# EDGAR Filing Document

**Accession Number:** 0001465740
**File Stem:** 0001465740-23-000038
**Filing Date:** 2023-2
**Character Count:** 108390
**Document Hash:** beb7288b7d2c0fd4f24dc6e7fba402ab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001465740-23-000038.hdr.sgml**: 20230208

**ACCESSION NUMBER**: 0001465740-23-000038

**CONFORMED SUBMISSION TYPE**: 8-K

**PUBLIC DOCUMENT COUNT**: 50

**CONFORMED PERIOD OF REPORT**: 20230208

**ITEM INFORMATION**: Results of Operations and Financial Condition

**ITEM INFORMATION**: Financial Statements and Exhibits

**FILED AS OF DATE**: 20230208

**DATE AS OF CHANGE**: 20230208

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TWO HARBORS INVESTMENT CORP.
- **CENTRAL INDEX KEY:** 0001465740
- **STANDARD INDUSTRIAL CLASSIFICATION:** REAL ESTATE INVESTMENT TRUSTS [6798]
- **IRS NUMBER:** 270312904
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 8-K
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 001-34506
- **FILM NUMBER:** 23599280

**BUSINESS ADDRESS:**
- **STREET 1:** 1601 UTICA AVENUE SOUTH
- **STREET 2:** SUITE 900
- **CITY:** ST. LOUIS PARK
- **STATE:** MN
- **ZIP:** 55416
- **BUSINESS PHONE:** 612.453.4100

**MAIL ADDRESS:**
- **STREET 1:** 1601 UTICA AVENUE SOUTH
- **STREET 2:** SUITE 900
- **CITY:** ST. LOUIS PARK
- **STATE:** MN
- **ZIP:** 55416

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Two Harbors Investment Corp.
- **DATE OF NAME CHANGE:** 20090605

?xml version="1.0" ? two-20230208

**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 8, 2023

**Two Harbors Investment Corp.** 

(Exact name of registrant as specified in its charter)

---

| | | | |
|:---|:---|:---|:---|
| **Maryland** | **001-34506** | **001-34506** | **27-0312904** |
| (State or other jurisdiction of incorporation or organization) | (Commission File Number) | (Commission File Number) | (I.R.S. Employer Identification No.) |
| **1601 Utica Avenue South, Suite 900** | **St. Louis Park,** | **MN** | **55416** |
| (Address of Principal Executive Offices) | | | (Zip Code) |

---

**(612) 453-4100** 

Registrant's telephone number, including area code

(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:

☐ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

☐ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

☐ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

☐ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Securities Registered Pursuant to Section 12(b) of the Act:

---

| | | |
|:---|:---|:---|
| **Title of Each Class:** | **Trading Symbol(s)** | **Name of Exchange on Which Registered:** |
| Common Stock, par value $0.01 per share | TWO | New York Stock Exchange |
| 8.125% Series A Cumulative Redeemable Preferred Stock | TWO PRA | New York Stock Exchange |
| 7.625% Series B Cumulative Redeemable Preferred Stock | TWO PRB | New York Stock Exchange |
| 7.25% Series C Cumulative Redeemable Preferred Stock | TWO PRC | New York Stock Exchange |

---

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (17 CFR §230.405) or Rule 12b-2 of the Securities Exchange Act of 1934 (17 CFR §240.12b-2).

Emerging Growth Company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

☐

------

**Item 2.02&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Results of Operations and Financial Condition.**

On February 8, 2023, Two Harbors Investment Corp. issued a press release announcing its financial results for the fiscal quarter ended December 31, 2022. A copy of the press release and the 2022 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 Item 2.02 of 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 | <u>[Press Release of Two Harbors Investment Corp., dated](twoq4-2022earningspressrel.htm)[Feb](twoq4-2022earningspressrel.htm)[ruary 8, 202](twoq4-2022earningspressrel.htm)[3](twoq4-2022earningspressrel.htm)[.](twoq4-2022earningspressrel.htm)</u> |
| 99.2 | <u>[2022](twoq42022earningscallpre.htm)[Fourth](twoq42022earningscallpre.htm)[Quarter Earnings Call Presentation.](twoq42022earningscallpre.htm)</u> |
| 104 | Cover Page Interactive Data File, formatted in Inline XBRL. |

---

------

**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. | TWO HARBORS INVESTMENT CORP. |
| | By: | <u>/s/ REBECCA B. SANDBERG</u> |
| | | Rebecca B. Sandberg |
| | | General Counsel and Secretary |
| Date: February 8, 2023 |  |  |

---

## Exhibit 99.1

![two-harborsxlighthousexlog.jpg](two-harborsxlighthousexlog.jpg)

**Two Harbors Investment Corp. Reports Fourth Quarter 2022 Financial Results**

*Tightening Mortgage Spreads Drove Increase in Book Value*

**NEW YORK, February 8, 2023** - Two Harbors Investment Corp. (NYSE: TWO), an Agency + MSR mortgage real estate investment trust (REIT), today announced its financial results for the quarter ended December 31, 2022.

***Quarterly Summary***<sup>(1)</sup>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Reported book value of $17.72 per common share, and declared a fourth quarter common stock dividend of $0.60 per share, representing an 11.6% quarterly economic return on book value.<sup>(2)</sup>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Generated Comprehensive Income of $160.2 million, or $1.85 per weighted average basic common share.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Reported Earnings Available for Distribution (EAD) of $22.2 million, or $0.26 per weighted average basic common share.<sup>(3)</sup> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Generated Income Excluding Market-Driven Value Changes of $0.73 per weighted average basic common share.<sup>(4)</sup>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Effected the previously announced one-for-four reverse stock split of outstanding shares of common stock on November 1, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Repurchased 2,957,950 shares of preferred stock, contributing approximately $0.26 to book value per common share.<sup>(5)</sup>

***Annual Summary***

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Declared dividends of $2.64 per common share.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Yielded 2022 total economic return on book value of (13.3)%.<sup>(2)</sup>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Announced that Matrix Financial Services Corporation, a wholly owned subsidiary of Two Harbors, agreed to acquire all equity interests in RoundPoint Mortgage Servicing Corporation, which is expected to close in the third quarter of 2023.

***Post Quarter-End Update***

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Estimate book value has increased 4% through January 31, 2023.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Issued 10 million shares of common stock through an underwritten offering for net proceeds of approximately $175.6 million.

________________

(1) On November 1, 2022, the company completed its previously announced one-for-four reverse stock split of its outstanding shares of common stock. In accordance with generally accepted accounting principles, all common share and per common share amounts presented herein have been adjusted on a retroactive basis to reflect the reverse stock split.

(2) &nbsp;&nbsp;&nbsp;&nbsp;Economic return on book value is defined as the increase (decrease) in book value per common share from the beginning to the end of the given period, plus dividends declared in the period, divided by book value as of the beginning of the period.

(3)&nbsp;&nbsp;&nbsp;&nbsp;Earnings Available for Distribution is a non-GAAP measure. Please see page [11](#if44353c8f3674642b9e42b93cfca8232_13) for a definition of Earnings Available for Distribution and a reconciliation of GAAP to non-GAAP financial information.

(4) Income Excluding Market-Driven Value Changes is a non-GAAP measure. Please see page [12](#if44353c8f3674642b9e42b93cfca8232_190) for a definition of Income Excluding Market-Driven Value Changes and a reconciliation of GAAP to non-GAAP financial information.

(5) Includes 428,549 Series A, 786,846 Series B and 1,742,555 Series C preferred shares.

------

"Despite spread volatility in the fourth quarter, we generated a positive return on book value, with our portfolio benefitting from being positioned in low coupon MSR and higher coupon RMBS," stated Bill Greenberg, Two Harbors' President and Chief Executive Officer. "Across all asset types, this past year was one of the most challenging investment environments in decades. However, it provided an opportunity to demonstrate the value in Two Harbors' model: that Agency RMBS paired with MSR, and active portfolio management, can dampen volatility. We continue to be very constructive on forward-looking return potential in 2023."

"In the fourth quarter, inflation moderated and rate expectations leveled off, but volatility remained stubbornly high," stated Nick Letica, Two Harbors' Chief Investment Officer. "We allowed our leverage to drift higher and captured positive performance from tightening spreads in November, before taking leverage back down again in December. We deliberately and actively managed our portfolio to have more high coupon mortgage exposure, which benefitted book value. We expect that volatility will moderate in 2023, which could result in tighter spreads and be a positive tailwind for mortgage securities."

***Operating Performance***

The following table summarizes the company's GAAP and non-GAAP earnings measurements and key metrics for the fourth quarter of 2022 and third quarter of 2022:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Two Harbors Investment Corp. Operating Performance (unaudited)** | **Two Harbors Investment Corp. Operating Performance (unaudited)** | **Two Harbors Investment Corp. Operating Performance (unaudited)** | **Two Harbors Investment Corp. Operating Performance (unaudited)** | **Two Harbors Investment Corp. Operating Performance (unaudited)** | **Two Harbors Investment Corp. Operating Performance (unaudited)** | **Two Harbors Investment Corp. Operating Performance (unaudited)** |
| (dollars in thousands, except per common share data) | (dollars in thousands, except per common share data) | (dollars in thousands, except per common share data) | (dollars in thousands, except per common share data) | (dollars in thousands, except per common share data) | (dollars in thousands, except per common share data) | (dollars in thousands, except per common share data) |
|  | **Three Months Ended <br>December 31, 2022** | **Three Months Ended <br>December 31, 2022** | **Three Months Ended <br>December 31, 2022** | **Three Months Ended <br>September 30, 2022** | **Three Months Ended <br>September 30, 2022** | **Three Months Ended <br>September 30, 2022** |
| **<u>Earnings attributable to common stockholders</u>** | **Earnings** | **Per weighted average basic common share** | **Annualized return on average common equity** | **Earnings** | **Per weighted average basic common share** | **Annualized return on average common equity** |
| Comprehensive Income (Loss) | $160233 | $1.85 | 42.8% | $(287808) | $(3.35) | (67.9)% |
| GAAP Net (Loss) Income | $(262439) | $(3.04) | (70.1)% | $263865 | $3.04 | 62.3% |
| Earnings Available for Distribution<sup>(1)</sup> | $22209 | $0.26 | 5.9% | $55173 | $0.64 | 13.0% |
| Income Excluding Market-Driven Value Changes<sup>(2)</sup> | $62706 | $0.73 | 16.7% |  |  |  |
| **<u>Operating Metrics</u>** |  |  |  |  |  |  |
| Dividend per common share | $0.60 |  |  | $0.68 |  |  |
| Annualized dividend yield<sup>(3)</sup> | 15.2% |  |  | 20.5% |  |  |
| Book value per common share at period end | $17.72 |  |  | $16.42 |  |  |
| Economic return on book value<sup>(4)</sup> | 11.6% |  |  | (16.2)% |  |  |
| Operating expenses, excluding non-cash LTIP amortization and nonrecurring expenses<sup>(5)</sup> | $10462 |  |  | $13404 |  |  |
| Operating expenses, excluding non-cash LTIP amortization and nonrecurring expenses, as a percentage of average equity<sup>(5)</sup> | 1.9% |  |  | 2.2% |  |  |

---

_______________

(1)Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see page [11](#if44353c8f3674642b9e42b93cfca8232_13) for a definition of Earnings Available for Distribution and a reconciliation of GAAP to non-GAAP financial information.

(2)Income Excluding Market-Driven Value Changes is a non-GAAP measure being introduced for the fourth quarter of 2022. Please see page [12](#if44353c8f3674642b9e42b93cfca8232_190) for a definition of Income Excluding Market-Driven Value Changes and a reconciliation of GAAP to non-GAAP financial information.

(3)Dividend yield is calculated based on annualizing the dividends declared in the given period, divided by the closing share price as of the end of the period.

(4)Economic return on book value is defined as the increase (decrease) in book value per common share from the beginning to the end of the given period, plus dividends declared in the period, divided by the book value as of the beginning of the period.

(5)Excludes non-cash equity compensation expense of $1.7 million for the fourth quarter of 2022 and $2.4 million for the third quarter of 2022 and nonrecurring expenses of $10.8 million for the fourth quarter of 2022 and $5.0 million for the third quarter of 2022.

------

***Portfolio Summary***

As of December 31, 2022, the company's portfolio was comprised of $10.8 billion of Agency residential mortgage-backed securities (RMBS), Agency Derivatives and MSR as well as their associated notional debt hedges. Additionally, the company held $3.9 billion bond equivalent value of net long to-be-announced securities (TBAs).

The following tables summarize the company's investment portfolio as of December 31, 2022 and September 30, 2022:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Two Harbors Investment Corp. Portfolio** | **Two Harbors Investment Corp. Portfolio** | **Two Harbors Investment Corp. Portfolio** | **Two Harbors Investment Corp. Portfolio** | **Two Harbors Investment Corp. Portfolio** |
| (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) |
| **Portfolio Composition** | **As of December 31, 2022** | **As of December 31, 2022** | **As of September 30, 2022** | **As of September 30, 2022** |
|  | (unaudited) | (unaudited) | (unaudited) | (unaudited) |
| Agency |  |  |  |  |
| &nbsp;&nbsp;Fixed Rate | $7647001 | 70.9% | $9237881 | 73.8% |
| &nbsp;&nbsp;Other Agency<sup>(1)</sup> | 21751 | 0.2% | 127612 | 1.0% |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Agency | 7668752 | 71.1% | 9365493 | 74.8% |
| Mortgage servicing rights<sup>(2)</sup> | 2984937 | 27.7% | 3021790 | 24.2% |
| Other | 125158 | 1.2% | 124860 | 1.0% |
| &nbsp;&nbsp;Aggregate Portfolio | 10778847 |  | 12512143 |  |
| &nbsp;&nbsp;Net TBA position<sup>(3)</sup> | 3900395 |  | 4047890 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total Portfolio | $14679242 |  | $16560033 |  |

---

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| | | |
|:---|:---|:---|
| **Portfolio Metrics** | **Three Months Ended <br>December 31, 2022** | **Three Months Ended <br>September 30, 2022** |
|  | (unaudited) | (unaudited) |
| Average portfolio yield<sup>(4)</sup> | 4.92% | 4.61% |
| Average cost of financing<sup>(5)</sup> | 3.95% | 2.84% |
| Net spread | 0.97% | 1.77% |

---

________________

(1)Other Agency includes hybrid ARMs and inverse interest-only Agency securities classified as "Agency Derivatives" for purposes of GAAP.

(2)Based on the loans underlying the MSR reported by subservicers on a month lag, adjusted for current month purchases.

(3)Represents bond equivalent value of TBA position. Bond equivalent value is defined as notional amount multiplied by market price. Accounted for as derivative instruments in accordance with GAAP.

(4)Average portfolio yield includes interest income on Agency RMBS and non-Agency securities, MSR servicing income, net of estimated amortization, and servicing expenses, and the implied asset yield portion of TBA dollar roll income on TBAs. MSR estimated 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, which is deemed a non-GAAP measure due to the company's decision to account for MSR at fair value. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements.

(5)Average cost of financing includes interest expense and amortization of deferred debt issuance costs on borrowings under repurchase agreements (excluding those collateralized by U.S. Treasuries), revolving credit facilities, term notes payable and convertible senior notes, interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements, U.S. Treasury futures income, and the implied financing benefit/cost portion of dollar roll income on TBAs. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.

---

| | | |
|:---|:---|:---|
| **Portfolio Metrics Specific to RMBS and Agency Derivatives** | **As of December 31, 2022** | **As of September 30, 2022** |
|  | (unaudited) | (unaudited) |
| Weighted average cost basis of Agency principal and interest securities<sup>(1)</sup> | $102.26 | $102.84 |
| Weighted average three month CPR on Agency RMBS | 5.9% | 9.1% |
| Fixed-rate investments as a percentage of aggregate RMBS and Agency Derivatives portfolio | 98.6% | 97.8% |
| Adjustable-rate investments as a percentage of aggregate RMBS and Agency Derivatives portfolio | 1.4% | 2.2% |

---

______________

(1)Weighted average cost basis includes RMBS principal and interest securities only. Average purchase price utilized carrying value for weighting purposes.

------

---

| | | |
|:---|:---|:---|
| **Portfolio Metrics Specific to MSR**<sup>(1)</sup> | **As of December 31, 2022** | **As of September 30, 2022** |
| (dollars in thousands) | (unaudited) | (unaudited) |
| Unpaid principal balance | $204876693 | $206613560 |
| Gross coupon rate | 3.3% | 3.2% |
| Current loan size | $334 | $335 |
| Original FICO<sup>(2)</sup> | 760 | 760 |
| Original LTV | 72% | 72% |
| 60+ day delinquencies | 0.8% | 0.7% |
| Net servicing fee | 26.5 basis points | 26.4 basis points |
|  | **Three Months Ended <br>December 31, 2022** | **Three Months Ended <br>September 30, 2022** |
|  | (unaudited) | (unaudited) |
| Fair value losses | $(64085) | $(6720) |
| Servicing income | $160926 | $148833 |
| Servicing expenses | $24542 | $22144 |
| Change in servicing reserves | $713 | $(1005) |

---

________________

Note: The company does not directly service mortgage loans, but instead contracts with appropriately licensed subservicers to handle substantially all servicing functions in the name of the subservicer for the loans underlying the company's MSR.

(1)Metrics exclude residential mortgage loans in securitization trusts for which the company is the named servicing administrator. Portfolio metrics, other than UPB, represent averages weighted by UPB.

(2)FICO represents a mortgage industry accepted credit score of a borrower.

---

| | | |
|:---|:---|:---|
| **Other Investments and Risk Management Metrics** | **As of December 31, 2022** | **As of September 30, 2022** |
| (dollars in thousands) | (unaudited) | (unaudited) |
| Net long TBA notional amount<sup>(1)</sup> | $3826000 | $4154000 |
| Futures notional | $(18285452) | $(15296550) |

---

________________

(1)Accounted for as derivative instruments in accordance with GAAP.

***Financing Summary***

The following tables summarize the company's financing metrics and outstanding repurchase agreements, revolving credit facilities, term notes and convertible senior notes as of December 31, 2022 and September 30, 2022:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **December 31, 2022** | **Balance** | **Weighted Average Borrowing Rate** | **Weighted Average Months to Maturity** | **Number of Distinct Counterparties** |
| (dollars in thousands, unaudited) |  |  |  |  |
| Repurchase agreements collateralized by RMBS | $7405716 | 3.81% | 1.56 | 20 |
| Repurchase agreements collateralized by MSR | 309000 | 7.91% | 11.93 | 1 |
| Repurchase agreements collateralized by U.S. Treasuries<sup>(1)</sup> | 888295 | 4.49% | 1.95 | 3 |
| Total repurchase agreements | 8603011 | 3.95% | 1.93 | 20 |
| Revolving credit facilities collateralized by MSR and related servicing advance obligations | 1118831 | 7.68% | 13.48 | 4 |
| Term notes payable collateralized by MSR | 398011 | 7.19% | 17.82 | n/a |
| Unsecured convertible senior notes | 282496 | 6.25% | 36.53 | n/a |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total borrowings** | $10402349 |  |  |  |

---

------

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| | | | | |
|:---|:---|:---|:---|:---|
| **September 30, 2022** | **Balance** | **Weighted Average Borrowing Rate** | **Weighted Average Months to Maturity** | **Number of Distinct Counterparties** |
| (dollars in thousands, unaudited) |  |  |  |  |
| Repurchase agreements collateralized by RMBS | $9640018 | 3.19% | 3.15 | 21 |
| Repurchase agreements collateralized by MSR | 394000 | 6.57% | 4.31 | 1 |
| Total repurchase agreements | 10034018 | 3.32% | 3.19 | 21 |
| Revolving credit facilities collateralized by MSR and related servicing advance obligations | 1131161 | 6.40% | 16.54 | 4 |
| Term notes payable collateralized by MSR | 397697 | 5.88% | 20.84 | n/a |
| Unsecured convertible senior notes | 282096 | 6.25% | 39.55 | n/a |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total borrowings** | $11844972 |  |  |  |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Borrowings by Collateral Type**<sup>(2)</sup> | **As of December 31, 2022** | **As of December 31, 2022** | **As of September 30, 2022** | **As of September 30, 2022** |
| (dollars in thousands) | (unaudited) | (unaudited) | (unaudited) | (unaudited) |
| Agency RMBS and Agency Derivatives | $7334907 |  | $9563755 |  |
| Mortgage servicing rights and related servicing advance obligations | 1825842 |  | 1922858 |  |
| Other - secured | 70809 |  | 76263 |  |
| Other - unsecured<sup>(3)</sup> | 282496 |  | 282096 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total | 9514054 |  | 11844972 |  |
| TBA cost basis | 3923298 |  | 4153582 |  |
| Net payable (receivable) for unsettled RMBS | 342964 |  | 34576 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Total, including TBAs and net payable (receivable) for unsettled RMBS | $13780316 |  | $16033130 |  |
| Debt-to-equity ratio at period-end<sup>(4)</sup> | 4.4 | :1.0 | 5.5 | :1.0 |
| Economic debt-to-equity ratio at period-end<sup>(5)</sup> | 6.3 | :1.0 | 7.5 | :1.0 |
| **Cost of Financing by Collateral Type**<sup>(2)</sup> | **Three Months Ended <br>December 31, 2022** | **Three Months Ended <br>December 31, 2022** | **Three Months Ended <br>September 30, 2022** | **Three Months Ended <br>September 30, 2022** |
|  | (unaudited) | (unaudited) | (unaudited) | (unaudited) |
| Agency RMBS and Agency Derivatives | 3.56 | % | 2.30 | % |
| Mortgage servicing rights and related servicing advance obligations<sup>(6)</sup> | 7.71 | % | 6.19 | % |
| Other - secured | 5.40 | % | 4.00 | % |
| Other - unsecured<sup>(3)(6)</sup> | 6.93 | % | 6.92 | % |
| &nbsp;&nbsp;&nbsp;&nbsp;Annualized cost of financing | 4.46 | % | 3.04 | % |
| Interest rate swaps<sup>(7)</sup> |  | % | (0.01) | % |
| U.S. Treasury futures<sup>(8)</sup> | 0.25 | % | 0.61 | % |
| TBAs<sup>(9)</sup> | 2.03 | % | 1.31 | % |
| &nbsp;&nbsp;&nbsp;&nbsp;Annualized cost of financing, including swaps, U.S. Treasury futures and TBAs | 3.95 | % | 2.84 | % |

---

____________________

(1)U.S. Treasury securities effectively borrowed under reverse repurchase agreements.

(2)Excludes repurchase agreements collateralized by U.S. Treasuries.

(3)Unsecured convertible senior notes.

(4)Defined as total borrowings to fund RMBS, MSR and Agency Derivatives, divided by total equity.

(5)Defined as total borrowings to fund RMBS, MSR and Agency Derivatives, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity. Effective as of December 31, 2022, net payable (receivable) on unsettled RMBS is now included in the calculation for economic debt-to-equity. Prior period metrics have been updated to conform to the current period methodology.

(6)Includes amortization of debt issuance costs.

(7)The cost of financing on interest rate swaps held to mitigate interest rate risk associated with the company's outstanding borrowings includes interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements and is calculated using average borrowings balance as the denominator.

(8)The cost of financing on U.S. Treasury futures held to mitigate interest rate risk associated with the company's outstanding borrowings is calculated using average borrowings balance as the denominator. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.

(9)The implied financing benefit/cost of dollar roll income on TBAs is calculated using the average cost basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP.

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**Conference Call**

Two Harbors Investment Corp. will host a conference call on February 9, 2023 at 9:00 a.m. ET to discuss fourth quarter 2022 financial results and related information. The conference call will be webcast live and accessible in the Investors section of the company's website at <u>www.twoharborsinvestment.com/investors.</u> To participate in the teleconference, please call toll-free (877) 502-7185, approximately 10 minutes prior to the above start time. For those unable to attend, a telephone playback will be available beginning at 12:00 p.m. ET on February 9, 2023, through 12:00 p.m. ET on February 23, 2023. The playback can be accessed by calling (877) 660-6853, conference code 13734900. The call will also be archived on the company's website in the News & Events section.

**Two Harbors Investment Corp.** 

Two Harbors Investment Corp., a Maryland corporation, is a real estate investment trust that invests in residential mortgage-backed securities, mortgage servicing rights and other financial assets. Two Harbors is headquartered in St. Louis Park, MN.

**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 our Annual Report on Form 10-K for the year ended December 31, 2021, 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: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; changes in prepayment rates of mortgages underlying our target assets; the rates of default or decreased recovery on the mortgages underlying our target assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; the availability and cost of financing; changes in the competitive landscape within our industry; our ability to effectively execute and to realize the benefits of strategic transactions and initiatives we have pursued or may in the future pursue; our ability to recognize the benefits of our pending acquisition of RoundPoint Mortgage Servicing Corporation; our decision to terminate our management agreement with PRCM Advisers LLC and the ongoing litigation related to such termination; our ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our communications and information technology systems; our ability to acquire MSR and successfully operate our seller-servicer subsidiary and oversee our subservicers; the impact of any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; the impact of new or modified government mortgage refinance or principal reduction programs; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940.

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 income excluding market-driven value changes, earnings available for distribution and related per basic common share measures. The non-GAAP financial measures presented by the company provide supplemental information to assist investors in analyzing the company's results of operations and help facilitate comparisons to industry peers. 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 company's GAAP financial results and the reconciliations from these results should be carefully evaluated. See the GAAP to non-GAAP reconciliation tables on pages [11](#if44353c8f3674642b9e42b93cfca8232_13) and [12](#if44353c8f3674642b9e42b93cfca8232_190) of this release.

**Additional Information**

Stockholders of Two Harbors and other interested persons may find additional information regarding the company at <u>www.twoharborsinvestment.com</u>, at the Securities and Exchange Commissions's Internet site at <u>www.sec.gov</u> or by directing requests to: Two Harbors Investment Corp., Attn: Investor Relations, 1601 Utica Avenue South, Suite 900, St. Louis Park, MN, 55416, telephone (612) 453-4100.

**Contact**

Margaret Karr, Head of Investor Relations, Two Harbors Investment Corp., (612)-453-4080, Margaret.Karr@twoharborsinvestment.com

\# \# \#

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| | | |
|:---|:---|:---|
| **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** |
| **CONSOLIDATED BALANCE SHEETS** | **CONSOLIDATED BALANCE SHEETS** | **CONSOLIDATED BALANCE SHEETS** |
| (dollars in thousands, except share data) | (dollars in thousands, except share data) | (dollars in thousands, except share data) |
|  | **December 31,<br>2022** | **December 31,<br>2021** |
|  | (unaudited) |  |
| **ASSETS** |  |  |
| Available-for-sale securities, at fair value (amortized cost $8,114,627 and $7,005,013, respectively; allowance for credit losses $6,958 and $14,238, respectively) | $7778734 | $7161703 |
| Mortgage servicing rights, at fair value | 2984937 | 2191578 |
| Cash and cash equivalents | 683479 | 1153856 |
| Restricted cash | 443026 | 934814 |
| Accrued interest receivable | 36018 | 26266 |
| Due from counterparties | 253374 | 168449 |
| Derivative assets, at fair value | 26438 | 80134 |
| Reverse repurchase agreements | 1066935 | 134682 |
| Other assets | 193219 | 262823 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total Assets** | $13466160 | $12114305 |
| **LIABILITIES AND STOCKHOLDERS' EQUITY** |  |  |
| **Liabilities:** |  |  |
| Repurchase agreements | $8603011 | $7656445 |
| Revolving credit facilities | 1118831 | 420761 |
| Term notes payable | 398011 | 396776 |
| Convertible senior notes | 282496 | 424827 |
| Derivative liabilities, at fair value | 34048 | 53658 |
| Due to counterparties | 541709 | 196627 |
| Dividends payable | 64504 | 72412 |
| Accrued interest payable | 94034 | 18382 |
| Other liabilities | 145991 | 130464 |
| &nbsp;&nbsp;&nbsp;**Total Liabilities** | 11282635 | 9370352 |
| **Stockholders' Equity:** |  |  |
| Preferred stock, par value $0.01 per share; 100,000,000 shares authorized and 26,092,050 and 29,050,000 shares issued and outstanding, respectively ($652,301 and $726,250 liquidation preference, respectively) | 630999 | 702550 |
| Common stock, par value $0.01 per share; 175,000,000 shares authorized and 86,428,845 and 85,977,831 shares issued and outstanding, respectively | 864 | 860 |
| Additional paid-in capital | 5645998 | 5627758 |
| Accumulated other comprehensive (loss) income | (278711) | 186346 |
| Cumulative earnings | 1453371 | 1212983 |
| Cumulative distributions to stockholders | (5268996) | (4986544) |
| &nbsp;&nbsp;&nbsp;**Total Stockholders' Equity** | 2183525 | 2743953 |
| &nbsp;&nbsp;&nbsp;&nbsp;**Total Liabilities and Stockholders' Equity** | $13466160 | $12114305 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** |
| **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)** |
| (dollars in thousands, except share data) | (dollars in thousands, except share data) | (dollars in thousands, except share data) | (dollars in thousands, except share data) | (dollars in thousands, except share data) |
| *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* |
|  | **Three Months Ended <br>December 31,** | **Three Months Ended <br>December 31,** | **Year Ended <br>December 31,** | **Year Ended <br>December 31,** |
|  | **2022** | **2021** | **2022** | **2021** |
|  | (unaudited) | (unaudited) | (unaudited) |  |
| **Interest income:** |  |  |  |  |
| Available-for-sale securities | $83712 | $32729 | $272230 | $167310 |
| Other | 15591 | 276 | 23310 | 1287 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total interest income | 99303 | 33005 | 295540 | 168597 |
| **Interest expense:** |  |  |  |  |
| Repurchase agreements | 81975 | 4562 | 167455 | 25774 |
| Revolving credit facilities | 21854 | 5050 | 51814 | 22425 |
| Term notes payable | 6906 | 3251 | 19514 | 12936 |
| Convertible senior notes | 4892 | 7295 | 19612 | 28038 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total interest expense | 115627 | 20158 | 258395 | 89173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Net interest (expense) income | (16324) | 12847 | 37145 | 79424 |
| **Other (loss) income:** |  |  |  |  |
| (Loss) gain on investment securities | (347450) | 1626 | (603937) | 121617 |
| Servicing income | 160926 | 125511 | 603911 | 468406 |
| (Loss) gain on servicing asset | (64085) | (131828) | 425376 | (114941) |
| Gain on interest rate swap and swaption agreements |  | 36989 | 29499 | 42091 |
| Gain (loss) on other derivative instruments | 53301 | (11565) | 9310 | (251283) |
| Other income (loss) | 112 | 1856 | (5) | (3845) |
| &nbsp;&nbsp;&nbsp;&nbsp;Total other (loss) income | (197196) | 22589 | 464154 | 262045 |
| **Expenses:** |  |  |  |  |
| Servicing expenses | 25272 | 21582 | 94119 | 86250 |
| Compensation and benefits | 7411 | 6396 | 40723 | 35041 |
| Other operating expenses | 15540 | 6648 | 42005 | 28759 |
| &nbsp;&nbsp;&nbsp;&nbsp;Total expenses | 48223 | 34626 | 176847 | 150050 |
| **(Loss) income before income taxes** | (261743) | 810 | 324452 | 191419 |
| Provision for income taxes | 8480 | 2104 | 104213 | 4192 |
| **Net (loss) income** | (270223) | (1294) | 220239 | 187227 |
| Dividends on preferred stock | (12365) | (13747) | (53607) | (58458) |
| Gain on repurchase and retirement of preferred stock | 20149 |  | 20149 |  |
| **Net (loss) income attributable to common stockholders** | $(262439) | $(15041) | $186781 | $128769 |
| Basic (loss) earnings per weighted average common share | $(3.04) | $(0.18) | $2.15 | $1.72 |
| Diluted (loss) earnings per weighted average common share | $(3.04) | $(0.18) | $2.13 | $1.72 |
| Dividends declared per common share | $0.60 | $0.68 | $2.64 | $2.72 |
| **Weighted average number of shares of common stock:** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Basic | 86391405 | 83775184 | 86179418 | 74443000 |
| &nbsp;&nbsp;&nbsp;Diluted | 86391405 | 83775184 | 96076175 | 74510884 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** |
| **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS), CONTINUED** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS), CONTINUED** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS), CONTINUED** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS), CONTINUED** | **CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS), CONTINUED** |
| (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | (dollars in thousands) |
| *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* |
|  | **Three Months Ended <br>December 31,** | **Three Months Ended <br>December 31,** | **Year Ended <br>December 31,** | **Year Ended <br>December 31,** |
|  | **2022** | **2021** | **2022** | **2021** |
|  | (unaudited) | (unaudited) | (unaudited) |  |
| **Comprehensive income (loss):** |  |  |  |  |
| **Net (loss) income** | $(270223) | $(1294) | $220239 | $187227 |
| **Other comprehensive income (loss):** |  |  |  |  |
| Unrealized gain (loss) on available-for-sale securities | 422672 | (113553) | (465057) | (455255) |
| &nbsp;&nbsp;&nbsp;&nbsp;Other comprehensive income (loss) | 422672 | (113553) | (465057) | (455255) |
| **Comprehensive income (loss)** | 152449 | (114847) | (244818) | (268028) |
| Dividends on preferred stock | (12365) | (13747) | (53607) | (58458) |
| Gain on repurchase and retirement of preferred stock | 20149 |  | 20149 |  |
| **Comprehensive income (loss) attributable to common stockholders** | $160233 | $(128594) | $(278276) | $(326486) |

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| | | |
|:---|:---|:---|
| **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** |
| **RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION** | **RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION** | **RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION** |
| (dollars in thousands, except share data) | (dollars in thousands, except share data) | (dollars in thousands, except share data) |
| *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* |
|  | **Three Months Ended** | **Three Months Ended** |
|  | **December 31,<br>2022** | **September 30,<br>2022** |
|  | (unaudited) | (unaudited) |
| Reconciliation of Comprehensive income (loss) to Earnings Available for Distribution: |  |  |
| Comprehensive income (loss) attributable to common stockholders | $160233 | $(287808) |
| Adjustment for other comprehensive (income) loss attributable to common stockholders: |  |  |
| &nbsp;&nbsp;&nbsp;Unrealized (gain) loss on available-for-sale securities | (422672) | 551673 |
| Net (loss) income attributable to common stockholders | $(262439) | $263865 |
| Adjustments to exclude reported realized and unrealized (gains) losses: |  |  |
| &nbsp;&nbsp;&nbsp;Realized loss (gain) on securities | 341316 | (18265) |
| &nbsp;&nbsp;&nbsp;Unrealized loss on securities | 6453 | 23294 |
| &nbsp;&nbsp;&nbsp;(Reversal of) provision for credit losses | (318) | 1397 |
| &nbsp;&nbsp;&nbsp;Realized and unrealized loss on mortgage servicing rights | 64084 | 6720 |
| &nbsp;&nbsp;&nbsp;Realized loss on termination or expiration of interest rate swaps and swaptions |  | 146750 |
| &nbsp;&nbsp;&nbsp;Unrealized gain on interest rate swaps and swaptions |  | (181378) |
| &nbsp;&nbsp;&nbsp;Realized and unrealized gain on other derivative instruments | (53226) | (158891) |
| &nbsp;&nbsp;&nbsp;Gain on repurchase and retirement of preferred stock | (20149) |  |
| &nbsp;&nbsp;&nbsp;Other realized and unrealized gains | (112) |  |
| Other adjustments: |  |  |
| &nbsp;&nbsp;MSR amortization<sup>(1)</sup> | (83190) | (75585) |
| &nbsp;&nbsp;TBA dollar roll income<sup>(2)</sup> | 16193 | 37832 |
| &nbsp;&nbsp;U.S. Treasury futures income<sup>(3)</sup> | (6408) | (16643) |
| &nbsp;&nbsp;Change in servicing reserves | 713 | (1005) |
| &nbsp;&nbsp;Non-cash equity compensation expense | 1653 | 2355 |
| &nbsp;&nbsp;Other nonrecurring expenses | 10836 | 5029 |
| &nbsp;&nbsp;&nbsp;Net provision for income taxes on non-EAD | 6803 | 19698 |
| Earnings available for distribution to common stockholders<sup>(4)</sup> | $22209 | $55173 |
| Weighted average basic common shares | 86391405 | 86252104 |
| Earnings available for distribution to common stockholders per weighted average basic common share | $0.26 | $0.64 |

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_____________

(1)MSR 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, which is deemed a non-GAAP measure due to the company's decision to account for MSR at fair value.

(2)TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements.

(3)U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements.

(4)EAD is a non-GAAP measure that we define as comprehensive income (loss) attributable to common stockholders, excluding realized and unrealized gains and losses on the aggregate portfolio, gains and losses on repurchases of preferred stock, provision for (reversal of) credit losses, reserve expense for representation and warranty obligations on MSR, non-cash compensation expense related to restricted common stock and other nonrecurring expenses. As defined, EAD includes net interest income, accrual and settlement of interest on derivatives, dollar roll income on TBAs, U.S. Treasury futures income, servicing income, net of estimated amortization on MSR and recurring cash related operating expenses. EAD provides supplemental information to assist investors in analyzing the Company's results of operations and helps facilitate comparisons to industry peers. EAD is one of several measures our board of directors considers to determine the amount of dividends to declare on our common stock and should not be considered an indication of our taxable income or as a proxy for the amount of dividends we may declare.

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| | |
|:---|:---|
| **TWO HARBORS INVESTMENT CORP.** | **TWO HARBORS INVESTMENT CORP.** |
| **RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION** | **RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION** |
| (dollars in thousands, except share data) | (dollars in thousands, except share data) |
| *Certain prior period amounts have been reclassified to conform to the current period presentation* | *Certain prior period amounts have been reclassified to conform to the current period presentation* |
|  | **Three Months Ended** |
|  | **December 31,<br>2022** |
|  | (unaudited) |
| Reconciliation of Comprehensive income (loss) to Income Excluding Market-Driven Value Changes: |  |
| Comprehensive income (loss) attributable to common stockholders | $160233 |
| Adjustments to exclude market-driven value changes and nonrecurring operating expenses: |  |
| &nbsp;&nbsp;RMBS market-driven value changes<sup>(1)</sup> | (62660) |
| &nbsp;&nbsp;MSR market-driven value changes<sup>(2)</sup> | 12989 |
| &nbsp;&nbsp;Realized and unrealized gains on TBAs, excluding TBA dollar roll income<sup>(3)</sup> | (32040) |
| &nbsp;&nbsp;Realized and unrealized gains on futures, excluding futures income<sup>(4)</sup> | (11001) |
| &nbsp;&nbsp;Other nonrecurring expenses | 10836 |
| &nbsp;&nbsp;&nbsp;Gain on repurchase and retirement of preferred stock | (20149) |
| &nbsp;&nbsp;&nbsp;Net provision for income taxes associated with market-driven value changes | 4498 |
| Income Excluding Market-Driven Value Changes<sup>(5)</sup> | $62706 |
| Weighted average basic common shares | 86391405 |
| Income Excluding Market-Driven Value Changes per weighted average basic common share | $0.73 |

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_____________

(1)RMBS market-driven value changes refers to the sum of interest income, realized and unrealized gains and losses on RMBS, less the sum of the realization of RMBS cash flows which incorporates actual prepayments, changes in RMBS accrued interest, and price changes. Price changes are measured daily based on the assumption that spreads, interest rates and volatility factored into the previous day ending fair value are unchanged. RMBS includes inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP.RMBS market-driven value changes refers to the sum of interest income, realized and unrealized gains and losses on RMBS, less the sum of the realization of RMBS cash flows which incorporates actual prepayments, changes in RMBS accrued interest, and price changes. Price changes are measured daily based on the assumption that spreads, interest rates and volatility factored into the previous day ending fair value are unchanged. RMBS includes inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP.

(2)MSR market-driven value changes refers to the sum of servicing income, servicing expenses, realized and unrealized gains and losses on MSR, less the sum of the realization of MSR cash flows which incorporates actual prepayments, servicing income and servicing expenses, and price changes. Price changes are measured daily based on the assumption that spreads, interest rates and volatility factored into the previous day ending fair value are unchanged.

(3)TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements.

(4)Futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver note or bond using short-term repurchase agreements.

(5)Income Excluding Market-Driven Value Changes is a non-GAAP measure defined as comprehensive income attributable to common stockholders, excluding market-driven value changes on the aggregate portfolio, provision for income taxes associated with market-driven value changes, nonrecurring operating expenses and gain on the repurchase and retirement of preferred stock. As defined, Income Excluding Market-Driven Value Changes includes the realization of portfolio cash flows which incorporates actual prepayments, changes in portfolio accrued interest, servicing income and servicing expenses, and price changes. Price changes are measured daily based on the assumption that spreads, interest rates and volatility factored into the previous day ending fair value are unchanged. This applies to RMBS, MSR and derivatives, as applicable, and is net of all recurring operating expenses and provision for income taxes associated with Income Excluding Market-Driven Value Changes. Income Excluding Market-Driven Value Changes provides supplemental information to assist investors in analyzing the company's results of operations and helps facilitate comparisons to industry peers. Income Excluding Market-Driven Value Changes is one of several measures the company's board of directors considers to determine the amount of dividends to declare on the company's common stock and should not be considered an indication of taxable income or as a proxy for the amount of dividends the company may declare.

## Exhibit 99.2

![](twoq42022earningscallpre001.jpg)

An Agency + MSR Mortgage REIT Fourth Quarter 2022 Earnings Call FEBRUARY 9, 2023

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![](twoq42022earningscallpre002.jpg)

Safe Harbor Statement 2 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 our Annual Report on Form 10-K for the year ended December 31, 2021, 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: the state of credit markets and general economic conditions; changes in interest rates and the market value of our assets; changes in prepayment rates of mortgages underlying our target assets; the rates of default or decreased recovery on the mortgages underlying our target assets; declines in home prices; our ability to establish, adjust and maintain appropriate hedges for the risks in our portfolio; the availability and cost of our target assets; the availability and cost of financing; changes in the competitive landscape within our industry; our ability to effectively execute and to realize the benefits of strategic transactions and initiatives we have pursued or may in the future pursue; our ability to recognize the benefits of our pending acquisition of RoundPoint Mortgage Servicing Corporation; our ability to recognize the benefits of our pending acquisition of RoundPoint Mortgage Servicing Corporation; our decision to terminate our management agreement with PRCM Advisers LLC and the ongoing litigation related to such termination; our ability to manage various operational risks and costs associated with our business; interruptions in or impairments to our communications and information technology systems; our ability to acquire mortgage servicing rights (MSR) and successfully operate our seller-servicer subsidiary and oversee our subservicers; the impact of any deficiencies in the servicing or foreclosure practices of third parties and related delays in the foreclosure process; our exposure to legal and regulatory claims; legislative and regulatory actions affecting our business; the impact of new or modified government mortgage refinance or principal reduction programs; our ability to maintain our REIT qualification; and limitations imposed on our business due to our REIT status and our exempt status under the Investment Company Act of 1940. 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 company's independent auditors.

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Financials Overview 3 Book Value $17.72 Common Stock Dividend $0.60 Economic Return on Book Value(2) 11.6% Comprehensive Income $1.85 Earnings Available for Distribution (EAD)(5) $0.26 Portfolio(1) $14.7b Quarter-end Economic Debt-to-Equity(3) 6.3x Note: Financial data throughout this presentation is as of or for the quarter ended December 31, 2022, unless otherwise noted. Per share metrics utilize basic common shares as the denominator. In accordance with generally accepted accounting principles, all common share and per common share amounts presented herein have been adjusted on a retroactive basis to reflect the one-for-four reverse stock split completed on November 1, 2022. Note: The End Notes are an integral part of this presentation. See slides 28 through 33 at the back of this presentation for information related to certain financial metrics and defined terms used herein. TIGHTENING MORTGAGE SPREADS DROVE INCREASE IN BOOK VALUE Income Excluding Market- Driven Value Changes(4) $0.73

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Key Market Highlights 4 STRONG QUARTER FOR MBS PERFORMANCE AS INFLATION FEARS MODERATE • Interest rate expectations have leveled off; market anticipates Fed Funds Rate of approximately 5% in mid-2023 • Mortgage spreads remain volatile; in Q4-2022 nominal spreads tightened 30 basis points • Option-adjusted spreads (OAS) are less compelling having tightened to long-term averages as volatility remains high • Expect rate volatility to moderate in 2023, which could result in tighter spreads and a positive tailwind to book value I. RMBS PERFORMANCE REMAINS VOLATILE(1) II. RMBS SPREADS PEAKED IN OCTOBER THEN TIGHTENED(2) III. HIGHER COUPONS HAVE WIDER SPREADS(3)

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Book Value Summary ($ millions, except per share data) Q4-2022 Book Value Q4-2022 Book Value per share YTD-2022 Book Value YTD-2022 Book Value per share Beginning common stockholders' equity $1,418.2 $16.42 $2,017.7 $23.47 Earnings Available for Distribution, net of tax(1) 34.6 268.0 Dividend declaration - preferred (12.4) (53.6) Earnings Available for Distribution to common stockholders, net of tax(1) 22.2 214.4 Realized and unrealized gains and losses, net of tax (304.8) (47.8) Other comprehensive income (loss), net of tax 422.7 (465.0) Gain on repurchase and retirement of preferred stock 20.1 20.1 Comprehensive income (loss) 160.2 (278.3) Common stock dividends declared (52.1) (228.9) Other 1.7 11.7 Repurchase and retirement of preferred stock 2.4 2.4 Issuance of common stock, net of offering costs 0.8 6.6 Ending common stockholders' equity $1,531.2 $17.72 $1,531.2 $17.72 Total preferred stock liquidation preference 652.3 652.3 Ending total equity $2,183.5 $2,183.5 5 • Book value of $17.72 per common share, resulting in an 11.6% quarterly economic return on book value(2) ◦ Quarterly performance driven primarily by mortgage spread tightening • Generated Comprehensive Income of $160.2 million, or $1.85 per weighted average common share • Repurchased 2,957,950 shares of preferred stock, contributing approximately $0.26 to common book value and lowering the ratio of preferred stock to total equity(3)

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Results and Return Contributions 6 ($ in thousands) GAAP Net Income (Loss) Other Comprehensive Income Total Comprehensive Income Market-Driven Value Changes and Nonrecurring Operating Expenses Income Excluding Market-Driven Value Changes(1) RMBS(2) RMBS (loss) income $(263,686) $422,672 $158,986 $62,660 $96,326 RMBS funding expense (73,797) (73,797) — (73,797) MSR MSR income 71,569 71,569 (12,989) 84,558 MSR funding expense (36,938) (36,938) — (36,938) Derivatives and other Swaps and swaptions — — — — TBAs 48,233 48,233 32,040 16,193 Futures 5,016 5,016 11,001 (5,985) Interest on cash, reverse repurchase agreements and other 15,703 15,703 — 15,703 Expenses Operating expenses (22,951) (22,951) (10,836) (12,115) Tax expense (8,480) (8,480) (4,498) (3,982) (Losses) earnings before convertible debt interest expense (265,331) 422,672 157,341 77,378 79,963 Convertible debt interest expense (4,892) (4,892) — (4,892) (Losses) earnings attributable to Two Harbors (270,223) 422,672 152,449 77,378 75,071 Dividends on preferred stock (12,365) (12,365) — (12,365) Gain on repurchase and retirement of preferred stock 20,149 20,149 20,149 — (Losses) earnings attributable to common stockholders $(262,439) $422,672 $160,233 $97,527 $62,706 Annualized return on common equity 16.7 % Quarterly return per weighted average basic common share $0.73

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($ millions, except per share data) Q4-2022 Q3-2022 Variance Interest income $99.3 $94.4 $4.9 Interest expense 115.6 83.4 (32.2) Net interest (expense) income (16.3) 11.0 (27.3) Servicing income 160.9 148.8 12.1 MSR amortization(1) (83.2) (75.6) (7.6) Interest spread income on interest rate swaps — 0.2 (0.2) TBA dollar roll income(2) 16.2 37.8 (21.6) U.S. Treasury futures income(3) (6.4) (16.6) 10.2 Other derivatives income 0.1 0.2 (0.1) Total other income 87.6 94.8 (7.2) Servicing expenses 24.6 22.2 (2.4) Operating expenses 10.4 13.4 3.0 Total expenses 35.0 35.6 0.6 Provision for income taxes 1.7 1.3 (0.4) Earnings Available for Distribution(4) $34.6 $68.9 $(34.3) Dividends on preferred stock (12.4) (13.7) (1.3) Earnings Available for Distribution available to common stockholders $22.2 $55.2 $(33.0) Earnings Available for Distribution per weighted average basic common share $0.26 $0.64 Earnings Available for Disribution annualized return on average common equity 5.9 % 13.0 % Operating expenses, excluding non-cash LTIP amortization and nonrecurring expenses, as a percentage of average equity 1.9 % 2.2 % Earnings Available for Distribution 7 • Fourth quarter EAD reflects: ◦ Increased interest income due to higher rates on cash, partly offset by decreased RMBS portfolio size ◦ Increased interest expense on higher financing rates and higher average borrowing balances on MSR, partly offset by lower average borrowing balances on RMBS ◦ Increased net servicing revenue on higher MSR float income, partly offset by increased amortization due to EAD calculation based on original pricing yield ◦ Decreased TBA dollar roll income reflecting a decline in notional balances and lower price drop ◦ Spread compression between cost to deliver and implied repo for U.S. Treasury futures ◦ Increased servicing expense due to deboarding costs associated with portfolio transfers to RoundPoint Mortgage Servicing Corporation • EAD is expected to moderate over the next several quarters and may continue to diverge from expected ongoing earnings power(5) ◦ EAD for assets utilizes concepts of amortized cost and yield-to-maturity at purchase, as opposed to market value and expected return, and are therefore slower to respond to rate and spread changes ◦ Financing costs are quick to react to changes in rates; a majority of debt is floating rate and short-term ◦ EAD may not reflect total return of hedging derivatives, and impacts to EAD differ depending on the instrument utilized

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Portfolio Yields and Financing Costs 8 • Portfolio yield increased 31 bps to 4.92% primarily due to sales of lower coupon available-for-sale securities (AFS) with high unamortized premium, purchases of higher coupon AFS with lower unamortized premium, lower CPR experienced on AFS and higher proportion of total portfolio amortized cost invested in higher yielding assets • Net spread narrowed by 80 bps due to higher rates on financing ($ thousands) Q4-2022 Q3-2022 Portfolio Asset Type Average Amortized Cost Income(1) Average Yield Average Amortized Cost Income(1) Average Yield Available-for-sale securities $8,118,269 $83,712 4.12% $9,323,193 $88,472 3.80% Mortgage servicing rights(2) 1,921,462 53,222 11.08% 1,925,372 51,159 10.63% Agency derivatives(3) 21,463 74 1.38 % 26,096 153 2.35 % TBAs(4) 4,066,675 36,852 3.62 % 5,762,726 56,776 3.94 % Total portfolio $14,127,869 $173,860 4.92 % $17,037,387 $196,560 4.61 % Financing Collateral Type Average Outstanding Balance Expense(5) Average Cost Average Outstanding Balance Expense(5) Average Cost Available-for-sale securities $7,664,204 $68,627 3.58% $8,951,012 $51,769 2.31% Mortgage servicing rights and advances 1,917,069 36,938 7.71 % 1,718,842 26,579 6.19 % Agency derivatives(3) 14,618 155 4.24 % 21,601 125 2.31 % Other - unsecured(6) 282,363 4,892 6.93 % 281,961 4,877 6.92 % Interest rate swaps(7) — — % (178) — % U.S. Treasury futures(8) 6,408 0.18 % 16,643 0.40 % TBAs(4) 4,066,675 20,659 2.03 % 5,762,726 18,944 1.31 % Total financing $13,944,929 $137,679 3.95 % $16,736,142 $118,759 2.84 % Net Spread 0.97 % 1.77 %

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• $1.4 billion of outstanding borrowings under bilateral MSR asset financing facilities • $400 million of outstanding 5-year MSR term notes(2) • $402 million of unused, uncommitted MSR asset financing capacity • $294 million of unused, committed MSR asset financing capacity • $24 million outstanding borrowings and $176 million of unused, committed capacity for servicing advance receivables Strong Balance Sheet and Liquidity Position 9 MORTGAGE SERVICING RIGHTS AGENCY RMBSBALANCE SHEET AS OF DECEMBER 31, 2022 • $8.2 billion of outstanding repurchase agreements with 20 counterparties • Weighted average days to maturity of 48 days Av er ag e R ep o R at e - S O FR (b ps) 3-month 6-month Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 0.00 25.00 50.00 2019 2020 2021 2022 (1) Agency RMBS $7.7 billion MSR $3.0 billion Cash & cash equivalents $0.7 billion Restricted cash $0.4 billion All other assets $1.7 billion Agency repurchase agreements $8.2 billion MSR financing $1.8 billion All other liabilities $1.0 billion Preferred equity $0.7 billion Common equity $1.5 billion Convertible debt $0.3 billion

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Quarterly Activity and Portfolio Composition 10 At December 31, 2022, $14.7 billion portfolio Includes $10.8 billion settled positions PORTFOLIO COMPOSITION(1) LEVERAGE M ar ke t V al ue E qu iv al en ts ($ b ill io ns) E conom ic D ebt-To-E quity 7.0 8.7 9.4 7.7 4.7 6.4 4.1 3.9 3.1 3.2 3.0 3.0 5.2x 6.9x 7.5x 6.3x Agency Net TBA Position MSR Other Economic Debt-to-Equity 3/31/22 6/30/22 9/30/22 12/31/22 0 5 10 15 20 25 30 0.0x 2.0x 4.0x 6.0x 8.0x (2) (2) (4) • Mortgage spread tightening resulted in lower portfolio leverage: shifted from "overweight" to a more "neutral" position ◦ Quarter-end economic debt-to-equity declined to 6.3x from 7.5x due to an increase in book value concurrent with a decline in our Agency RMBS and TBA position(2) ◦ Average economic debt-to-equity of 6.5x in the fourth quarter, compared to 6.8x in the third quarter(2) • Reduced RMBS specified pool exposure by $1.8 billion(3) and TBAs by $0.2 billion(4) ◦ Decreased balances partially attributed to the repurchase of 2.96 million shares of preferred stock(5) ◦ Continued to rotate up-in-coupon in specified pools, with net additions to exposure in 4.5-6% coupons versus 3.5-4% coupons ◦ Added long position in TBA 5% and 6% coupons to capture attractive relative value opportunity • Settled $2.7 billion UPB in MSR recapture and flow sale purchases PORTFOLIO ACTIVITY 0.1 14.70.1 16.6 14.8 18.4 0.1

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Loan Balance, 49.1% Geography, 34.6% Investor, 7.9% Other, 8.4% II. RMBS QUARTERLY PERFORMANCE Coupon T ic ks (3 2n ds) 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5 6 0 10 20 30 40 50 60 70 C PR % Specified Pools I. SPECIFIED POOL PORTFOLIO(1) 11 III. SPECIFIED POOL PREPAYMENT SPEEDS TWO Specified Pools(3)TBAs(2) TWO Specified Pools (Q4-2022)TBAs (Q4-2022)(5) TBAs (Q3-2022)(5) TWO Specified Pools (Q3-2022) Market Value(4) ($ billions) $— $— $— $1.4 $3.0 $2.4 $0.4 Coupon QUARTERLY HIGHLIGHTS • Mortgages reversed much of the widening experienced during the third and early part of the fourth quarter ◦ Majority of portfolio allocated to 4.0% to 5.0% coupon specified pools, which were the best performers on the stack • Specified pools outperformed TBA by 10 to 20 ticks ◦ Worsening TBA deliverable due to high conforming loan limits improved relative value ◦ Longer spread durations in specified pools benefited payups as spreads tightened • Weighted average specified pool portfolio speeds declined 35.2%, to 5.9% in the fourth quarter, from 9.1% in the third quarter 5 .5 + , 5 .2 % 4. 0, 1 0. 4% 4.5, 14.9% 5.0, 23.2% 4 .0 , 6 .0 %4.5, 20.8% 5.0, 7.8% 4.0, 2.2% 4.5, 4.0%

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• $166 billion UPB of conventional MSR offered in the fourth quarter, bringing the 2022 full year total to just over $600 billion, a record annual amount • Flow channel purchases and recaptured MSR of $2.7 billion offset much of the portfolio runoff experienced during the quarter • MSR price multiple stable at 5.5x • MSR speeds declined by 33.3%, to 4.6% from 6.9% in the third quarter • Executed three MSR transfers totaling approximately 133,000 loans from our subservicing network to RoundPoint Mortgage Servicing Corporation Mortgage Servicing Rights 12 III. 30-YEAR MSR PREPAYMENT SPEEDS 12/31/2022 9/30/2022 Fair value ($ millions) $2,985 $3,022 Price multiple 5.5x 5.5x UPB ($ millions) $206,143 $208,229 Gross coupon rate 3.27 % 3.24 % Current loan size ($ thousands) $334 $336 Original FICO(2) 760 760 Original Loan-to-Value (LTV) 72 % 72 % 60+ day delinquencies 0.7 % 0.7 % Net servicing fee (bps) 26.5 26.4 Loan age (months) 33 30 3-month CPR 4.6 % 6.9 % I. MSR PORTFOLIO CHARACTERISTICS(1) TWO MSR (Q4-2022)TBAs (Q4-2022)(4) TBAs (Q3-2022)(4) TWO MSR (Q3-2022) UPB(1) ($ billions) $89.7 $35.6 $25.8 $14.0 $7.4 $4.0 $2.6 $0.9 $0.5 Coupon QUARTERLY HIGHLIGHTS II. MSR PORTFOLIO(3) 200k max 3% 175k max 4% LTV 5% 125k max 1% 225k max 4% FIC O 5% Investor 3 % 150k max 3% FL 6% TX 7 % NY 2% Generic 54% 30 Y, (3 ,4 ] 30Y, (4,5] 15Y, (2,3] 30Y, <=3.0 30Y, (5+] 85 max 1%110k max 2% 1 5 Y, 3 + 1 5 Y, < = 2

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Return Potential and Outlook HISTORICALLY WIDE MORTGAGE SPREADS OFFER ATTRACTIVE OPPORTUNITIES BUT RISKS REMAIN PROSPECTIVE MARKET RETURNS • Market return estimates reflect static assumptions using quarter-end spreads and market data • Both hedged MSR and RMBS offer gross return potential in the mid-teens PROSPECTIVE MARKET RETURNS As of December 31, 2022 INVESTED CAPITAL ALLOCATED(1) PORTFOLIO MARKET VALUE ($ millions) STATIC MARKET RETURN ESTIMATE(2) RMBS + MSR MSR 2,985 TBA(3) 1,867 Hedged MSR 53% 4,852 14% - 16% RMBS + RATES Pools 7,273 TBA(3) 2,042 Other Securities 549 Hedged Securities 47% 9,864 14% - 15% PROSPECTIVE TWO HARBORS RETURNS As of December 31, 2022 INVESTED CAPITAL ($ millions) STATIC TWO HARBORS RETURN ESTIMATE(4) Total Portfolio Before Expenses 13.9% - 15.3% Operating and Tax Expenses(5) (3.2)% - (3.2)% Total Portfolio After Expenses 10.7% - 12.1% INVESTED CAPITAL Convertible Notes 288 6.2% Preferred Equity 652 7.6% Common Equity 1,531 12.9 % - 15.1% PROSPECTIVE QUARTERLY STATIC RETURN PER BASIC COMMON SHARE(6): $0.57 - $0.67 Note: This slide presents estimates for illustrative purposes only, using Two Harbors' base case assumptions (e.g., spreads, prepayment speeds, financing costs and expenses), and does not contemplate market-driven value changes, active portfolio management, nonrecurring expenses or future impacts from the acquisition of RoundPoint. Actual results may differ materially. 13 PROSPECTIVE TWO HARBORS RETURNS • After including the effects of expenses, convertible notes and preferred equity, our prospective static return estimates are 12.9% - 15.1% on common equity • Changes in market prices can cause realized returns to differ from these static estimates, sometimes meaningfully

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Appendix 14

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Effective Coupon Positioning Coupon (%) TBA Market Price(1) TBA Notional ($m) Specified Pools Par Value ($m)(2) MSR/Agency IO UPB ($m)(3) Combined ($m) 2.0% $81.78 $(600) $— $— $(600) 2.5% $84.97 $— $— $— $— 3.0% $88.04 $— $— $— $— 3.5% $91.10 $— $— $— $— 4.0% $94.03 $(400) $1,460 $— $1,060 4.5% $96.52 $1,188 $3,087 $— $4,275 5.0% $98.70 $2,425 $2,440 $(803) $4,062 5.5% $100.39 $641 $207 $(1,085) $(237) 6.0% $101.64 $572 $195 $— $767 Total $3,826 $7,389 $(1,888) $9,327 15

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Note: Sensitivity data as of December 31, 2022. The above scenarios are provided for illustration purposes only and is not necessarily indicative of Two Harbors' financial condition and operating results, nor are they necessarily indicative of the financial condition or results of operations that may be expected for any future period or date. Risk Positioning 16 BOOK VALUE EXPOSURE TO CHANGES IN RATES % Change in Common Book Value 2-Year Rate (basis points) 10-Year Rate (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Other(2) Combined -25 0 Bull Steepener(3) 3.3 % 0.5 % (3.9) % (0.1) % 0 -25 Bull Flattener(4) 5.0 % (2.2) % (3.8) % (1.0) % -25 -25 Parallel Shift(5) 8.3 % (1.7) % (7.7) % (1.1) % 0 0 Base — % — % — % — % +25 +25 Parallel Shift(5) (8.9) % 1.4 % 7.6 % 0.1 % +25 0 Bear Flattener(3) (3.2) % (0.2) % 3.8 % 0.4 % 0 +25 Bear Steepener(4) (5.7) % 1.5 % 3.8 % (0.4) % BOOK VALUE EXPOSURE TO CURRENT COUPON SPREAD(6) % Change in Common Book Value Parallel Shift in Spreads (basis points) Agency P&I RMBS/TBA MSR/Agency IO RMBS(1) Combined -25 6.9 % (1.4) % 5.5 % 0 — % — % — % +25 (7.4) % 1.2 % (6.2) %

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$(128.6) $(60.3) $(90.4) $(287.8) $160.2 Comprehensive Income ($ in millions) Q4-2021 Q1-2022 Q2-2022 Q3-2022 Q4-2022 $-300 $-150 $0 $150 $300 $23.47 $22.12 $20.41 $16.42 $17.72 $0.68 $0.68 $0.68 $0.68 $0.60 Book Value ($) Dividend Declared ($) Q4-2021 Q1-2022 Q2-2022 Q3-2022 Q4-2022 $5.00 $10.00 $15.00 $20.00 $25.00 $30.00 DIVIDEND YIELD(2) Financial Performance 17 COMPREHENSIVE (LOSS) INCOME QUARTERLY ECONOMIC RETURN ON BOOK VALUE(1) BOOK VALUE AND DIVIDEND PER COMMON SHARE(2) (5.7)% (2.9)% (4.7)% (16.2)% 11.6% Quarterly Return on Book Value Q4-2021 Q1-2022 Q2-2022 Q3-2022 Q4-2022 -20% -10% 0% 10% 20% 11.8% 12.3% 13.7% 20.5% 15.2% Dividend Yield Q4-2021 Q1-2022 Q2-2022 Q3-2022 Q4-2022 5% 10% 15% 20% 25%

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Q4-2022 Operating Performance Q4-2022 ($ millions, except for per common share data) Earnings Available for Distribution(1) Realized Gains (Losses) Unrealized MTM Total Interest income $99.3 $— $— $99.3 Interest expense 115.6 — — 115.6 Net interest income (16.3) — — (16.3) Loss on investment securities — (341.0) (6.4) (347.4) Servicing income 160.9 — — 160.9 (Loss) gain on servicing asset (83.2) 3.3 15.8 (64.1) Gain on interest rate swap and swaption agreements — — — — Gain (loss) on other derivative instruments 9.9 119.6 (76.2) 53.3 Other income — 0.1 — 0.1 Total other income (loss) 87.6 (218.0) (66.8) (197.2) Servicing expenses 24.6 0.7 — 25.3 Operating expenses 10.4 12.5 — 22.9 Total expenses 35.0 13.2 — 48.2 Income (loss) before income taxes 36.3 (231.2) (66.8) (261.7) Provision for (benefit from) income taxes 1.7 (2.6) 9.4 8.5 Net income (loss) 34.6 (228.6) (76.2) (270.2) Dividends on preferred stock (12.4) — — (12.4) Gain on repurchase and retirement of preferred stock — 20.1 — 20.1 Net income (loss) attributable to common stockholders $22.2 $(208.5) $(76.2) $(262.5) Earnings (loss) per weighted average basic common share $0.26 $(2.42) $(0.88) $(3.04) 18

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Q3-2022 Operating Performance 19 Q3-2022 ($ millions, except for per common share data) Earnings Available for Distribution(1) Realized Gains (Losses) Unrealized MTM Total Interest income $94.4 $— $— $94.4 Interest expense 83.4 — — 83.4 Net interest income 11.0 — — 11.0 Gain (loss) on investment securities — 16.9 (23.3) (6.4) Servicing income 148.8 — — 148.8 (Loss) gain on servicing asset (75.6) 76.8 (8.0) (6.8) Gain (loss) on interest rate swap and swaption agreements 0.2 (146.8) 181.4 34.8 Gain (loss) on other derivative instruments 21.4 194.4 (56.7) 159.1 Other income — — — — Total other income 94.8 141.3 93.4 329.5 Servicing expenses 22.2 (1.1) — 21.1 Operating expenses 13.4 7.4 — 20.8 Total expenses 35.6 6.3 — 41.9 Income before income taxes 70.2 135.0 93.4 298.6 Provision for income taxes 1.3 4.0 15.7 21.0 Net income 68.9 131.0 77.7 277.6 Dividends on preferred stock (13.7) — — (13.7) Net income attributable to common stockholders $55.2 $131.0 $77.7 $263.9 Earnings per weighted average basic common share $0.64 $1.50 $0.90 $3.04

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GAAP to EAD Reconciliation Reconciliation of GAAP to non-GAAP Information Three Months Ended Three Months Ended ($ thousands, except for per common share data) December 31, 2022 September 30, 2022 Comprehensive income (loss) attributable to common stockholders $160,233 $(287,808) Adjustment for other comprehensive (income) loss attributable to common stockholders: Unrealized (gain) loss on available-for-sale securities (422,672) 551,673 Net (loss) income attributable to common stockholders $(262,439) $263,865 Adjustments to exclude reported realized and unrealized (gains) losses: Realized loss (gain) on securities 341,316 (18,265) Unrealized loss on securities 6,453 23,294 (Reversal of) provision for credit losses (318) 1,397 Realized and unrealized loss on mortgage servicing rights 64,084 6,720 Realized loss on termination or expiration of interest rate swaps and swaptions — 146,750 Unrealized gain on interest rate swaps and swaptions — (181,378) Realized and unrealized gain on other derivative instruments (53,226) (158,891) Gain on repurchase and retirement of preferred stock (20,149) — Other realized and unrealized gains (112) — Other adjustments: MSR amortization(1) (83,190) (75,585) TBA dollar roll income(2) 16,193 37,832 U.S. Treasury futures income(3) (6,408) (16,643) Change in servicing reserves 713 (1,005) Non-cash equity compensation expense 1,653 2,355 Other nonrecurring expenses 10,836 5,029 Net provision for income taxes on non-Core Earnings 6,803 19,698 Earnings available for distribution to common stockholders $22,209 $55,173 Weighted average basic common shares 86,391,405 86,252,104 Earnings available for distribution to common stockholders per weighted average basic common share $0.26 $0.64 20 Note: Earnings Available for Distribution, or EAD, is a non-GAAP measure that we define as comprehensive income (loss) attributable to common stockholders, excluding realized and unrealized gains and losses on the aggregate portfolio, gains and losses on repurchases of preferred stock, provision for (reversal of) credit losses, reserve expense for representation and warranty obligations on MSR, non-cash compensation expense related to restricted common stock, and other nonrecurring expenses. As defined, EAD includes net interest income, accrual and settlement of interest on derivatives, dollar roll income on TBAs, U.S. Treasury futures income, servicing income, net of estimated amortization on MSR and recurring cash related operating expenses. EAD provides supplemental information to assist investors in analyzing the Company's results of operations and helps facilitate comparisons to industry peers. EAD is one of several measures our board of directors considers to determine the amount of dividends to declare on our common stock and should not be considered an indication of our taxable income or as a proxy for the amount of dividends we may declare.

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GAAP to Income Excluding Market-Driven Value Changes Reconciliation Reconciliation of GAAP to non-GAAP Information Three Months Ended ($ thousands, except for per common share data) December 31, 2022 Comprehensive income (loss) attributable to common stockholders $160,233 Adjustments to exclude market-driven value changes and nonrecurring operating expenses: RMBS market-driven value changes(1) (62,660) MSR market-driven value changes(2) 12,989 Realized and unrealized gains on TBAs, excluding TBA dollar roll income(3) (32,040) Realized and unrealized gains on futures, excluding futures income(4) (11,001) Other nonrecurring expenses 10,836 Gain on repurchase and retirement of preferred stock (20,149) Net provision for income taxes associated with market-driven value changes 4,498 Income Excluding Market-Driven Value Changes $62,706 Weighted average basic common shares 86,391,405 Income Excluding Market-Driven Value Changes per weighted average basic common share $0.73 21 Note: Income Excluding Market-Driven Value Changes is a non-GAAP measure defined as total comprehensive income attributable to common stockholders, excluding market- driven value changes on the aggregate portfolio, provision for income taxes associated with market-driven value changes, nonrecurring operating expenses and gain on the repurchase and retirement of preferred stock. As defined, Income Excluding Market-Driven Value Changes includes the realization of portfolio cash flows which incorporates actual prepayments, changes in portfolio accrued interest, servicing income and servicing expenses, and price changes. Price changes are measured daily based on the assumption that spreads, interest rates and volatility factored into the previous day ending fair value are unchanged. This applies to RMBS, MSR and derivatives, as applicable, and is net of all recurring operating expenses and provision for income taxes associated with Income Excluding Market-Driven Value Changes. Income Excluding Market-Driven Value Changes provides supplemental information to assist investors in analyzing the company's results of operations and helps facilitate comparisons to industry peers. Income Excluding Market-Driven Value Changes is one of several measures the company's board of directors considers to determine the amount of dividends to declare on the company's common stock and should not be considered an indication of taxable income or as a proxy for the amount of dividends the company may declare.

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Agency RMBS Portfolio 22 Par Value ($ millions) Market Value ($ millions) Weighted Average CPR(1) % Prepay Protected(2) Amortized Cost Basis ($ millions) Gross Weighted Average Coupon Weighted Average Age (Months) 30-Year Fixed 4.0% 1,460 1,382 3.9 % 100.0 % 1,474 4.6 % 20 4.5% 3,087 3,006 5.9 % 100.0 % 3,153 5.2 % 25 5.0% 2,440 2,431 6.5 % 100.0 % 2,506 5.7 % 10 ≥ 5.5% 412 420 3.9 % 98.8 % 424 6.5 % 36 7,399 7,239 5.6 % 99.9 % 7,557 5.3 % 19 Other P&I(3) 383 379 1.3 % 88.5 % 380 5.4 % 30 IOs and IIOs(4) 1,160 51 8.2 % — % 67 5.5 % 165 Total Agency RMBS $8,942 $7,669 98.7 % $8,004 Notional Amount ($ millions) Bond Equivalent Value ($ millions)(5) Through-the-Box Speeds(6) TBA Positions 2.5% & below $(600) $(492) 2.7 % 3.0% — — 2.2 % 3.5% — — 2.4 % 4.0% (400) (376) 1.9 % 4.5% 1,188 1,149 3.2 % 5.0% 2,425 2,394 3.8 % ≥ 5.5% 1,213 1,225 9.0 % Net TBA Position $3,826 $3,900

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Mortgage Servicing Rights Portfolio(1) 23 Number of Loans Unpaid Principal Balance ($ millions) Gross Coupon Rate Current Loan Size ($ thousands) Loan Age (months) Original FICO(2) Original LTV 60+ Day Delinquencies 3-Month CPR Net Servicing Fee (bps) 30-Year Fixed < 3.25% 299,221 $96,929 2.8% $382 23 768 71% 0.4% 3.3% 25.8 3.25% - 3.75% 140,499 36,531 3.4% 327 38 754 74% 0.8% 5.0% 26.3 3.75% - 4.25% 108,214 22,603 3.9 % 272 61 751 76 % 1.3 % 6.3 % 27.3 4.25% - 4.75% 60,343 10,753 4.4 % 249 63 736 77 % 2.4 % 7.8 % 26.4 4.75% - 5.25% 31,694 5,736 4.9 % 285 44 732 79 % 2.9 % 7.0 % 28.2 > 5.25% 31,046 7,270 5.9 % 343 15 736 81 % 1.4 % 6.4 % 33.5 671,017 179,822 3.4 % 344 34 758 73 % 0.8 % 4.5 % 26.5 15-Year Fixed < 2.25% 23,157 6,522 2.0 % 330 20 777 59 % 0.1 % 3.0 % 25.2 2.25% - 2.75% 38,830 8,782 2.4 % 277 24 772 59 % 0.2 % 4.2 % 25.9 2.75% - 3.25% 36,300 5,297 2.9 % 202 53 766 61 % 0.3 % 6.6 % 26.2 3.25% - 3.75% 21,402 2,307 3.4 % 159 65 757 64 % 0.6 % 8.3 % 26.9 3.75% - 4.25% 10,044 910 3.9 % 146 61 742 65 % 0.8 % 9.0 % 28.6 > 4.25% 5,648 575 4.7 % 193 34 734 66 % 1.3 % 10.0 % 33.5 135,381 24,393 2.6 % 257 35 769 60 % 0.3 % 5.1 % 26.2 Total ARMs 2,627 662 3.6 % 330 56 761 68 % 1.0 % 13.6 % 25.5 Total Portfolio 809,025 $204,877 3.3 % $334 34 760 72 % 0.8 % 4.6 % 26.5

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Mortgage Servicing Rights UPB Roll-Forward 24 $ millions Q4-2022 Q3-2022 Q2-2022 Q1-2022 Q4-2021 UPB at beginning of period $206,614 $227,074 $229,416 $193,771 $194,394 Bulk purchases of mortgage servicing rights — — — 37,197 3,214 Flow purchases of mortgage servicing rights 2,678 4,449 5,720 7,940 10,349 Sales of mortgage servicing rights — (19,807) — — 9 Scheduled payments (1,538) (1,565) (1,697) (1,573) (1,442) Prepaid (2,440) (3,709) (6,027) (8,250) (11,967) Other changes (437) 172 (338) 331 (786) UPB at end of period $204,877 $206,614 $227,074 $229,416 $193,771

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Financing 25 $ millions Outstanding Borrowings and Maturities(1) Repurchase Agreements Revolving Credit Facilities Term Notes Payable Convertible Notes Total Outstanding Borrowings Percent (%) Within 30 days $2,691.2 $— $— $— $2,691.2 25.9 % 30 to 59 days 2,160.7 — — — 2,160.7 20.8 % 60 to 89 days 2,536.6 — — — 2,536.6 24.4 % 90 to 119 days 905.5 — — — 905.5 8.7 % 120 to 364 days 309.0 200.0 — — 509.0 4.9 % One to three years — 918.8 398.0 — 1,316.8 12.6 % Three to five years — — — 282.5 282.5 2.7 % $8,603.0 $1,118.8 $398.0 $282.5 $10,402.3 100.0 % Collateral Pledged for Borrowings Repurchase Agreements(2) Revolving Credit Facilities(2) Term Notes Payable Convertible Notes Total Collateral Pledged Percent (%) Available-for-sale securities, at fair value $7,427.0 $— $— n/a $7,427.0 63.5 % Mortgage servicing rights, at fair value 667.2 1,790.8 500.0 n/a 2,958.0 25.3 % Restricted cash 324.7 — 0.2 n/a 324.9 2.8 % Due from counterparties 22.1 — — n/a 22.1 0.2 % Derivative assets, at fair value 14.7 — — n/a 14.7 0.1 % Other assets (includes servicing advances) — 67.8 — n/a 67.8 0.6 % U.S. Treasuries(3) 877.6 — — n/a 877.6 7.5 % $9,333.3 $1,858.6 $500.2 n/a $11,692.1 100.0 %

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Type & Maturity Notional Amount ($M) Carrying Value ($M)(1) Weighted Average Days to Expiration U.S. Treasury futures - 2 year $(562) $— 95 U.S. Treasury futures - 5 year (3,856) — 95 U.S. Treasury futures - 10 year (2,397) — 90 U.S. Treasury futures - 20 year 101 — 90 Federal Funds futures - 30 day (7,949) — 92 Eurodollar futures - 3 month < 1 year (2,957) — 184 > 1 and < 2 years (666) — 489 Total futures $(18,286) $— 122 Futures 26

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Tax Characterization of Dividends in 2022 27 FULL YEAR 2022 DISTRIBUTIONS SUMMARY • Generated REIT taxable income, before dividend distributions and net operating loss deductions, of $625.7 million in 2022 • 2022 distributions for tax purposes totaled $289.1 million ◦ $289.1 million consists of distributions to common shares of $234.1 million and distributions to preferred shares of $55.0 million ◦ Q4 2021 common stock distribution payable to shareholders on January 28, 2022 with a record date of December 29, 2021 is treated as a 2022 distribution for tax purposes ◦ Q4 2022 common stock distribution payable to shareholders on January 27, 2023 with a record date of January 5, 2023 is treated as a 2023 distribution for tax purposes ◦ No convertible note deemed distributions occurred in 2022 • Utilized net operating loss carryover of $336.6 million • No carryover obligation for 2023 • 2022 common distributions are characterized for tax purposes as 100% ordinary dividends • 2022 preferred distributions are characterized for tax purposes as 100% ordinary dividends

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PAGE 3 - Financials Overview 1. Includes $10.8 billion in settled positions and $3.9 billion net TBA position, which represents the bond equivalent value of the company's TBA position. Bond equivalent value is defined as notional amount multiplied by market price. Accounted for as derivative instruments in accordance with GAAP. For additional detail on the portfolio, see slide 10 and Appendix slides 22 and 23. 2. Economic return on book value is defined as the increase (decrease) in book value per common share from the beginning to the end of the given period, plus dividends declared in the period, divided by book value as of the beginning of the period. 3. Economic debt-to-equity is defined as total borrowings to fund RMBS, MSR and Agency Derivatives, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity. Effective as of December 31, 2022, net payable (receivable) on unsettled RMBS is now included in the calculation for economic debt-to-equity. Prior period metrics have been updated to conform to the current period methodology. 4. Income Excluding Market-Driven Value Changes is a non-GAAP measure. Please Appendix slide 21 for a definition of Income Excluding Market-Driven Value Changes and a reconciliation of GAAP to non-GAAP financial information. 5. Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see Appendix slide 20 for a definition of Earnings Available for Distribution and a reconciliation of GAAP to non-GAAP financial information. PAGE 4 - Key Market Highlights 1. Represents generic MBS Index performance during the quarter. Data as of December 30, 2022. 2. Represents universal mortgage-backed securities (UMBS) TBA spreads as of the dates noted. 3. Source: J.P. Morgan DataQuery. Data as of December 30, 2022. PAGE 5 - Book Value Summary 1. Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see Appendix slide 20 for a definition of Earnings Available for Distribution and a reconciliation of GAAP to non-GAAP financial information. 2. Economic return on book value is defined as the increase (decrease) in book value per common share from the beginning to the end of the given period, plus dividends declared in the period, divided by book value as of the beginning of the period. 3. Includes 428,549 Series A, 786,846 Series B and 1,742,555 Series C preferred shares. PAGE 6 - Results and Return Contributions 1. Income Excluding Market-Driven Value Changes is a non-GAAP measure. Please Appendix slide 21 for a definition of Income Excluding Market-Driven Value Changes and a reconciliation of GAAP to non-GAAP financial information. 2. RMBS includes inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP. End Notes 28

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End Notes (continued) 29 PAGE 7 - Earnings Available for Distribution 1. MSR 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, which is deemed a non-GAAP measure due to the company's decision to account for MSR at fair value. 2. TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 3. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short-term repurchase agreements. 4. Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see Appendix slide 20 for a definition of Earnings Available for Distribution and a reconciliation of GAAP to non-GAAP financial information. 5. Agency fixed-rate RMBS use the GAAP concept of amortized cost and yield-to-maturity determined at time of purchase. Net servicing income and MSR amortization is based on original pricing yield and does not include the benefit of increased float income and lower compensating interest. Financing costs are largely variable and short-term, responding more quickly to rising rates than our longer term assets. U.S. Treasury futures income represents the sum of the implied net cash and expected change in price of a financed U.S. Treasury security, but excludes unexpected price change. PAGE 8 - Portfolio Yields and Financing Costs 1. Includes interest income, net of premium amortization/discount accretion, on available-for-sale securities and Agency Derivatives, servicing income, net of estimated amortization and servicing expenses, on MSR, and the implied asset yield portion of dollar roll income on TBAs. Amortization on MSR refers to the portion of change in fair value of MSR primarily attributed to the realization of expected cash flows (runoff) of the portfolio, which is deemed a non-GAAP measure due to the company's decision to account for MSR at fair value. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 2. Amortized cost on MSR for a given period equals the net present value of the remaining future cash flows (obtained by applying original prepayment assumptions to the actual unpaid principal balance at the start of the period) using a discount rate equal to the original pricing yield. Original pricing yield is the discount rate which makes the net present value of the cash flows projected at purchase equal to the purchase price. MSR amortized cost is deemed a non-GAAP measure due to the company's decision to account for MSR at fair value. 3. Represents inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP. 4. Both the implied asset yield and implied financing benefit/cost of dollar roll income on TBAs are calculated using the average cost basis of TBAs as the denominator. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. TBAs are accounted for as derivative instruments in accordance with GAAP. 5. Includes interest expense and amortization of deferred debt issuance costs on borrowings under repurchase agreements (excluding those collateralized by U.S. Treasuries), revolving credit facilities, term notes payable and convertible senior notes, interest spread income/expense and amortization of upfront payments made or received upon entering into interest rate swap agreements, and the implied financing benefit/cost portion of dollar roll income on TBAs. TBA dollar roll income is the non-GAAP economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. PAGE 9 - Strong Balance Sheet and Liquidity Position 1. Source: Bloomberg. Represents the average spread between repurchase rates and the Secured Overnight Financing Rate (SOFR) over trailing 3-month and 6- month periods between Q1 2019 and Q4 2022 (as of December 31, 2022). 2. Balance of 5-year MSR term notes excludes deferred debt issuance costs.

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End Notes (continued) 30 PAGE 10 - Quarterly Activity and Portfolio Composition 1. For additional detail on the portfolio, see Appendix slides 22 and 23. 2. Economic debt-to-equity is defined as total borrowings to fund RMBS, MSR and Agency Derivatives, plus the implied debt on net TBA cost basis and net payable (receivable) for unsettled RMBS, divided by total equity. Effective as of December 31, 2022, net payable (receivable) on unsettled RMBS is now included in the calculation for economic debt-to-equity. Prior period metrics have been updated to conform to the current period methodology. 3. Specified pools include securities with implicit or explicit prepayment protection including lower loan balances (securities collateralized by loans less than or equal to $200K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank- serviced and others. 4. Net TBA position represents the bond equivalent value of the company's TBA position. Bond equivalent value is defined as notional amount multiplied by market price. Accounted for as derivative instruments in accordance with GAAP. 5. Includes 428,549 Series A, 786,846 Series B and 1,742,555 Series C preferred shares. PAGE 11 - Specified Pools 1. Specified pools include securities with implicit or explicit prepayment protection including lower loan balances (securities collateralized by loans less than or equal to $200K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank- serviced and others. 2. Represents UMBS generic TBA performance during the quarter. 3. Specified pool performance excludes certain coupons in which we were not invested for the full duration of the quarter. 4. Specified pool market value by coupon as of December 31, 2022. 5. Three month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Credit Suisse, and Citi data. PAGE 12 - Mortgage Servicing Rights 1. MSR portfolio based on the loans underlying the MSR reported by subservicers on a month lag, adjusted for current month purchases. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry accepted credit score of a borrower. 3. MSR portfolio based on the loans underlying the MSR reported by subservicers on a month lag, adjusted for current month purchases and excluding unsettled MSR on loans for which the company is the named servicer. 4. Three month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Credit Suisse, and Citi data.

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End Notes (continued) 31 PAGE 13 - Return Potential and Outlook 1. Capital allocated represents management's internal allocation. Certain financing balances and associated interest expenses are allocated between investments based on management's assessment of leverage ratios and required capital or liquidity to support the investment. 2. Market return estimates reflect static assumptions using quarter-end spreads and market data. 3. Net TBA position represents the bond equivalent value of the company's TBA position. Bond equivalent value is defined as notional amount multiplied by market price. Accounted for as derivative instruments in accordance with GAAP. 4. Estimated return on invested capital reflects static return assumptions using quarter end portfolio valuations. 5. Total expenses includes operating expenses and tax expense within the company's taxable REIT subsidiaries. 6. Prospective quarterly static return estimate per basic common share reflects portfolio performance expectations given current market conditions and represents the comprehensive income attributable to common stockholders (net of dividends on preferred stock). PAGE 15 - Effective Coupon Positioning 1. Represents UMBS TBA market prices as of December 30, 2022. 2. Specified pools include securities with implicit or explicit prepayment protection including lower loan balances (securities collateralized by loans less than or equal to $200K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores, as well as securities without such protection, including large bank- serviced and others. 3. MSR/Agency IO represents an internally calculated exposure of a synthetic TBA position and the current coupon equivalents of our MSR, including the effect of unsettled MSR, and Agency IO RMBS. PAGE 16 - Risk Positioning 1. MSR/Agency IO RMBS includes the effect of unsettled MSR. 2. Other includes all other derivative assets and liabilities and borrowings. Other excludes TBAs, which are included in the Agency P&I RMBS/TBA category. 3. Bull Steepener/Bear Flattener is a shift in short-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 2-year rates while holding long-term rates constant. 4. Bull Flattener/Bear Steepener is a shift in long-term rates that represents estimated change in common book value for theoretical non-parallel shifts in the yield curve. Analysis uses a +/- 25 basis point shift in 10-year rates while holding short-term rates constant. 5. Parallel shift represents estimated change in common book value for theoretical parallel shift in interest rates. 6. Book value exposure to current coupon represents estimated change in common book value for theoretical parallel shifts in spreads. PAGE 17 - Financial Performance 1. Economic return on book value is defined as the increase (decrease) in book value per common share from the beginning to the end of the given period, plus dividends declared in the period, divided by the book value as of the beginning of the period. 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 company's common stock is calculated based on the closing price of the last trading day of the relevant quarter.

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End Notes (continued) 32 PAGE 18 - Q4-2022 Operating Performance 1. Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see Appendix slide 20 for a definition of Earnings Available for Distribution and a reconciliation of GAAP to non-GAAP financial information. PAGE 19 - Q3-2022 Operating Performance 1. Earnings Available for Distribution, or EAD, is a non-GAAP measure. Please see Appendix slide 20 for a definition of Earnings Available for Distribution and a reconciliation of GAAP to non-GAAP financial information. PAGE 20 - GAAP to EAD Reconciliation 1. MSR 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, which is deemed a non-GAAP measure due to the company's decision to account for MSR at fair value. 2. TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 3. U.S. Treasury futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver U.S. Treasury note or bond using short- term repurchase agreements. PAGE 21 - GAAP to Income Excluding Market-Driven Value Changes Reconciliation 1. RMBS market-driven value changes refers to the sum of interest income, realized and unrealized gains and losses on RMBS, less the sum of the realization of RMBS cash flows which incorporates actual prepayments, changes in RMBS accrued interest, and price changes. Price changes are measured daily based on the assumption that spreads, interest rates and volatility factored into the previous day ending fair value are unchanged. RMBS includes inverse interest-only Agency RMBS which are accounted for as derivative instruments in accordance with GAAP. 2. MSR market-driven value changes refers to the sum of servicing income, servicing expenses, realized and unrealized gains and losses on MSR, less the sum of the realization of MSR cash flows which incorporates actual prepayments, servicing income and servicing expenses, and price changes. Price changes are measured daily based on the assumption that spreads, interest rates and volatility factored into the previous day ending fair value are unchanged. 3. TBA dollar roll income is the economic equivalent to holding and financing Agency RMBS using short-term repurchase agreements. 4. Futures income is the economic equivalent to holding and financing a relevant cheapest-to-deliver note or bond using short-term repurchase agreements.

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End Notes (continued) 33 PAGE 22 - Agency RMBS Portfolio 1. Weighted average actual 1 month CPR released at the beginning of the following month based on RMBS held as of the preceding month-end. 2. Determination of the percentage of prepay protected 30-year fixed Agency RMBS includes securities with implicit or explicit prepayment protection including lower loan balances (securities collateralized by loans less than or equal to $200K of initial principal balance), higher LTVs (securities collateralized by loans with greater than or equal to 80% LTV), certain geographic concentrations, loans secured by investor-owned properties, and lower FICO scores. 3. Other P&I includes 15-year fixed, Hybrid ARMs, CMO and DUS pools. 4. IOs and IIOs represent market value of $15.2 million of Agency Derivatives and $36.1 million of IOs. 5. Bond equivalent value is defined as the notional amount multiplied by market price. Accounted for as derivative instruments in accordance with GAAP. 6. Three month prepayment speeds of delivered TBA contracts; average of J.P. Morgan, Credit Suisse, and Citi data. PAGE 23 - Mortgage Servicing Rights Portfolio 1. MSR portfolio excludes residential mortgage loans for which the company is the named servicing administrator. Portfolio metrics, other than fair value and UPB, represent averages weighted by UPB. 2. FICO represents a mortgage industry accepted credit score of a borrower. PAGE 25 - Financing 1. Outstanding borrowings have a weighted average of 20.9 months to maturity. 2. Repurchase agreements and revolving credit facilities secured by MSR and/or other assets may be over-collateralized due to operational considerations. 3. U.S. Treasury securities effectively borrowed under reverse repurchase agreements. PAGE 26 - Futures 1. Exchange-traded derivative instruments (futures and options on futures) require the posting of an "initial margin" amount determined by the clearing exchange, which is generally intended to be set at a level sufficient to protect the exchange from the derivative instrument's maximum estimated single- day price movement. The company also exchanges "variation margin" based upon daily changes in fair value, as measured by the exchange. The exchange of variation margin is considered a settlement of the derivative instrument, as opposed to pledged collateral. Accordingly, the receipt or payment of variation margin is accounted for as a direct reduction to the carrying value of the exchange-traded derivative asset or liability.

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