billion. The MSR had a fair market value of $452.0 million as of December�31, 2014.

The company does not directly service mortgage loans, but instead contracts with fully licensed subservicers to handle all servicing functions for the loans underlying the companys MSR. The company recognized $31.6 million of servicing income, $6.5 million of subservicing expense and a $55.3 million decrease in fair market value of MSR during the quarter ended December�31, 2014.

Mortgage Loans Held for Sale
As of December�31, 2014, the company held prime jumbo residential mortgage loans with a fair market value of $500.2 million and had outstanding purchase commitments to acquire an additional $554.8 million UPB of mortgage loans, subject to fallout if the loans do not close. For the quarter ended December�31, 2014, the annualized yield on the prime jumbo residential mortgage loan portfolio was 4.0%, compared to 4.1% for the quarter ended September�30, 2014.

During the quarter, the company completed a securitization, Agate Bay Mortgage Trust 2014-3. The trust issued securities backed by approximately $356 million UPB of prime jumbo 30-year fixed residential mortgage loans.

Other Investments and Risk Management Derivatives
The company held $2.0 billion of U.S. Treasuries classified on its balance sheet as trading securities as of December�31, 2014. �The company also held $1.3 billion notional of net short TBAs as of December�31, 2014, which are accounted for as derivative instruments in accordance with GAAP.

As of December�31, 2014, the company was a party to interest rate swaps and swaptions with a notional amount of� $31.0 billion. Of this amount, $11.5 billion notional in swaps were utilized to economically hedge interest rate risk associated with the companys LIBOR-based repurchase agreements and FHLB advances, $7.1 billion notional in swaps were utilized to economically hedge interest rate risk associated with the companys investment portfolio, and $12.4 billion net notional in swaptions were utilized as macroeconomic hedges.


- 4 -


The following table summarizes the companys investment portfolio:
Two Harbors Investment Corp. Portfolio
(dollars in thousands)




Portfolio Composition

As of December 31, 2014


(unaudited)
Rates Strategy



Agency Bonds



Fixed Rate Bonds

$
11,164,032

69.6
%
Hybrid ARMs

128,285

0.8
%
Total Agency

11,292,317

70.4
%
Agency Derivatives

186,404

1.2
%
Mortgage servicing rights

452,006

2.8
%



�
Credit Strategy


�
Non-Agency Bonds


�
Senior Bonds

2,370,435

14.8
%
Mezzanine Bonds

670,421

4.2
%
Non-Agency Other

7,929


%
Total Non-Agency

3,048,785

19.0
%
Net Economic Interest in Securitization(1)

535,083

3.3
%
Mortgage loans held-for-sale

535,712

3.3
%
Aggregate Portfolio

$
16,050,307






Portfolio Metrics

Three Months Ended December 31, 2014


(unaudited)
Annualized portfolio yield during the quarter


4.46
%
Rates Strategy





Agency RMBS, Agency Derivatives and mortgage servicing rights



3.7
%
Credit Strategy





Non-Agency RMBS, Legacy(2)



8.8
%
Non-Agency RMBS, New issue(2)



3.7
%
Net economic interest in securitizations



4.7
%
Mortgage loans held-for-sale





Prime nonconforming residential mortgage loans



4.0
%
Credit sensitive residential mortgage loans



3.6
%






Annualized cost of funds on average borrowing balance during the quarter(3)



1.55
%
Annualized interest rate spread for aggregate portfolio during the quarter



2.91
%
Debt-to-equity ratio at period-end(4)



3.3 to 1.0







Portfolio Metrics Specific to RMBS and Agency Derivatives as of December 31, 2014





Weighted average cost basis of principal and interest securities



Agency(5)



$
107.67

Non-Agency(6)



$
59.16

Weighted average three month CPR



Agency



7.5
%
Non-Agency



4.2
%
Fixed-rate investments as a percentage of aggregate RMBS and Agency Derivatives portfolio



80.2
%
Adjustable-rate investments as a percentage of aggregate RMBS and Agency Derivatives portfolio



19.8
%
�
�
�
�
(1) Net economic interest in securitization consists of mortgage loans held-for-investment, net of collateralized borrowings in consolidated securitization trusts.
(2) Legacy non-Agency RMBS includes non-Agency bonds issued up to and including 2009.� New issue non-Agency RMBS includes bonds issued after 2009.
(3) Cost of funds includes interest spread expense associated with the portfolio's interest rate swaps.
(4) Defined as total borrowings to fund RMBS, mortgage loans held-for-sale and Agency Derivatives, divided by total equity.
(5) Weighted average cost basis includes RMBS principal and interest securities only. Average purchase price utilized carrying value for weighting purposes.
(6) Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting purposes, total non-Agency RMBS excluding the company's non-Agency interest-only portfolio would be $54.78 at December 31, 3014.


- 5 -


The year marked many important milestones for our mortgage loan conduit, including more than doubling our number of seller partners and completing three Agate Bay securitizations, stated Bill Roth, Two Harbors Chief Investment�Officer. We expect that the continued addition of seller partners will benefit both our conduit volumes and our MSR business, providing attractive assets for our portfolio.

Financing Summary
The company reported a debt-to-equity ratio, defined as total borrowings under repurchase agreements and FHLB advances to fund RMBS securities, Agency Derivatives and mortgage loans held-for-sale divided by total equity, of 3.3 to 1.0 and 2.9 to 1.0 as of December�31, 2014 and September�30, 2014, respectively.

As of December�31, 2014, the company had outstanding $12.9 billion of repurchase agreements funding RMBS securities, Agency Derivatives, mortgage loans held-for-sale and U.S. Treasuries with 25 different counterparties. Excluding the debt associated with the companys U.S. Treasuries and the effect of the companys interest rate swaps, the repurchase agreements had a weighted average borrowing rate of 0.7% and a weighted average remaining maturity of 64 days as of December�31, 2014.

The companys wholly owned subsidiary, TH Insurance Holdings Company LLC (TH Insurance), is a member of the FHLB.� As a member of the FHLB, TH Insurance has access to a variety of products and services offered by the FHLB, including secured advances.� As of December�31, 2014, TH Insurance had fully utilized its borrowing capacity of $2.5 billion in outstanding secured advances with a weighted average borrowing rate of 0.3% and a weighted average of 119 months to maturity.

As of December�31, 2014, the companys aggregate repurchase agreements and FHLB advances funding RMBS securities, Agency Derivatives and mortgage loans held-for-sale had 24 weighted average months to maturity.
�
The following table summarizes the companys borrowings by collateral type under repurchase agreements and FHLB advances, excluding borrowings on U.S. Treasuries, and related cost of funds:



As of December 31, 2014
(in thousands)

(unaudited)
Collateral type:


Agency RMBS and Agency Derivatives

$
10,715,868

Mortgage servicing rights



Non-Agency RMBS

2,395,615

Mortgage loans held-for-sale


Prime nonconforming residential mortgage loans

322,317

Credit sensitive residential mortgage loans

2,413



$
13,436,213




Cost of Funds Metrics

Three Months Ended December 31, 2014


(unaudited)
Annualized cost of funds on average borrowings during the quarter:

0.7
%
Agency RMBS and Agency Derivatives

0.4
%
Mortgage servicing rights



Non-Agency RMBS

1.8
%
Mortgage loans held-for-sale


Prime nonconforming residential mortgage loans

0.5
%
Credit sensitive residential mortgage loans

3.9
%





- 6 -


Dividends and Taxable Income
The company declared cash dividends to stockholders of $1.04 per share during the 2014 taxable year. �As a REIT, the company fulfilled its requirement to distribute at least 90% of its taxable income to stockholders.

Conference Call
Two Harbors Investment Corp. will host a conference call on February�5, 2015 at 9:00 a.m. EST to discuss fourth quarter 2014 financial results and related information. To participate in the teleconference, please call toll-free (877) 868-1835 (or (914) 495-8581 for international callers), Conference Code 49091419, approximately 10 minutes prior to the above start time. You may also listen to the teleconference live via the Internet on the companys website at www.twoharborsinvestment.com in the Investor Relations section under the Events and Presentations link. For those unable to attend, a telephone playback will be available beginning at 12:00 p.m. EST on February�5, 2015, through 12:00 a.m. EST on February�24, 2015. The playback can be accessed by calling (855) 859-2056 (or (404) 537-3406 for international callers), Conference Code 49091419. The call will also be archived on the companys website in the Investor Relations section under the Events and Presentations link.

Two Harbors Investment Corp.
Two Harbors Investment Corp., a Maryland corporation, is a real estate investment trust that invests in residential mortgage-backed securities, residential mortgage loans, mortgage servicing rights and other financial assets. Two Harbors is headquartered in New York, New York, and is externally managed and advised by PRCM Advisers LLC, a wholly owned subsidiary of Pine River Capital Management L.P. Additional information is available at www.twoharborsinvestment.com.

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, assume, estimate, project, budget, forecast, anticipate, intend, plan, may, will, could, should, believe, predicts, potential, continue, and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in the companys Annual Report on Form 10-K for the year ended December 31, 2013, and any subsequent Quarterly Reports on Form 10-Q, under the caption Risk Factors. Factors that could cause actual results to differ include, but are not limited to, higher than expected operating costs, changes in prepayment speeds of mortgages underlying the companys residential mortgage-backed securities, the rates of default or decreased recovery on the mortgages underlying our non-Agency securities, failure to recover credit losses in the companys portfolio, changes in interest rates and the market value of our assets, the availability of financing, the availability of target assets at attractive prices, the companys ability to manage various operational risks associated with the business, the companys ability to maintain our REIT qualification, limitations imposed on the business due to the companys REIT status and the companys exempt status under the Investment Company Act of 1940, the impact of new legislation or regulatory changes on the companys operations, the impact of any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process, the companys ability to acquire mortgage loans or securitize the mortgage loans the company acquires, the companys involvement in securitization transactions, the timing and profitability of the companys securitization transactions, the risks associated with the companys securitization transactions, the companys ability to acquire MSR, the impact of new or modified government mortgage refinance or principal reduction programs, unanticipated changes in overall market and economic conditions, and the companys exposure to claims and litigation, including litigation arising from its involvement in securitization transactions and its investments in MSR.



- 7 -


Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Two Harbors does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Two Harbors most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Two Harbors or matters attributable to Two Harbors or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.

Non-GAAP Financial Measures
In addition to disclosing financial results calculated in accordance with United States generally accepted accounting principles (GAAP), this press release and the accompanying investor presentation present non-GAAP financial measures, such as Core Earnings and Core Earnings per common share, that exclude certain items. Two Harbors management believes that these non-GAAP measures enable it to perform meaningful comparisons of past, present and future results of the companys core business operations, and uses these measures to gain a comparative understanding of the companys operating performance and business trends. The non-GAAP financial measures presented by the company represent supplemental information to assist investors in analyzing the results of its operations. However, because these measures are not calculated in accordance with GAAP, they should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. The companys GAAP financial results and the reconciliations from these results should be carefully evaluated. See the GAAP to non-GAAP reconciliation table on page 12 of this release.

Additional Information
Stockholders of Two Harbors and other interested persons may find additional information regarding the company at the SECs Internet site at www.sec.gov or by directing requests to: Two Harbors Investment Corp., Attn: Investor Relations, 590 Madison Avenue, 36th Floor, New York, NY 10022, telephone (612) 629-2500.

Contact
July Hugen, Director of Media and Investor Relations, Two Harbors Investment Corp., (612) 629-2514 or [email protected].





�







# # #

- 8 -


TWO HARBORS INVESTMENT CORP.
CONSOLIDATED BALANCE SHEETS
(dollars in thousands, except share data)







December�31, 2014
December�31, 2013

(unaudited)

ASSETS


Available-for-sale securities, at fair value
$
14,341,102

$
12,256,727

Trading securities, at fair value
1,997,656

1,000,180

Mortgage loans held-for-sale, at fair value
535,712

544,581

Mortgage loans held-for-investment in securitization trusts, at fair value
1,744,746

792,390

Mortgage servicing rights, at fair value
452,006

514,402

Cash and cash equivalents
1,005,792

1,025,487

Restricted cash
336,771

401,647

Accrued interest receivable
65,529

50,303

Due from counterparties
35,625

25,087

Derivative assets, at fair value
319,838

549,859

Other assets
188,579

13,199

Total Assets
$
21,023,356

$
17,173,862






LIABILITIES AND STOCKHOLDERS EQUITY




Liabilities
���

���

Repurchase agreements
$
12,932,463

$
12,250,450

Collateralized borrowings in securitization trusts, at fair value
1,209,663

639,731

Federal Home Loan Bank advances
2,500,000



Derivative liabilities, at fair value
29,280

22,081

Accrued interest payable
23,772

20,277

Due to counterparties
124,206

318,848

Dividends payable
95,263



Other liabilities
40,667

67,480

Total Liabilities
$
16,955,314

$
13,318,867






Stockholders Equity
���

��

Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; no shares issued and outstanding




Common stock, par value $0.01 per share; 900,000,000 shares authorized and 366,395,920 and 364,935,168 shares issued and outstanding, respectively
3,664

3,649

Additional paid-in capital
3,811,027

3,795,372

Accumulated other comprehensive income
855,789

444,735

Cumulative earnings
1,195,536

1,028,397

Cumulative distributions to stockholders
(1,797,974
)
(1,417,158
)
Total stockholders equity
4,068,042

3,854,995

Total Liabilities and Stockholders Equity
$
21,023,356

$
17,173,862




- 9 -


TWO HARBORS INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(dollars in thousands)
Certain prior period amounts have been reclassified to conform to the current period presentation






Three Months Ended December 31,
Year Ended December 31,

2014
2013
2014
2013

(unaudited)
(unaudited)


Interest income:








Available-for-sale securities
$
131,694

$
120,934

$
506,268

$
507,180

Trading securities
4,739

1,928

12,913

5,963

Mortgage loans held-for-sale
3,536

6,776

16,089

22,185

Mortgage loans held-for-investment in securitization trusts
16,040

7,548

41,220

19,220

Cash and cash equivalents
211

271

717

1,043

Total interest income
156,220

137,457

577,207

555,591

Interest expense:








Repurchase agreements
19,493

22,097

76,177

89,470

Collateralized borrowings in securitization trusts
10,137

4,825

26,760

10,937

Federal Home Loan Bank advances
2,074



4,513



Total interest expense
31,704

26,922

107,450

100,407

Net interest income
124,516

110,535

469,757

455,184

Other-than temporary impairment losses
(180
)


(392
)
(1,662
)
Other income:




Gain (loss) on investment securities
28,697

97,850

87,201

(54,430
)
(Loss) gain on interest rate swap and swaption agreements
(152,619
)
21,841

(345,647
)
245,229

(Loss) gain on other derivative instruments
(5,184
)
29,290

(17,529
)
95,345

Gain (loss) on mortgage loans held-for-sale
11,064

(8,584
)
17,297

(33,846
)
Servicing income
31,587

10,775

128,160

12,011

(Loss) gain on servicing asset
(55,346
)
13,065

(128,388
)
13,881

Other (loss) income
(1,409
)
(2,216
)
18,539

14,619

Total other (loss) income
(143,210
)
162,021

(240,367
)
292,809

Expenses:




Management fees
12,244

12,319

48,803

41,707

Securitization deal costs
1,283



4,638

4,153

Servicing expenses
1,330

2,561

25,925

3,761

Other operating expenses
14,950

12,395

56,231

37,259

Total expenses
29,807

27,275

135,597

86,880

(Loss) income from continuing operations before income taxes
(48,681
)
245,281

93,401

659,451

(Benefit from) provision for income taxes
(11,718
)
6,602

(73,738
)
84,411

Net (loss) income from continuing operations
(36,963
)
238,679

167,139

575,040

Income from discontinued operations


735



3,999

Net (loss) income
$
(36,963
)
$
239,414

$
167,139

$
579,039






�
�
�
�
�
�
�
�
�
�
�
�
�
�
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- 10 -


TWO HARBORS INVESTMENT CORP.
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME
(dollars in thousands)
Certain prior period amounts have been reclassified to conform to the current period presentation
�
�
�
�
�
�
Three Months Ended December 31,
Year Ended December 31,
�
2014
2013
2014
2013
�
(unaudited)
(unaudited)

�
Basic (loss) earnings per weighted average common share:




Continuing operations
$
(0.10
)
$
0.66

$
0.46

$
1.64

Discontinued operations






0.01

Net (loss) income
$
(0.10
)
$
0.66

$
0.46

$
1.65







Diluted (loss) earnings per weighted average common share:




Continuing operations
$
(0.10
)
$
0.66

$
0.46

$
1.64

Discontinued operations






0.01

Net (loss) income
$
(0.10
)
$
0.66

$
0.46

$
1.65

Dividends declared per common share
$
0.26

$
0.26

$
1.04

$
1.17

Weighted average number of shares of common stock:





Basic
366,230,566
364,700,903

366,011,855
350,361,827
Diluted
366,230,566

364,700,903

366,011,855

350,992,387

Comprehensive income:





Net (loss) income
$
(36,963
)
$
239,414

$
167,139

$
579,039

Other comprehensive income (loss):





Unrealized gain (loss) on available-for-sale securities, net
79,141

(68,039
)
411,054

(251,723
)
Other comprehensive income (loss)
79,141

(68,039
)
411,054

(251,723
)
Comprehensive income
$
42,178

$
171,375

$
578,193

$
327,316



- 11 -


TWO HARBORS INVESTMENT CORP.
RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION
(dollars in thousands, except share data)
Certain prior period amounts have been reclassified to conform to the current period presentation






Three Months Ended
Year Ended

December 31,
December 31,

2014
2013
2014
2013

(unaudited)
(unaudited)
Reconciliation of net (loss) income to




Core Earnings:












Net (loss) income
$
(36,963
)
$
239,414

$
167,139

$
579,039






Adjustments for non-core earnings:







(Gain) loss on sale of securities and mortgage loans, net of tax
(30,447
)
(98,624
)
(95,175
)
68,610

Unrealized (gain) loss on trading securities, equity securities and mortgage loans held-for-sale, net of tax
(3,983
)
6,164

(1,191
)
9,034

Other-than-temporary impairment loss
180



392

1,662

Realized loss (gain) on termination or expiration of swaps and swaptions, net of tax
8,458

(21,075
)
42,938

(12,836
)
Unrealized loss (gain) on interest rate swaps and swaptions economically hedging investment portfolio, repurchase agreements and FHLB advances, net of tax
103,239

(8,277
)
157,972

(241,680
)
Loss (gain) on other derivative instruments, net of tax
6,028

(25,713
)
20,113

(59,244
)
Realized and unrealized loss (gain) on financing securitizations, net of tax
2,129

2,417

(16,854
)
(14,204
)
Unrealized loss (gain) on mortgage servicing rights, net of tax
36,978

(17,885
)
64,320

(18,687
)
Securitization deal costs, net of tax
834



3,015

3,430

Income from discontinued operations


(735
)


(3,999
)
Amortization of business combination intangible assets, net of tax


704

346

704

Change in representation and warranty reserve, net of tax
(3,345
)


793












Core Earnings
$
83,108

$
76,390

$
343,808

$
311,829






Weighted average shares outstanding - Basic
366,230,566

364,700,903

366,011,855

350,361,827

Weighted average shares outstanding - Diluted
366,230,566

364,700,903

366,011,855

350,992,387






Core Earnings per weighted average share outstanding - Diluted
$
0.23

$
0.21

$
0.94

$
0.89


- 12 -


�
TWO HARBORS INVESTMENT CORP.
�
SUMMARY OF QUARTERLY CORE EARNINGS
�
(dollars in millions, except per share data)
�
Certain prior period amounts have been reclassified to conform to the current period presentation
�

�

Three Months Ended
�

December 31,
September 30,
June 30,
March 31,
December 31,
�

2014
2014
2014
2014
2013
�

(unaudited)
�
Net Interest Income:





�
Interest income
$
156.2

$
142.3

$
140.1

$
138.5

$
137.4

�
Interest expense
31.7

24.7

24.9

26.0

26.9

�
Net interest income
124.5

117.6

115.2

112.5

110.5

�
Other income:





�
Interest spread on interest rate swaps
(32.2
)
(26.8
)
(18.9
)
(13.8
)
(10.1
)
�
Interest spread on other derivative instruments
7.0

7.1

7.9

4.7

(2.4
)
�
Servicing income, net of amortization(1)
17.9

17.6

19.9

17.9

5.2

�
Other income
0.7

0.6

0.2

0.2

0.4

�
Total other (loss) income
(6.6
)
(1.5
)
9.1

9.0

(6.9
)
�
Expenses
33.7

30.8

33.2

31.5

26.2

�
Core Earnings before income taxes
84.2

85.3

91.1

90.0

77.4

�
Income tax expense
1.1

2.5

1.4

1.8

1.0

�
Core Earnings
$
83.1

$
82.8

$
89.7

$
88.2

$
76.4

�
Basic and diluted weighted average Core EPS
$
0.23

$
0.23

$
0.24

$
0.24

$
0.21

�
(1) Amortization refers to the portion of change in fair value of MSR primarily attributed to the realization of expected cash flows (runoff) of the portfolio. This amortization has been deducted from Core Earnings.�Amortization of MSR is deemed a non-GAAP measure due to the companys decision to account for MSR at fair value.
�


- 13 -
Februar y 5 , 2015 Fourth Quarter 2014 Earnings Call

�
Safe Harbor Statement F O R W A R D - L O O K I N G S T A T E M EN T S 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, assume, estimate, project, budget, forecast, anticipate, intend, plan, may, will, could, should, believe, predicts, potential, continue, and similar expressions are intended to identify such forward-looking statements. These forward- looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our Annual Report on Form 10-K for the year ended December 31, 2013, and any subsequent Quarterly Reports on form 10-Q, under the caption Risk Factors. Factors that could cause actual results to differ include, but are not limited to, higher than expected operating costs, changes in prepayment speeds of mortgages underlying our residential mortgage-backed securities (RMBS), the rates of default or decreased recovery on the mortgages underlying our non-Agency securities, failure to recover credit losses in our portfolio, changes in interest rates and the market value of our assets, the availability of financing, the availability of target assets at attractive prices, our ability to manage various operational risks associated with our business, our ability to maintain our REIT qualification, limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940, the impact of new legislation or regulatory changes on our operations, the impact of any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process, our ability to acquire mortgage loans or securitize the mortgage loans we acquire, our involvement in securitization transactions, the timing and profitability of our securitization transactions, the risks associated with our securitization transactions, our ability to acquire mortgage servicing rights, the impact of new or modified government mortgage refinance or principal reduction programs, unanticipated changes in overall market and economic conditions, and our exposure to claims and litigation, including litigation arising from our involvement in securitization transactions and investments in mortgage servicing rights. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Two Harbors does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Two Harbors most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Two Harbors or matters attributable to Two Harbors or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the companys independent auditors. 2

�
Financial Summary F U L L Y E A R 2 0 1 4  D E L I VE R ED S T R O N G R E T U R N O N B O O K V A L U E C O N S I D E R I N G C O N S E R V A T I VE P O R T F O L I O P O S I T I O N I N G " Reported book value of $11.10 per share; total return on book value 15.0%(1)  FY-2014 cash dividends of $1.04 per share " Comprehensive Income of $578.2 million  Return on average equity of 14.4%, or $1.58 per share F O U R T H Q U A R T E R 2 0 1 4 " Total return on book value 1.0%(1)  Q4-2014 cash dividend of $0.26 per share " Comprehensive Income of $42.2 million  Return on average equity of 4.1%, or $0.12 per share " Generated Core Earnings of $83.1 million, or $0.23 per share(2) 3 (1) See Appendix slide 17 for calculation of fourth quarter and full year 2014 return on book value. (2) Core Earnings is a non-GAAP measure that we define as GAAP net income, excluding impairment losses, realized and unrealized gains or losses on the aggregate portfolio, gains and losses related to discontinued operations, amortization of business combination intangible assets, reserve expense for representation and warranty obligations on MSR and certain upfront costs related to securitization transactions. As defined, Core Earnings includes interest income or expense and premium income or loss on derivative instruments and servicing income, net of estimated amortization on MSR. Core Earnings is provided for purposes of comparability to other peer issuers. For a reconciliation of GAAP to non-GAAP financials, please refer to the GAAP to non-GAAP reconciliation table in the Appendix on slide 20.

�
Business Overview T R A N S F O RM A T I O N A L Y E A R F O R O P E R A T I O N A L B U S I NE S S E S ; A N N O U N C E D P L A N S T O E X P A N D T A R G E T A S S E T S T O I N C L U D ED C O M M ER C I A L M O R T G A G E L O A N S M O R T G A G E L O A N C O N D U I T A N D S E C U R I T I Z A T I O N " Volume has ramped up considerably; $1.0 billion in pipeline at year-end " Completed three securitizations in 2014; approximately $1.0 billion in unpaid principal balance (UPB) M O R T G A G E S E R V I C I N G R I G H T S ( M S R ) " Continuing to develop seller network C O M M E R C I A L M O R T G A G E L O A N S " Seasoned commercial real estate team added at Pine River " Sizeable opportunity; over $1.5 trillion in loans maturing over the next several years(1) " Plan to initially invest $500 million in equity capital 4 (1) Based on Trepp LLC and Goldman Sachs Global Investment Research estimates published May 2014.

�
Market and Policy Update M AC RO E C O NO M IC E N V I RO N ME NT & P O L I C Y C O N S I D E R AT IO NS " End of Federal Reserves Quantitative Easing (QE)  Final reduction in asset purchases occurred during Q4-2014  Reinvestment in MBS paydowns expected to continue for the foreseeable future " Continued low interest rate environment  Curve flattened during Q4-2014 " Steady improvement in unemployment  5.6% in December 2014 versus 6.6% in January 2014 " Home price appreciation continues  CoreLogic Home Price Index up 5.0% on rolling 12-month basis(1) " Actively engaged with a variety of parties in Washington  FHFA proposed rulemaking  Conforming loan limits  G-Fees  Private label securitization market 5 (1) Source: CoreLogic Home Price Index rolling 12-month change as of December 2014.

�
-20% 0% 20% 40% 60% 80% 100% 120% 140% TWO Pine River Mortgage REIT Index Delivering Total Return TOTA L STO C K H O L DE R R E T U R N O F 1 2 5 % S I N C E I N C E P T I O N (1 ) 6 125% (1) Two Harbors total stockholder return is calculated for the period October 29, 2009 through December 31, 2014. Total stockholder return is defined as stock price appreciation including dividends. Source: Bloomberg. (2) Pine River Mortgage REIT Index total stockholder return for the period October 29, 2009 through December 31, 2014. The Pine River Mortgage REIT Index tracks publicly traded REITs whose principal business consists of originating, servicing or investing in residential mortgage interests. The index uses a modified market capitalization weighted methodology, and components are reviewed quarterly for eligibility. Source: Bloomberg. 57% (2)

�
Book Value 7 (Dollars in millions, except per share data) Q4-2014 Book Value ($M) Q4-2014 Book Value per share Year Ended 2014 Book Value ($M) Year Ended 2014 Book Value per share Beginning stockholders equity  basic $4,118.1 $11.25 $3,855.0 $10.56 GAAP Net Income: Core Earnings, net of tax 83.1 343.8 Realized gains, net of tax 9.9 15.9 Unrealized mark-to-market losses, net of tax (130.0) (192.5) Other comprehensive income 79.2 411.0 Dividend declaration (95.2) (380.8) Other 2.7 15.0 Balance before capital transactions $4,067.8 $4,067.4 Issuance of common stock, net of offering costs 0.2 0.6 Ending stockholders equity  basic and diluted $4,068.0 $11.10 $4,068.0 $11.10 Q4-2014 Comprehensive Income of $42.2 million; FY-2014 Comprehensive Income of $578.2 million Cash dividend of $0.26 per common share in each quarter of 2014

�
E X P E N S E R AT I O Financial Summary 8 Q 4 - 2 014 F I N A NC IAL H I G H L I G H TS C O R E E A R N I NGS (1 ) (1) See footnote 2 on slide 3 for Core Earnings definition. For a reconciliation of GAAP to non-GAAP financials, refer to Appendix slide 20. (2) Implied debt-to-equity is calculated after including net long or short TBA position. As of December 31, 2014, the net TBA position was short $1.3 billion notional. " Core Earnings of $0.23 per share; annualized return on average equity of 8.1%(1) " Results impacted by:  Low implied debt-to-equity(2); 3.0x at December 31, 2014  Elevated swap expense  Repositioned hedges in early December, including a reduction in swap notional; swap expense should decrease going forward  Operating expense ratio consistent with expectations 1.3% 1.5% 1.5% 1.2% 1.5% 0.0% 0.5% 1.0% 1.5% 2.0% Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 Other Operating Expenses as % of Average Equity $76.4 $88.2 $89.7 $82.8 $83.1 $0.21 $0.24 $0.24 $0.23 $0.23 $0.00 $0.10 $0.20 $0.30 $0.40 $0.50 $60.0 $80.0 $100.0 Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 Core Earnings ($M) Core EPS

�
$388 338.0 - - $50 - $338 $0 $50 $100 $150 $200 $250 $300 $350 $400 $450 2014 REIT Taxable Income Before Capital Loss Carry-Forward Capital Loss Carry- Forward 2014 REIT Taxable Income M il lion s Tax Characterization of Dividend " Generated REIT taxable income before capital loss carry-forward of $388 million in 2014(1)  Includes net capital gains of approximately $80 million before capital loss carry-forward applied " Utilized capital loss carry-forward of $50 million  Reduced taxable income to $338 million " 2014 dividend declarations totaled $379 million  Fulfilled REIT dividend distribution requirements  97.6% of REIT taxable income before capital loss carry- forward applied " Distributions will be fully taxable, rather than a Return of Capital when characterized on Form 1099-DIV(2) 9 FY-2014 DIVIDEND SUMMARY 2014 Distributions (1) (1) REIT taxable income before capital loss carry-forward, as depicted, is a proxy for Earnings and Profits (E&P). E&P is an economic measure of a corporations ability to finance distributions to its shareholders without distributing any capital contributed by either shareholders or creditors. A shareholder must include a corporate distribution in gross income to the extent the distribution constitutes a dividend, which is generally any distribution made by a corporation to its shareholders out of positive E&P. Current E&P is measured by making adjustments to the corporations current year taxable income for items that are treated differently for E&P computation purposes, for example, E&P is reduced for federal income taxes paid and increased for capital loss carryovers applied. Accumulated E&P is measured by the total of all prior years current E&P, reduced by distributions from E&P. E&P can be viewed as similar to GAAP retained earnings, but accounted for under the Internal Revenue Code instead of US GAAP. (2) The U.S. federal income tax treatment of holding Two Harbors common stock to any particular stockholder will depend on the stockholders particular tax circumstances. You are urged to consult your tax advisor regarding the U.S. federal, state, local and foreign income and other tax consequences to you, in light of your particular investment or tax circumstances, of acquiring, holding and disposing of Two Harbors common stock. Two Harbors does not provide tax, accounting or legal advice. Any tax statements contained herein were not intended or written to be used, and cannot be used for the purpose of avoiding U.S., federal, state or local tax penalties. Please consult your advisor as to any tax, accounting or legal statements made herein.

�
Financing Profile(1) 10 R E P U R C H A S E A G R E EM E N T S " Repo markets functioning normally; no meaningful shifts in financing haircuts or repo rates " Focused on diversification and financial stability across repo counterparties  Outstanding borrowings of $12.9 billion with 25 active counterparties " Continued to ladder repo maturities; average 64 days to maturity(2)  January 2015 maturities rolled subsequent to 2014 year-end F E D E R A L H O M E L O A N B A N K O F D E S M O I N E S " Outstanding secured advances of $2.5 billion at year-end " Average maturity approximately 119 months; borrowing rate 0.3% " Added 20-year maturities M A T U R I T Y P R O F I L E O F 2 4 M O N T H S O N A G G R E G A T E R E P O B O R R O W I N G S A N D F H L B A D V A N C ES ( 2 ) (1) Data as of December 31, 2014, except where noted. (2) Excludes repurchase agreements collateralized by U.S. Treasuries.

�
TA RG ET E D C A P I TAL A L LO C AT I O N Q 4 - 2 014 A L LO C AT IO N H I G H L I G H TS P O RT FO L I O C O M P O S I T I O N Portfolio Composition 11 " 56% capital allocation to Rates  Opportunistically added lower loan balance pools " 44% capital allocation to Credit  Continued sales of legacy non-Agency RMBS(3)  Purchased bonds from GSE risk sharing deals  Capital allocation to conduit continued to increase Rates(5) $11.9B Credit(6) $4.1B AS OF DECEMBER 31, 2014 $16.0B Portfolio $ Millions (1) Assets in Other include credit sensitive loans (CSL) and non-Agency interest-only securities (IOs). (2) Includes inverse interest-only securities (IIOs or Agency Derivatives) of $186.4 million. (3) Non-Agency RMBS, meaning RMBS that are not issued or guaranteed by the Government National Mortgage Association (or Ginnie Mae), the Federal National Mortgage Association (or Fannie Mae), or the Federal Home Loan Mortgage Corporation (or Freddie Mac). (4) HECM are loans that allow the homeowner to convert home equity into cash collateralized by the value of their home. (5) Assets in Rates include Agency RMBS, Agency Derivatives and MSR. (6) Assets in Credit include non-Agency RMBS, prime jumbo residential mortgage loans, net economic interest in securitization trusts and CSL. 30-Year Fixed $8,295 HECM(4) $1,741 Senior $2,370 Mezzanine $670 MSR $452 Hybrid ARMs $128 15-Year Fixed $63 Other-Fixed $790 IOs and IIOs(2) $462 Other(1) $43 Net Economic Interest in Securitization Trusts $535 Prime Jumbo Loans $500 Dec. 31, 2013 Mar. 31, 2014 Jun. 30, 2014 Sept. 30, 2014 Dec. 31, 2014 0.0% 1.8% 5.7% 7.6% 9.4% 53% 52% 54% 54% 57% 58% 57% 56% 56% 37% 38% 46% 46% 43% 42% 43% 44% 44% 10% 10% 0% 10% 20% 30% 40% 50% 60% 70% Rates Credit Residential Real Properties

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Portfolio Performance 12 Q 4 - 2 014 P E R FO R M A NC E H I G H L I G H T S (1) Assets in Rates include Agency RMBS, IIOs (or Agency Derivatives) and MSR. (2) Assets in Credit include non-Agency RMBS, prime jumbo residential mortgage loans, net economic interest in securitization trusts and CSL. (3) Legacy non-Agency RMBS includes non-Agency bonds issued up to and including 2009. New issue non-Agency RMBS includes bonds issued after 2009. (4) Agency weighted average 3-month Constant Prepayment Rate (CPR) includes IIOs (or Agency Derivatives). (5) Cost of funds includes interest spread expense associated with the portfolio's interest rate swaps. (6) Implied debt-to-equity is calculated after including net long or short TBA position. As of December 31, 2014, the net TBA position was short $1.3 billion notional. R A T E S P E R F O R M A N C E ( 1 ) " Agency yield increased 10 basis points " MSR yield of 9.1% in quarter " Agency prepays decreased modestly C R E D I T P E R F O R M A NC E ( 2 ) " Legacy non-Agency yield down 20 basis points " New issue non-Agency yield up 30 basis points; purchased higher-yielding bonds from GSE credit risk sharing deals " Yield on retained interest increased; added subs and IOs from Agate Bay Mortgage Trust 2014-3 " Non-Agency prepays stable quarter-over-quarter Portfolio Metrics Q3-2014 Q4-2014 Agency Weighted average 3-month CPR(4) 7.9% 7.5% Non-Agency Weighted average 3-month CPR 4.1% 4.2% Implied Debt-to-equity(6) 2.7x 3.0x Q 4 - 2 014 N E T I N T E R E ST Y I E L D Three Months Ended Sept. 30, 2014 Dec. 31, 2014 Annualized portfolio yield during the quarter 4.46% 4.46% Rates(1) Agency RMBS, Agency derivatives and MSR 3.6% 3.7% Credit(2) Non-Agency RMBS, legacy(3) 9.0% 8.8% Non-Agency RMBS, new issue(3) 3.4% 3.7% Net economic interest in securitization trusts 4.4% 4.7% Prime jumbo residential mortgage loans 4.1% 4.0% Credit sensitive loans (CSL) 3.4% 3.6% Annualized cost of funds on average repurchase and advance balance during the quarter(5) 1.47% 1.55% Annualized interest rate spread for aggregate portfolio during the quarter 2.99% 2.91%

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Q 4 - 2 014 H E D G I N G H I G H L I G H T S & O BJE C T I V E S Hedging Summary 13 (1) Represents estimated percentage change in equity value for theoretical +100 bps parallel shift in interest rates. Change in equity value is total net asset change. (2) Represents estimated percentage change in equity value for theoretical parallel shifts in interest rates. Change in equity value is total net asset change. " Significant volatility in interest rates during quarter " Modified hedge position late in quarter  Reduced net swap notional by $6.9 billion  Added $4.8 billion notional in swaptions  Assumed incremental duration " Maintain protection against potentially higher rates in 2015 and 2016 BV E X P O S U R E TO + 100BP S C H A N G E I N R AT E S (1 ) BV E X P O S U R E TO C H A N G E I N R AT E S (2 ) -100 bps -50 bps +50 bps +100 bps Change in book value (2.4%) (1.2%) (1.6%) (3.1%) (1.8%) 1.3% (2.0%) (0.1%) (3.1%) (5.0%) (2.5%)  2.5% 5.0% Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014

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Mortgage Loan Conduit and Securitization T R A N S FO R M AT I O NAL Y E A R FO R C O N D U I T BU S I N E SS " Completed three securitizations throughout the year; Agate Bay Mortgage Trust 2014-3 closed in Q4-2014 " Pipeline (interest rate locks and prime jumbo holdings) strong; approximately $1.0 billion UPB at 2014 year-end  Run-rate of approximately $300 million per month " Retained interest includes AAAs of approximately $300 million and Subs and IOs of approximately $230 million " 33 sellers at year-end; focus on building additional seller relationships " FHLB financing helps provide consistent pricing to our seller partners 14 2014 PRIME JUMBO LOAN SUMMARY $4 $8 $22 $54 $138 $243 $471 $461 $296 $455 $192 $378 $268 $642 $642 $998 $998 15 16 18 19 20 21 23 25 28 30 32 33 0 5 10 15 20 25 30 35 $0 $200 $400 $600 $800 $1,000 $1,200 $1,400 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec U P B in M il lion s Settled Loans - Unsecuritized Settled Loans - Securitized Sellers

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Business Update L AU NC H ED H I G H - LT V A N D N O N - P R I ME D U R I NG T H E Q UA RT E R " High-LTV:  Extension of current prime jumbo program  Focused on higher credit quality borrowers who need or desire to make smaller down payments " Non-Prime:  Aimed at average credit quality borrowers unable to get a loan due to the tight credit conditions  Large potential market " Will take time to drive volume M O R T G A G E S E R V I C I N G R I G H T S " Opportunity to build a large network of sellers " Continue to view MSR as an attractive asset for portfolio " Aim to cultivate a product and seller mix that overlaps both the MSR and Conduit businesses C O M M E R C I A L M O R T G A G E L O A N S " Attractive expected returns 15

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Appendix

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Return on Book Value 17 Return on book value Q4-2014 (Per diluted share amounts, except for percentage) Book value at September 30, 2014 $11.25 Book value at December 31, 2014 $11.10 Decrease in book value $(0.15) Dividend declared in Q4-2014 $0.26 Return on book value Q4-2014 $0.11 Return on book value Q4-2014(1) 1.0% Note: Diluted shares outstanding at end of period are used as the denominator for book value per share calculation. (1) Return on book value for quarter ended December 31, 2014 is defined as the decrease in book value per diluted share from September 30, 2014 to December 31, 2014 of $0.15, plus dividend declared of $0.26 per share, divided by September 30, 2014 diluted book value of $11.25 per share. (2) Return on book value for year-ended December 31, 2014 is defined as the increase in book value per diluted share from December 31, 2013 to December 31, 2014 of $0.54, plus dividends declared of $1.04 per share, divided by December 31, 2013 diluted book value of $10.56 per share. Return on book value year-end 2014 (Per diluted share amounts, except for percentage) Book value at December 31, 2013 $10.56 Book value at December 31, 2014 $11.10 Increase in book value $0.54 Dividend declared in FY-2014 $1.04 Return on book value FY-2014 $1.58 Return on book value FY-2014(2) 15.0%

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D I V I D E NDS (2 ) Financial Performance 18 C O M P R E H E N S I V E I N C O M E BO O K VA LU E A N D D I V I DE ND P E R S H A R E (1 ) G A A P N E T I N C O M E ( LO S S ) (1) Diluted shares outstanding at end of period, which includes the effect of dilutive outstanding warrants (Q4-2013) determined using the treasury stock method, are used as the denominator for book value per share calculation. (2) Historical dividends may not be indicative of future dividend distributions. The company ultimately distributes dividends based on its taxable income per common share, not GAAP earnings. The annualized dividend yield on the companys common stock is calculated based on the closing price of the last trading day of the relevant quarter. $171.4 $152.6 $230.8 $152.6 $42.2 17.7% 15.7% 23.0% 14.9% 4.1% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% $- $100 $200 $300 Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 Comp. Income ($M) Comp. Income ROAE (%) $10.56 $10.71 $11.09 $11.25 $11.10 $0.26 $0.26 $0.26 $0.26 $0.26 $8.00 $10.00 $12.00 Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 Book Value ($) Dividend Declared ($) $0.26 $0.26 $0.26 $0.26 $0.26 11.2% 10.1% 9.9% 10.8% 10.4% 0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% $0.00 $0.05 $0.10 $0.15 $0.20 $0.25 $0.30 $0.35 Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 Dividend per Share ($) Dividend Yield (%) $239.4 ($29.1) $39.7 $193.6 ($37.0) $0.66 ($0.08) $0.11 $0.53 ($0.10) ($1.00) ($0.50) $0.00 $0.50 $1.00 $(300) $(200) $(100) $- $100 $200 $300 Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 GAAP Net Inc. ($M) GAAP EPS ($)

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Operating Performance 19 (In millions, except for per share data) Core Earnings Realized Gains Unrealized MTM Q4-2014 Financials Core Earnings Realized Gains Unrealized MTM FY-2014 Financials Interest income $156.2 $ - $ - $156.2 $577.2 $ - $ - $577.2 Interest expense 31.7 - - 31.7 107.5 - - 107.5 Net interest income 124.5 - - 124.5 $469.7 - - $469.7 Net other-than-temporary impairment losses - - (0.2) (0.2) - - (0.4) (0.4) Gain (loss) on investment securities - 24.5 4.2 28.7 - 89.9 (2.7) 87.2 Loss on interest rate swaps and swaptions (32.2) (3.7) (116.7) (152.6) (91.8) (55.3) (198.5) (345.6) Gain (loss) on other derivative instruments 7.0 (14.6) 2.4 (5.2) 26.8 (52.3) 8.0 (17.5) Gain on mortgage loans held-for-sale - 9.1 1.9 11.0 - 13.1 4.2 17.3 Servicing income 31.6 - - 31.6 128.2 - - 128.2 Loss on servicing asset (13.7) - (41.6) (55.3) (54.8) - (73.5) (128.3) Other income (loss) 0.7 (0.7) (1.4) (1.4) 1.7 6.0 10.8 18.5 Total other (loss) income (6.6) 14.6 (151.2) (143.2) 10.1 1.4 (251.7) (240.2) Management fees & other operating expenses 33.7 (3.9) - 29.8 129.2 6.4 - 135.6 Net income (loss) before income taxes 84.2 18.5 (151.4) (48.7) 350.6 (5.0) (252.1) 93.5 Income tax expense (benefit) 1.1 8.6 (21.4) (11.7) 6.8 (20.9) (59.6) (73.7) Net income (loss) $83.1 $9.9 $(130.0) $(37.0) $343.8 $15.9 $(192.5) $167.2 Basic and diluted weighted average EPS $0.23 $0.03 $(0.36) $(0.10) $0.94 $0.04 $(0.52) $0.46

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GAAP to Core Earnings Reconciliation 20 (In thousands, except for per share data) Three Months Ended December 31, 2014 Year-Ended December 31, 2014 Reconciliation of GAAP to non-GAAP Information Core Earnings: Net (loss) income $(36,963) $167,139 Adjustments for non-core earnings: Gain on sale of securities and mortgage loans, net of tax (30,447) (95,175) Unrealized gain on trading securities, equity securities and mortgage loans held-for-sale, net of tax (3,983) (1,191) Other-than-temporary impairment loss 180 392 Realized loss on termination or expiration of swaps and swaptions, net of tax 8,458 42,938 Unrealized loss on interest rate swaps and swaptions economically hedging investment portfolio, repurchase agreements and FHLB advances, net of tax 103,239 157,972 Loss on other derivative instruments, net of tax 6,028 20,113 Realized and unrealized loss (gain) on financing securitizations, net of tax 2,129 (16,854) Unrealized loss on mortgage servicing rights, net of tax 36,978 64,320 Securitization deal costs, net of tax 834 3,015 Income from discontinued operations   Amortization of business combination intangible assets, net of tax  346 Change in representation and warranty reserve, net of tax (3,345) 793 Core Earnings $83,108 $343,808 Weighted average shares outstanding  Diluted 366,230,566 366,011,855 Core Earnings per weighted average share outstanding  Diluted $0.23 $0.94

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Rates: Agency RMBS Metrics 21 AGENCY RMBS CPR(3) AGENCY PORTFOLIO YIELDS AND METRICS (1) Securities collateralized by loans of less than or equal to $175K, but more than $85K. (2) Securities collateralized by loans of less than or equal to $85K. (3) Agency weighted average 3-month Constant Prepayment Rate (CPR) includes IIOs (or Agency Derivatives). (4) Weighted average cost basis includes RMBS principal and interest securities only. Average purchase price utilized carrying value for weighting purposes. (5) Securities collateralized by loans with greater than or equal to 80% loan-to-value ratio (LTV). High LTV pools are predominately Making Homeownership Affordable (MHA) pools. MHA pools consist of borrowers who have refinanced through HARP. (6) Securities collateralized by loans held by lower credit borrowers as defined by Fair Isaac Corporation (FICO). Portfolio Yield Realized Q3-2014 At Sept. 30, 2014 Realized Q4-2014 At Dec. 31, 2014 Agency yield 3.3% 3.3% 3.4% 3.2% Repo and FHLB costs 0.4% 0.4% 0.4% 0.4% Swap costs 0.9% 0.9% 1.0% 0.9% Net interest spread 2.0% 2.0% 2.0% 1.9% Portfolio Metrics Q3-2014 Q4-2014 Weighted average 3-month CPR(3) 7.9% 7.5% Weighted average cost basis(4) $108.3 $107.7 Agency: Vintage & Prepayment Protection Q3-2014 Q4-2014 Other Low Loan Balance Pools(1) 28% 33% $85K Max Pools(2) 17% 22% HECM 18% 15% 2006 & subsequent vintages  Premium and IOs 15% 12% High LTV (predominately MHA)(5) 7% 5% Seasoned (2005 and prior vintages) 5% 4% Prepayment Protected 5% 4% 2006 & subsequent vintages  Discount 4% 4% Low FICO(6) 1% 1% AGENCY PORTFOLIO COMPOSITION 7.9% 6.4% 8.5% 7.9% 7.5% 0.0% 5.0% 10.0% 15.0% Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 Agency RMBS CPR

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Rates: Agency RMBS 22 As of December 31, 2014 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% $495 $501 4.4% $492 3.0% 19 4.0-4.5% $6,466 $7,012 61.1% $6,947 4.2% 19 e 5.0% $694 $782 6.8% $752 5.5% 71 $7,655 $8,295 72.3% $8,191 4.2% 24 15-Year Fixed 3.0-3.5% $58 $60 0.5% $57 3.0% 49 4.0-4.5% $2 $2 0.0% $2 4.0% 54 e 5.0% $1 $1 0.0% $1 6.6% 111 $61 $63 0.5% $60 3.1% 50 HECM $1,610 $1,741 15.2% $1,691 4.7% 37 Hybrid ARMs $118 $128 1.1% $124 3.5% 130 Other-Fixed $740 $790 6.9% $763 4.6% 80 IOs and IIOs $4,406 $462(1) 4.0% $436 3.8% 65 Total $14,590 $11,479 100.0% $11,265 4.3% 33 (1) Represents the market value of $275.8 million of IOs and $186.4 million of Agency Derivatives.

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Rates: Mortgage Servicing Rights 23 As of Mar. 31, 2014 As of Jun. 30, 2014 As of Sept. 30, 2014 As of Dec. 31, 2014 Fair Value ($M) $476.7 $500.5 $498.5 $452.0 Unpaid Principal Balance ($M) $41,596.3 $45,629.2 $45,526.8 $44,949.1 Weighted Average Coupon 3.9% 3.9% 3.9% 3.9% Original FICO Score 738 740 730 725 Original LTV 75% 74% 74% 74% 60+ Day Delinquencies 1.0% 1.2% 1.4% 1.5% Net Servicing Spread 25 basis points 25 basis points 25 basis points 25 basis points Vintage: Pre-2009 3.7% 3.8% 3.6% 3.5% 2009-2012 62.8% 64.5% 63.0% 61.2% Post 2012 33.5% 31.7% 33.4% 35.3% Percent of MSR Portfolio: Conventional 67.1% 71.1% 72.1% 72.9% Government FHA 24.7% 21.7% 20.9% 20.3% Government VA/USDA 8.2% 7.2% 7.0% 6.8%

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Credit: Non-Agency RMBS Metrics 24 NON-AGENCY PORTFOLIO COMPOSITION NON-AGENCY PORTFOLIO YIELDS AND METRICS (1) Weighted average cost basis includes RMBS principal and interest securities only. Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting purposes, total non-Agency RMBS excluding the companys non-Agency interest-only portfolio would have been $54.78 at December 31, 2014. Portfolio Yield Realized Q3-2014 At Sept. 30, 2014 Realized Q4-2014 At Dec. 31, 2014 Non-Agency yield 8.5% 8.2% 8.1% 8.1% Repo and FHLB costs 1.7% 1.7% 1.8% 1.7% Swap costs 0.8% 0.8% 0.8% 0.6% Net interest spread 6.0% 5.7% 5.5% 5.8% NON-AGENCY RMBS CPR Non-Agency: Loan Type Q3-2014 Q4-2014 Sub-Prime 77% 73% Prime 10% 13% Option-ARM 7% 7% Other 2% 4% Alt-A 4% 3% Portfolio Metrics Q3-2014 Q4-2014 Weighted average 3-month CPR 4.1% 4.2% Weighted average cost basis(1) $57.2 $59.2 3.8% 3.4% 3.6% 4.1% 4.2% 0.0% 2.0% 4.0% 6.0% 8.0% Q4-2013 Q1-2014 Q2-2014 Q3-2014 Q4-2014 Non-Agency RMBS CPR

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Credit: Non-Agency RMBS 25 As of December 31, 2014 Senior Bonds Mezzanine Bonds Total P&I Portfolio Characteristics: Carrying Value ($M) $2,370.5 $670.4 $3,040.9 % of Credit Portfolio 78% 22% 100% Average Purchase Price(1) $56.45 $68.74 $59.16 Average Coupon 2.4% 2.1% 2.3% Weighted Average Market Price(2) $73.77 $84.35 $75.87 Collateral Attributes: Average Loan Age (months) 91 93 91 Average Loan Size ($K) $374 $304 $359 Average Original Loan-to-Value 70.1% 71.5% 70.4% Average Original FICO(3) 628 669 636 Current Performance: 60+ Day Delinquencies 27.4% 20.2% 25.9% Average Credit Enhancement(4) 8.4% 18.0% 10.4% 3-Month CPR(5) 3.4% 7.3% 4.2% (1) Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting purposes, the average purchase price for senior, mezzanine and total non-Agency RMBS, excluding our non- Agency interest-only portfolio, would have been $52.11, $65.59 and $54.78, respectively. (2) Weighted average market price utilized current face for weighting purposes. (3) FICO represents a mortgage industry accepted credit score of a borrower. (4) Average credit enhancement remaining on our non-Agency RMBS portfolio, which is the average amount of protection available to absorb future credit losses due to defaults on the underlying collateral. (5) 3-Month CPR is reflective of the prepayment speed on the underlying securitization; however, it does not necessarily indicate the proceeds received on our investment tranche. Proceeds received for each security are dependent on the position of the individual security within the structure of each deal.

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Repo and FHLB Financing(1) 26 (1) As of December 31, 2014. (2) Repo pledged collateral does not include U.S. Treasuries with repurchase agreements of $2.0 billion outstanding, cash and cash equivalents (restricted and unrestricted) and collateral due from counterparties. (3) Excludes FHLB membership and activity stock totaling $100 million as of December 31, 2014. (4) Excludes repurchase agreements collateralized by U.S. Treasuries. Repo and FHLB Collateral(2)(3) Repo FHLB Total ($M) Availablefor-sale securities, at fair value $11,874.8 $2,284.5 $14,159.3 Derivative asset, at fair value $185.1 - $185.1 Mortgage loans held-for-sale, at fair value $19.1 $397.7 $416.8 Net economic interests in consolidated securitization trusts $363.5 $80.7 $444.2 $12,442.5 $2,762.9 $15,205.4 Repo Maturities (4) Amount ($M) Percent (%) Within 30 days $2,980.5 27% 30 to 59 days $4,595.4 42% 60 to 89 days $903.3 8% 90 to 119 days $434.6 4% 120 to 364 days $1,929.2 18% One year and over $93.2 1% $10,936.2 FHLB Maturities Amount ($M) Percent (%) d 1 year $33.7 1% > 1 and d 3 years $651.3 26% > 3 and d 5 years $815.0 33% > 10 years $1,000.0 40% $2,500.0

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Maturities Notional Amounts ($B) Average Fixed Pay Rate Average Receive Rate Average Maturity (Years) Payers Hedging Repo and FHLB Advances 2016 $4.1 0.667% 0.249% 1.65 2017 $5.3 1.063% 0.248% 2.55 2018 $0.6 0.945% 0.233% 3.08 2019 and after $1.5 2.408% 0.235% 7.70 $11.5 1.089% 0.246% 2.92 Other Payers 2017 $2.0 1.070% 0.229% 2.54 2018 $2.0 1.563% 0.238% 3.94 2019 and after $0.9 2.378% 0.255% 6.24 $4.9 1.512% 0.237% 3.80 Maturities Notional Amounts ($B) Average Pay Rate Average Fixed Receive Rate Average Maturity (Years) Other Receivers 2018 $0.6 0.231% 1.440% 3.89 2019 and after $1.6 0.239% 2.794% 9.19 $2.2 0.237% 2.433% 7.77 Interest Rate Swaps(1) 27 (1) As of December 31, 2014.

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Interest Rate Swaptions(1) 28 (1) As of December 31, 2014. Option Underlying Swap Swaption Expiration Cost ($M) Fair Value ($M) Average Months to Expiration Notional Amount ($M) Average Pay Rate Average Receive Rate Average Term (Years) Purchase Contracts: Payer e 6 Months $255.4 $130.1 56.62 $8,210 4.12% 3M LIBOR 7.4 Total Payer $255.4 $130.1 56.62 $8,210 4.12% 3M LIBOR 7.4 Receiver < 6 Months $10.7 $6.5 3.38 $5,000 3M LIBOR 1.35% 5.0 Total Receiver $10.7 $6.5 3.38 $5,000 3M LIBOR 1.35% 5.0 Sale Contracts: Payer e 6 Months $(81.2) $(20.0) 30.02 $(800) 3.44% 3M LIBOR 10.0 Total Payer $(81.2) $(20.0) 30.02 $(800) 3.44% 3M LIBOR 10.0

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