Two Harbors is pleased to present our Conversations series, where we can delve a little deeper into topics of interest to investors. We plan to release Conversations videos on special topics in the REIT industry or specific to Two Harbors. We hope that you find these helpful and interesting. If you have any questions, please contact Investor Relations at

Meet Two Harbors Investment Corp.: an MSR + Agency REIT

Z-Spreads and
Option-Adjusted Spreads

Price Sensitivites of MBS Duration and Convexity

Hedging Partial Durations

Hedging to Mitigate Funding Rate Risk

Effects of Prepayments in an Elevated Rate Risk Environment

Cautionary Notice Regarding Forward-Looking Statements

The Conversations Series may include “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, viewers should not rely on these forward-looking statements as predictions of future events. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results.

Viewers 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 the company’s most recent filings with the Securities and Exchange Commission.