Form 425

Two Harbors

Investment Corp.

Safe Harbor Statement

THIS PRESENTATION IS BEING PRESENTED BY CAPITOL ACQUISITION CORP. (“CAPITOL” OR “CLA”), PINE RIVER CAPITAL MANAGEMENT (“PINE RIVER”) AND TWO

HARBORS INVESTMENT CORP. (“TWO HARBORS”).

NEITHER CAPITOL, TWO HARBORS NOR ANY OF ITS RESPECTIVE AFFILIATES MAKES ANY REPRESENTATION OR WARRANTY AS TO THE ACCURACY OR

COMPLETENESS OF THE INFORMATION CONTAINED IN THIS PRESENTATION. THE SOLE PURPOSE OF THIS PRESENTATION IS TO ASSIST PERSONS IN DECIDING

WHETHER THEY WISH TO PROCEED WITH A FURTHER REVIEW OF THE PROPOSED TRANSACTION DISCUSSED HEREIN AND IS NOT INTENDED TO BE ALL-INCLUSIVE

OR TO CONTAIN ALL THE INFORMATION THAT A PERSON MAY DESIRE IN CONSIDERING THE PROPOSED TRANSACTION DISCUSSED HEREIN. IT IS NOT INTENDED

TO FORM THE BASIS OF ANY INVESTMENT DECISION OR ANY OTHER DECISION IN RESPECT OF THE PROPOSED TRANSACTION.

CAPITOL HAS FILED A PROXY STATEMENT WITH THE SECURITIES AND EXCHANGE COMMISSION (“SEC”) AND TWO HARBORS HAS FILED A REGISTRATION

STATEMENT WITH THE SEC, IN EACH CASE THAT CONTAINS A PRELIMINARY PROXY STATEMENT/PROSPECTUS IN CONNECTION WITH THE PROPOSED

TRANSACTION. STOCKHOLDERS AND WARRANT HOLDERS OF CAPITOL AND OTHER INTERESTED PERSONS ARE ADVISED TO READ THE PROXY

STATEMENT/PROSPECTUS IN CONNECTION WITH CAPITOL’S SOLICITATION OF PROXIES FOR THE SPECIAL MEETINGS BECAUSE THEY CONTAIN IMPORTANT

INFORMATION, INCLUDING A DESCRIPTION OF THE SECURITY HOLDINGS OF THE CAPITOL OFFICERS AND DIRECTORS AND THEIR RESPECTIVE INTERESTS IN THE

SUCCESSFUL CONSUMMATION OF THE PROPOSED TRANSACTION. THE DEFINITIVE PROXY STATEMENT/PROSPECTUS WILL BE MAILED TO CAPITOL STOCKHOLDERS

AND WARRANT HOLDERS, AS THE CASE MAY BE, AS OF A RECORD DATE TO BE ESTABLISHED FOR VOTING ON THE PROPOSED TRANSACTION. STOCKHOLDERS AND

WARRANT HOLDERS WILL ALSO BE ABLE TO OBTAIN A COPY OF THE DEFINITIVE PROXY STATEMENT/PROSPECTUS, WITHOUT CHARGE, BY DIRECTING A REQUEST

TO: CAPITOL ACQUISITION CORP., 509 7TH STREET, N.W., WASHINGTON, D.C. 20004. FREE COPIES OF THESE DOCUMENTS, ONCE AVAILABLE, CAN ALSO BE OBTAINED,

WITHOUT CHARGE, AT THE SEC’S INTERNET SITE (HTTP://WWW.SEC.GOV).

CAPITOL, TWO HARBORS, TWO HARBORS’ EXTERNAL MANAGER AND THEIR RESPECTIVE DIRECTORS, EXECUTIVE OFFICERS, AFFILIATES AND OTHER PERSONS MAY

BE DEEMED TO BE PARTICIPANTS IN THE SOLICITATION OF PROXIES FOR THE SPECIAL MEETINGS OF CAPITOL STOCKHOLDERS AND CAPITOL WARRANT HOLDERS

TO BE HELD TO APPROVE THE PROPOSED TRANSACTION. AS PART OF THE PROPOSED TRANSACTION, AN AFFILIATE OF CAPITOL’S FOUNDERS WILL BE PROVIDING

CERTAIN SERVICES TO TWO HARBORS’ EXTERNAL MANAGER PURSUANT TO WHICH SUCH ENTITY WILL BE PAID BY TWO HARBORS’ EXTERNAL MANAGER A

PERCENTAGE OF THE MANAGEMENT FEES TO BE PAID BY TWO HARBORS. ADDITIONALLY, THE UNDERWRITERS IN CAPITOL’S IPO CONSUMMATED IN NOVEMBER

2007 MAY ASSIST CAPITOL IN THESE SOLICITATION EFFORTS. THE UNDERWRITERS ARE ENTITLED TO RECEIVE DEFERRED UNDERWRITING COMPENSATION AND

THE RIGHT TO PARTICIPATE IN FUTURE SECURITIES OFFERINGS BY TWO HARBORS UPON COMPLETION OF THE PROPOSED TRANSACTION. ADDITIONAL

INFORMATION REGARDING THE INTERESTS OF POTENTIAL PARTICIPANTS IS INCLUDED IN THE PROXY STATEMENT/PROSPECTUS AND OTHER MATERIALS FILED BY

CAPITOL AND TWO HARBORS WITH THE SEC.

THIS PRESENTATION SHALL NOT CONSTITUTE A SOLICITATION OF A PROXY, CONSENT OR AUTHORIZATION WITH RESPECT TO ANY SECURITIES OR IN RESPECT OF

THE PROPOSED TRANSACTION.

THIS PRESENTATION SHALL NOT CONSTITUTE AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY ANY SECURITIES, NOR SHALL THERE BE ANY SALE OF

SECURITIES IN ANY JURISDICTIONS IN WHICH SUCH OFFER, SOLICITATION OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER

THE SECURITIES LAWS OF ANY SUCH JURISDICTION. NO OFFERING OF SECURITIES SHALL BE MADE EXCEPT BY MEANS OF A PROSPECTUS MEETING THE

REQUIREMENTS OF SECTION 10 OF THE SECURITIES ACT OF 1933, AS AMENDED.

Two Harbors

Investment Corp.

Forward Looking Statements

THIS PRESENTATION CONTAINS FORWARD-LOOKING STATEMENTS WITHIN THE MEANING OF THE SAFE HARBOR PROVISIONS OF THE PRIVATE SECURITIES

LITIGATION REFORM ACT OF 1995. FORWARD-LOOKING STATEMENTS INVOLVE NUMEROUS RISKS AND UNCERTAINTIES. TWO HARBORS’ ACTUAL RESULTS MAY

DIFFER FROM ITS EXPECTATIONS, ESTIMATES, AND PROJECTIONS AND, CONSEQUENTLY, YOU SHOULD NOT RELY ON THESE FORWARD-LOOKING STATEMENTS AS

PREDICTIONS OF FUTURE EVENTS. FORWARD-LOOKING STATEMENTS ARE NOT HISTORICAL IN NATURE AND CAN BE IDENTIFIED BY WORDS SUCH AS

“ANTICIPATE,” “ESTIMATE,” “WILL,” “SHOULD,” “EXPECT,” “BELIEVE,” “INTEND,” “SEEK,” “PLAN,” AND SIMILAR EXPRESSIONS OR THEIR NEGATIVE FORMS, OR BY

REFERENCES TO STRATEGY, PLANS, OR INTENTIONS.

STATEMENTS REGARDING THE FOLLOWING SUBJECTS, AMONG OTHERS, ARE FORWARD-LOOKING BY THEIR NATURE: THE STATEMENTS (I) REGARDING THE

PROPOSED TERMS AND STRUCTURE OF THE PROPOSED TRANSACTION, THE TERMS OF TWO HARBORS’ SECURITIES UPON COMPLETION OF THE PROPOSED

TRANSACTION AND THE PROPOSED TERMS AND STRUCTURE OF TWO HARBORS’ MANAGEMENT AND ORGANIZATION UPON COMPLETION OF THE PROPOSED

TRANSACTION; (II) REGARDING THE ESTIMATED BOOK VALUE OF TWO HARBORS UPON CLOSING OF THE PROPOSED TRANSACTION; (III) REGARDING TWO HARBORS’

PROPOSED INVESTMENT STRATEGIES AND INVESTMENT GOALS, TARGETED INVESTMENTS AND THE OPPORTUNITIES FOR INVESTMENT; (IV) REGARDING CERTAIN

EXPECTED MARKET TRENDS, INCLUDING THE ROLE PRIVATE CAPITAL IS EXPECTED TO PLAY IN FINANCING THE RESIDENTIAL MORTGAGE MARKET, THAT THE

INCREASED SUPPORT AND INVOLVEMENT OF THE U.S. GOVERNMENT MAY OFFER POTENTIAL FOR ATTRACTIVE NON-RECOURSE FINANCING ALTERNATIVES

IMPROVING INVESTMENT RETURNS, THAT AGENCY RMBS ARE LIKELY TO REMAIN AT LOW PRICES TO LIBOR FOR SOME TIME, AND THE PROJECTED PREPAYMENT

SPEEDS OF CERTAIN ASSETS (INCLUDING THAT SOME PREPAYMENTS ARE LIKELY TO REMAIN SLOWER THAN PROJECTIONS); (V) THAT CERTAIN NON-AGENCY RMBS

ARE PRICED AT LEVELS THAT COMPENSATE FOR CREDIT RISK AND HAVE UPSIDE TO POTENTIAL GOVERNMENT PROGRAMS PROVIDING NON-RECOURSE TERM

FINANCING, AND CERTAIN AGENCY RMBS SPREADS ARE EXPECTED TO REMAIN WIDE; (VI) REGARDING TWO HARBORS’ EXPECTATION TO GENERATE AN

ATTRACTIVE ROE; (VII) REGARDING TWO HARBORS’ ABILITY TO QUICKLY DEPLOY ITS CAPITAL AND THE PRICES AT WHICH AND THE EXTENT TO WHICH TWO

HARBORS WILL INVEST ITS CAPITAL; (VIII) REGARDING TWO HARBORS’ FINANCING STRATEGY AND USE OF LEVERAGE, INCLUDING TWO HARBORS’ TARGET

LEVERAGE RATIO AND POTENTIAL USE OF GOVERNMENT PROGRAMS; (IX) REGARDING THE EXPECTED TERMS OF THE TALF PROGRAM; AND (X) RELATING TO THE

WARRANTS AS A POTENTIAL SOURCE OF CAPITAL GROWTH, INCLUDING THE BOOK VALUE OF TWO HARBORS POST WARRANT EXERCISE AND THE USE OF PROCEEDS

BY TWO HARBORS UPON EXERCISE OF THE WARRANTS.

THESE FORWARD-LOOKING STATEMENTS ARE SUBJECT TO RISKS AND UNCERTAINTIES. TWO HARBORS UNDERTAKES NO OBLIGATION TO UPDATE OR REVISE ANY

FORWARD-LOOKING STATEMENTS, WHETHER AS A RESULT OF NEW INFORMATION, FUTURE EVENTS, OR OTHERWISE. IMPORTANT FACTORS, AMONG OTHERS, THAT

MAY AFFECT ACTUAL RESULTS INCLUDE: UNCERTAINTIES AS TO THE TIMING OF THE PROPOSED TRANSACTION; APPROVAL OF THE PROPOSED TRANSACTION BY

CAC’S STOCKHOLDERS AND WARRANT HOLDERS; THE SATISFACTION OF CLOSING CONDITIONS TO THE PROPOSED TRANSACTION; COSTS RELATED TO THE

PROPOSED TRANSACTION; CHANGES IN ECONOMIC CONDITIONS GENERALLY, CHANGES IN TWO HARBORS’ INDUSTRY AND CHANGES IN THE COMMERCIAL

FINANCE AND THE REAL ESTATE MARKETS SPECIFICALLY; LEGISLATIVE AND REGULATORY CHANGES; AVAILABILITY OF DEBT AND EQUITY CAPITAL TO TWO

HARBORS ON FAVORABLE TERMS, OR AT ALL; AVAILABILITY OF SUITABLE INVESTMENT OPPORTUNITIES THAT SATISFY TWO HARBORS’ INVESTMENT OBJECTIVES

AND STRATEGIES; EXPECTATIONS REGARDING THE TIMING OF GENERATING REVENUES; THE DEGREE AND NATURE OF TWO HARBORS’ COMPETITION; TWO

HARBORS’ DEPENDENCE ON ITS MANAGER AND INABILITY TO FIND A SUITABLE REPLACEMENT IN A TIMELY MANNER, OR AT ALL, IF TWO HARBORS OR ITS

MANAGER WERE TO TERMINATE THE MANAGEMENT AGREEMENT; CHANGES IN THE RELATIONSHIPS AMONG, OR THE BUSINESS OR INVESTMENT OBJECTIVES AND

STRATEGIES OF, AND CONFLICTS OF INTEREST AMONG, TWO HARBORS AND PINE RIVER, INCLUDING THE MANAGER; LIMITATIONS IMPOSED ON TWO HARBORS’

BUSINESS BY ITS EXEMPTIONS UNDER THE 1940 ACT; CHANGES IN INTEREST RATES AND INTEREST RATE SPREADS; THE PERFORMANCE, FINANCIAL CONDITION AND

LIQUIDITY OF BORROWERS; INFLATION; CHANGES IN GAAP; CHANGES IN PERSONNEL AND LACK OF AVAILABILITY OF QUALIFIED PERSONNEL; MARKET TRENDS;

POLICIES AND RULES APPLICABLE TO REITS; AND OTHER FACTORS NOT PRESENTLY IDENTIFIED.

Two Harbors

Investment Corp.

Proven Manager

with Strong Track

Record

Capitol Acquisition (NYSE Amex: CLA) to merge with a subsidiary of Two

Harbors Investment Corp., a newly created mortgage REIT to capitalize on

severe dislocation in the residential mortgage backed securities

(RMBS)

market.

At current CLA price, an investor creates a share in Two Harbors

at 1.02x

initial Book Value vs. 1.26x trading average for non-Agency public peers.

(1)

Externally managed by PRCM Advisers, an affiliate of Pine River,

a global

fixed-income focused asset manager.

Since February 2008 inception, Pine River’s RMBS strategy has returned

111.7% life to date net of fees and 69.8% annualized net of fees

(2)

with no

negative months.

Team and infrastructure in place to rapidly invest proceeds and manage

future growth.

Attractive 1.5% management fee structure with no additional performance

fees.

Opportunity

Transaction Highlights

(1)

Assumes

shareholder

conversions.

The

impact

this

benefit

reduced

the

case

maximum

shareholder

conversions.

Please

see

slide

entitled

“Comparables:

Non-Agency

and

Agency

REITS”

for

information.

(2)

For more information with respect to the performance of Pine River’s RMBS strategy including key assumptions used in deriving such performance, please see slide 8 entitled “Pine River’s RMBS Strategy Historical Returns”.

Two Harbors

Investment Corp.

With no legacy assets, Two Harbors is positioned to invest 100% of

Capitol’s trust fund proceeds into RMBS with potential for attractive risk

adjusted returns and Return on Equity (ROE).

Cross-product approach targeting all sub-sets of the RMBS market enables

Two Harbors to best capture inefficiencies.

Expected government financing programs such as TALF II

(1)

(if expanded to

RMBS) could increase return on equity.

Compelling

Targeted Returns

Transaction Highlights

(1)

Term Asset-Backed Securities Loan Facility (TALF).

(2)

As of July 6, 2009 closing price.

Capitol’s public shareholders to own 100% of Two Harbors post

completion.

Expected market capitalization of $254 million based on 26.25 million

common shares and current stock price of $9.69

(2)

(reduced by the

amounts converted by stockholders exercising their conversion rights

and the amounts that may be used to enter into forward or other

contracts to purchase shares of Capitol).

Warrants struck at $11.00 provide accretive growth capital.

Pro Forma

Ownership

Two Harbors

Investment Corp.

Experienced, Cohesive Team:

Six partners together for average of 14 years.

Average 18 years hedge fund

experience.

55 employees, 19 investment professionals.

No senior management turnover.

Historically low attrition.

Overview of Pine River Capital Management

Founded June 2002 with offices in New York, London, Hong Kong, San Francisco and Minnesota.

Over $900 million assets under management

(1)

–

Experienced manager of non-Agency, Agency and other mortgage related assets.

–

Pine River has never suspended or withheld cash from investors.

Established Infrastructure:

Strong corporate governance.

Registrations: SEC/NFA (U.S.), FSA (U.K.),

SFC (Hong Kong), SEBI (India) and TSEC

(Taiwan).

Proprietary technology.

Global footprint.

Minnetonka, MN •

London

•

Hong Kong

•

San Francisco •

New York

Global multi-strategy asset management firm providing comprehensive portfolio

management,

transparency

and

liquidity

institutional

and

high

net

worth

investors.

(1)

Estimate as of July 1, 2009.

Two Harbors

Investment Corp.

Pine River’s RMBS Strategy Historical Returns

Beginning in September 2008, the data reflects, on an unaudited basis, the actual performance of Nisswa Fixed Income Master Fund Ltd.

For the period from February 2008 to August 2008, Pine River’s fixed income strategy was conducted through Nisswa Master Fund Ltd., a multi-strategy hedge fund that focuses on both investment grade

and non-investment grade global convertible arbitrage, capital structure arbitrage, SPAC warrant arbitrage and fixed income arbitrage. The performance data shown above for the period February 2008 to

August 2008 is derived from the strategy attribution contained in the monthly investor reports of Nisswa Master Fund Ltd. which separately reported on the results of this strategy, except that the

performance information shown above reflects the payment of full incentive fees to the manager, even if such fees were not paid. The strategy performance information is based on a number of important

assumptions with respect to the allocation of leverage, stock loan fees and interest income and expenses. For example, Pine River allocated fund leverage and expenses among Nisswa Master Fund Ltd.’s

various strategies based on margin requirements across the positions in each strategy. The performance information shown in the table above beginning in September 2008 reflects the actual performance of

Nisswa Fixed Income Master Fund Ltd.

The investment strategy of each of Nisswa Fixed Income Master Fund Ltd. and the RMBS strategy component of Nisswa Master Fund Ltd. is different from the investment strategy that Two Harbors

intends to employ in several important respects. Nisswa Fixed Income Master Fund Ltd. (and before September 2008 the RMBS strategy component of Nisswa Master Fund Ltd.) traded actively in fixed-

rate, adjustable and interest only securities, Collateralized Mortgage Obligations, trades in mortgage backed securities to be delivered by a U.S. government-sponsored mortgage entity at a future date, and

equity investments in REITs, and actively hedged its trading positions. By contrast, Two Harbors initially seeks to invest in Agency and non-Agency RMBS and assets other then RMBS with a buy-and-hold

emphasis. In addition, whereas Nisswa Master Fund Ltd. and Nisswa Fixed Income Master Fund Ltd. charge a 1.5% management fee as well as a 20% incentive fee, Two Harbors will only pay a 1.5%

management fee. Two Harbors’ investment strategy may differ from that of Nisswa Fixed Income Master Fund Ltd. additionally, in that it may use greater leverage with regard to its investments in Agency

RMBS. Further, unlike Two Harbors, Nisswa Fixed Income Master Fund Ltd. is not constrained by limitations on its investment strategies that are necessary in order to qualify as a REIT that is exempt

from registration under the Investment Company Act of 1940. Accordingly, past performance is not indicative of future results. Two Harbors is not expected to experience returns, if any, comparable to

those experienced by investors in Nisswa Fixed Income Master Fund Ltd. or the RMBS strategy component of the Nisswa Master Fund Ltd.

Return on capital is calculated based on average monthly capital, not beginning of month capital. Assumes a 1.5% management fee and 20% incentive fee.

Jan-08

Feb-08

Mar-08

Apr-08

May-08

Jun-08

Jul-08

Aug-08

Sep-08

Oct-08

Nov-08

Dec-08

Net Monthly Return

N/A

2.93%

1.26%

2.83%

4.10%

4.09%

2.49%

2.11%

9.56%

2.46%

3.26%

4.32%

Net Annual Return

N/A

2.93%

4.23%

7.18%

11.57%

16.13%

19.02%

21.52%

33.15%

36.42%

40.87%

46.95%

Jan-09

Feb-09

Mar-09

Apr-09

May-09

Jun-09

(Estimate)

Jul-09

Aug-09

Sep-09

Oct-09

Nov-09

Dec-09

Net Monthly Return

8.50%

5.01%

4.48%

5.09%

6.40%

8.24%

Net Annual Return

8.50%

13.94%

19.04%

25.10%

33.12%

44.07%

Annualized Net Life to Date Return

3 Month Net Return

Annualized Standard Deviation

6 Month Net Return

Positive Months

12 Month Net Return

Nisswa Fixed Income Master Fund Ltd. Estimated

July 1, 2009 Assets Under Management

69.79%

8.28%

17/17

$263.2 Million

21.03%

44.07%

82.29%

LTD Net Return

111.70%

Two Harbors

Investment Corp.

(1)

Actual results will be impacted by the risks inherent in any mortgage backed securities portfolio, including by the matters discussed in the Proxy Statement/Prospectus under "Risk Factors." Investors are urged to read this

document

its

entirety,

including

the

sectionunder

"Risk

Factors.”

Assumes

shareholder

conversions.

(2)

Haircut is defined as the percent of market value one must pledge as collateral to finance a security.

(3)

The following

assumptions

relating

prepayment,

defaults

and

losses

were

used

for

each

asset

type:

Agency

Hybrids:

Constant

Prepayment

Rate

(CPR);

Non-Agency

Super

Senior:

CPR,

Constant

Default

Rate

(CDR),

70 Loss Severity; Non-Agency Mezzanine: 4 CPR, 15 CDR, 70 Loss Severity; MBS Derivatives: 25 CPR. CPR refers to the percentage of borrowers that refinance or prepay loans on an annualized basis, CDR refers to the

percentage of borrowers that default on loans on an annualized basis and Loss Severity refers to the percentage of total net loss of a loan at the time of default.

(4)

Assumes borrowings of nine times invested equity.

(5)

Assumes One Month LIBOR at 31 basis points.

Hypothetical Portfolio

Hypothetical

Portfolio

Total leverage:

1.8x

(4)

(3)

(5)

($ in millions)

(2)

% of Equity

Finance

Interest

Return on

Security Type

Low

Mid

High

Equity

Haircut

Assets

Yield

Rate

Income

Expense

Equity

Agency hybrids

15%

20%

25%

$50.2

10%

$502.1

1.0%

$20.1

($4.5)

31.0%

Non-Agency super senior

35%

45%

55%

113.0

100%

113.0

16%

–

18.1

–

16.0%

Non-Agency mezzanine

10%

20%

30%

50.2

100%

50.2

30%

–

15.1

–

30.0%

MBS derivatives

15%

25%

37.7

100%

37.7

40%

–

15.1

–

40.0%

100%

$251.1

$703.0

$68.3

($4.5)

25.4%

Estimated shareholder equity:

$251.1

(1)

In the discussions leading up to the execution of the merger agreement, Two Harbors presented the following hypothetical portfolio information to the Board of Directors of Capitol for its consideration

and review. This hypothetical portfolio information has not been updated to include subsequent developments reflected elsewhere in this investor presentation. Such hypothetical portfolio information

does not represent any actual assets held or borrowings made by Two Harbors. Instead, the presentation illustrates the types and performance characteristics of a portfolio of assets that Two Harbors

believes should be available for purchase in the market and illustrates the costs of borrowings that Two Harbors believes should be available upon completion of the merger. There can be no assurance

that a portfolio of the type presented will be available for purchase upon consummation of the merger at the prices assumed or that borrowings will be available on the assumed terms. In addition, the

returns from the portfolio are based on a number of assumptions detailed below. Actual results will be impacted by the risks inherent in any mortgage-backed securities portfolio and will vary from the

amounts shown in the presentation below.

Two Harbors

Investment Corp.

Non-Agency Discount Example

Super Senior Bond backed by Option Arm

Collateral (CWALT 2006-OA17 2A1).

First 27.8% of loss is absorbed by

junior bonds.

Receives protection from the Senior

Support and Subordinate bonds

from credit losses.

Pays a coupon of COFI

(2)

+ 150bps,

where most Option Arms pay 1mo

Libor + a smaller margin.

SUPER

SENIOR BONDS

27.8%-100%

Illustrative non-Agency Security Investment

SUPPORT

BONDS

Voluntary CPR

(1)

of 1, which implies only

1% of the people in the trust (annually)

will be able to refinance.

A constant default rate of 35, which means

35% of the trust per year will be defaulted.

Loss severity of 70%, which assumes all

loans liquidated out of the trust will trade

for 30 cents on the dollar.

Purchase price: $34.00.

Yield: 18.5 percent.

Security

Assumptions

Risk / Reward Profile of this Bond

(1)

Constant prepayment rate.

(2)

Other assumptions:

voluntary

CPR,

CDR,

Cost

Funds

Index

(“COFI”)

flat

1.38%.

Dollar Price

50%

55%

60%

65%

70%

75%

$34

44.0%

37.0%

31.0%

25.0%

18.0%

12.0%

Yields at Various Loss Severity Assumptions

Implied liquidation % of the entire pool: over 95 percent.

Implied total % loss on the collateral: 66.7 percent.

This bond does not represent an actual asset held by Two Harbors. Instead, the presentation illustrates the analysis PRCM Advisors expects to perform in analyzing potential bonds for

purchase by Two Harbors. There can be no assurance that an asset of the type presented will be available for purchase upon consummation of the merger at the assumed price, or at all.

(2)

Two Harbors

Investment Corp.

The TALF Program –

Potential Catalyst

Currently available for select Asset Backed and Commercial Mortgage Backed securities.

Treasury has proposed expansion to include “certain non-Agency residential mortgage backed

securities”.

(1)

Key loan aspects expected to include:

–

Non-recourse financing;

–

Possible terms of up to 5-years

(2)

;

–

Haircuts and spreads based on average life and type of asset; and

–

Reduced spreads on loans benefiting from government guarantees.

Non-recourse term financing, such as that contemplated by TALF II, could have an

impact on expected Return on Equity.

(1)

The timing of the expansion of the TALF to Non-Agency RMBS and the terms of such expansion have not yet been published by the U.S. Treasury. There can be no assurance that TALF will be so expanded or if so

expanded that TALF will offer financing terms that will be attractive to Two Harbors.

(2)

If TALF were expanded to RMBS, this assumes the term would follow the TALF expansion to CMBS.

Two Harbors

Investment Corp.

Agency Inverse IO Example

Agency Inverse IO bonds are an inherently levered way to take advantage of slow

prepayment speeds on specific types of collateral pools, such as

LLBs.

5 CPR

15 CPR

25 CPR

35 CPR

45 CPR

53 CPR

Price 10-03

61.0%

53.0%

45.0%

31.0%

14.0%

(1.0%)

Yields at Various Prepayment Speeds

Agency Inverse IO Bond Example

Loan Size Data (as of July 2009)

Average

Original

Current

Minimum

Maximum

$68,300

$64,700

$21,000

$85,000

1 month

Jul-09

24.3

Jun-09

17.9

May-09

18.6

Apr-09

14.4

Mar-09

18.4

Feb-09

13.2

Jan-09

8.1

Dec-08

5.6

Nov-08

9.3

Oct-08

8.1

Sep-08

7.2

Aug-08

8.4

Constant Prepayment

Rates (CPRs)

This bond does not represent an actual asset held by Two Harbors. Instead, the presentation illustrates the analysis PRCM Advisors expects to perform in analyzing potential bonds for

purchase by Two Harbors. There can be no assurance that an asset of the type presented will be available for purchase upon consummation of the merger at the assumed price, or at all.

Two Harbors

Investment Corp.

Supported by 35 operational and administrative

professionals, including:

–

11 member accounting team;

–

3 member legal team;

–

member

operations

and

settlement

team;

and

–

6 member software development team.

Pine River Offers Extensive MBS Expertise

Two

Harbors’

Co-Chief

Investment Officers

Steve Kuhn –

Partner and Head of Fixed Income Trading.

Goldman Sachs Portfolio Manager from 2002 to 2007.

16 years investing in and trading mortgage backed securities and

other fixed income

securities for firms including Goldman Sachs Asset Management, Citadel and Cargill.

Bill Roth –

Portfolio Manager.

Citi and Salomon Brothers 1981 –

2009; Managing Director since 1997.

Managing Director in the bank’s proprietary trading group managing MBS and ABS

portfolios.

Pine River’s RMBS strategy has returned 111.7% life to date net of fees and

69.8%

annualized net of fees since inception, February 2008.

(1)

For more

information with respect to the performance of

Pine River’s RMBS strategy

including key assumptions used

in deriving

such performance, please see slide 8 entitled “Pine River’s RMBS Strategy Historical Returns”.

Jiayi Chen –

Trader.

Formerly Goldman Sachs Asset

Management, risk management.

Brendan McAllister –

Trader.

Formerly UBS Securities, member of top

mortgage sales team.

Diana

Denhardt

–

Repo

Funding

Analyst.

20 years financing experience at EBF &

Associates and Cargill.

Two Harbors

Investment Corp.

Efficient structure creates Two Harbors at a lower Price to Book

Value, using less leverage

than other publicly traded residential mortgage REITs.

Target Leverage

(1)

Price to Book Value

Opportunity for Investors

(2)

(3)

0.7x

6.6x

1.0x

2.0x

–

1.0x

2.0x

3.0x

4.0x

5.0x

6.0x

7.0x

8.0x

Agency REIT

Mean

Chimera

Investment

Redwood

Trust

Invesco

Mortgage

Two

Harbors

Non-Agency REIT's

Non-Agency REIT Mean

Non-Agency

Mean:

3.6x

2.9x

102.0%

121%

113%

156%

100%

50.0%

70.0%

90.0%

110.0%

130.0%

150.0%

170.0%

Agency REIT

Mean

Chimera

Investment

Corp

Redwood

Trust

Invesco

Mortgage

Two

Harbors

Non-Agency REIT's

Non-Agency REIT Mean

Non-Agency

Mean:

126%

Note:

Agency REIT Mean comprised of American Capital Agency, Annaly Mortgage, Anworth Mortgage, Capstead Mortgage, Cypress Sharpridge Investments, Hatteras Financial and MFA Mortgage.

Non-Agency REIT Mean comprised of Chimera Investment Corp., Invesco Mortgage and Redwood Trust. Prices as of July 6, 2009.

(1)

Target Leverage defined here as Total Liabilities divided by Total Equity.

(2)

Current leverage of 0.7x pro forma for recent equity offerings. Unadjusted for the equity offerings, target leverage would be 2.9x.

(3)

Current leverage of 6.6x pro forma for recent equity offering. Unadjusted for the equity offering, target leverage would be 9.6x.

Corp

Two Harbors

Investment Corp.

Structure Creates

Attractive Return

Profile

Severe dislocation has led to capital outflows and potential

investment opportunities throughout the sector.

Government programs to inject liquidity into market provides

additional upside.

Deep, broad experience and disciplined investment approach.

Generated 111.7% life to date net of fees and 69.8% annualized

net of fees

(1)

and no negative return months since Steve Kuhn

launched Pine River’s RMBS strategy in February 2008.

CLA’s public stockholders expected to create Two Harbors at

1.02x initial Book Value vs. 1.26x average for non-Agency public

peers

(2)

High targeted return on equity with moderate leverage.

Market

Opportunity

Investment Team

Investment Summary

Building Next

Great Mortgage

REIT

Highly experienced team of mortgage specialists brought

together to create next great mortgage REIT franchise.

(1)

(2)

Assumes

shareholder

conversions.

The

impact

this

benefit

reduced

the

case

maximum

shareholder

conversions.

Please

see

slide

entitled

“Comparables:

Non-Agency

and

Agency

REITS”

for

information.

Two Harbors

Investment Corp.

Comparables: Non-Agency and Agency REITs

Source:

SNL Financial, FactSet and company filings.

Note:

REIT Means calculated using the average of the non-Agency peer group mean and the Agency peer group mean. Prices as of July 6, 2009.

(1)

Based on IBES consensus estimates, where available.

(2)

Most recent announced quarterly dividend annualized, divided by current share price.

(3)

Debt

Equity

Leverage

defined

here

Total

Liabilities

divided

Total

Equity.

(4)

Expense

ratio

all

non-interest

expense

less

non-recurring

expenses

and

any

provisions

for

loan

losses

divided

end

period

total

equity

for

the

most

recent

quarter.

(5)

Pro forma for $851m equity offering (including private placement) on 4/15/2009 and for $622m follow-on on 05/26/09.

(6)

Pro forma for $250m equity offering on 05/26/09.

(7)

Market

cap

includes

Invesco

Ltd

private

placement

(1.5m

offered

IPO

price

$20.00).

Book

value

net

gross

spread

paid

IVR

1.5%

public

offering

and

other

IPO

expenses

$1.9m.

Excludes

over-

allotment.

($ in millions, except per share data)

Price

Market

Price /

Div. Yield:

Debt /

Expense

Company

Ticker

07/06/09

Cap

2009E EPS

(1)

2010E EPS

(1)

Book

Most Recent

(2)

Equity

(3)

Agency

Ratio

(4)

Non-Agency REITs

Chimera Investment Corp.

(5)

CIM

$3.43

$2,299

8.2x

6.4x

1.21x

9.3%

0.7x

39%

3.4%

Redwood Trust

(6)

RWT

15.00

1,162

30.6

8.3

1.56

6.7

6.6

8.3

Invesco

Mortgage Capital Inc.

(7)

IVR

19.55

196

1.00

Mean

19.4x

7.4x

1.26x

8.0%

3.6x

5.9%

Agency REITs

Annaly

Mortgage

NLY

$15.50

$8,437

6.4x

6.5x

1.06x

15.5%

6.4x

1.5%

MFA Mortgage

MFA

7.00

1,559

6.9

6.4

1.14

14.3

6.2

1.6

Hatteras Financial

HTS

28.02

1,014

6.1

6.0

1.26

15.7

7.1

1.5

Capstead

Mortgage

CMO

12.85

816

5.4

1.24

18.1

8.4

1.8

Anworth

Mortgage

ANH

7.29

741

6.0

6.1

1.09

16.5

6.7

2.2

American Capital Agency

AGNC

22.39

336

5.1

6.2

1.16

26.8

7.3

3.3

Cypress Sharpridge

Investments

CYS

11.95

200

5.0

0.97

3.9

3.3

Mean

5.8x

6.1x

1.13x

17.8%

6.6x

2.0%

Overall Mean

12.6

6.7x

1.20x

12.9%

5.1x

3.9

Two Harbors

Investment Corp.

Restructured Warrants Source of Growth Capital

Consent requires majority of warrant

holders.

Any cash warrant exercises will be at a

premium to the initial liquidation value.

Proceeds expected to be redeployed in

accretive investments.

Note:

Assumes re-strike of 33.249 million warrants at $11.00, no

shareholder conversions and exercise of all warrants for cash.

However, 7,000,000 warrants each relating to one share of stock of

Two Harbors, which will be held by CLA’s sponsors following the

consummation

the

merger,

are

exercisable

cashless

basis.

these warrants are exercised, the Book Value per Share would be

less than $10.33 due to dilution and the greater the price of Two

Harbors’

stock price at the time of exercise of these warrants, the

greater the dilutive impact.

Warrant Exercise

($ in millions, except per share data)

Warrant strike price to be amended to $11.00.

Pre

Post

Book Value

$248.9

$614.6

Basic Shares Outstanding (mm)

26.25

59.50

Book Value per Share

$9.48

$10.33

% Increase

8.9%

Two Harbors

Investment Corp.

Experienced Team

Brian Taylor founded Pine River in 2002 and is responsible for management of the business and oversight of the funds. Prior to

Pine River’s inception, Brian was with EBF & Associates from 1988 to 2002; he was named head of the convertible arbitrage group in 1994 and Partner in

1997. His responsibilities included portfolio management, marketing, product development, and trading information systems development. He holds a

B.S. from Millikin University in Decatur, Illinois and an M.B.A. from the University of Chicago and passed the Illinois CPA exam.

Mark Ein has served as CEO of Capitol Acquisition Corp. since its inception in November 2007. Mark is the Founder and

CEO of Venturehouse Group, LLC, a technology holding company that creates, invests in and builds technology, communications and related business

services companies. Notable portfolio companies include Matrics Technologies, sold to Symbol Technologies in 2004; Cibernet Corporation, sold to

MACH S.a.r.l in 2007; and an early investment in XM Satellite Radio. He is also the President of Leland Investments, a private investment firm. Mark is

also Co-Chairman and majority owner of Kastle Systems, a leading provider of building and office security systems. Mark is also the Founder and Owner

of the Washington Kastles, the World Team Tennis franchise in Washington, D.C. From 1992 to 1999, Mark was a Principal with The Carlyle Group.

Prior to Carlyle, Mark worked at Brentwood Associates and Goldman, Sachs (in the commercial MBS group). Mark holds a B.S. from the University of

Pennsylvania’s Wharton School of Finance and an M.B.A. from the Harvard Business School.

Minnetonka, MN from 1999 until 2006. He was the portfolio manager for Merced Partners, LP and Tamarack International Limited during that period.

Tom was named a partner of EBF in 1997. He supervised a staff of thirteen people located both in Minnesota and London. This staff was comprised of

traders, analysts and support personnel. Tom joined EBF in 1989 as a Trader. Prior to his employment at EBF, from 1987 to 1989, Tom held various

trading positions in the Financial Markets Department at Cargill, Inc. From 1981 until 1987 Tom was employed in the Domestic Soybean Processing

Division at Cargill in both trading and managerial roles. Tom holds a B.B.A. from the University of Iowa with a major in Finance.

Prior to joining Pine River in 2008, Steve was a Vice President and Portfolio Manager at Goldman Sachs

based in New York and Beijing from 2002 to 2007, where he was part of a team that managed approximately $40 billion in mortgage backed securities.

From 1999 to 2002, Steve was a Japanese convertible bond trader at Citadel Investment Group in Chicago. Prior to that, he was head of mortgage backed

securities trading at Cargill. He has 16 years mortgage-related trading experience. Steve holds a B.A. in Economics with Honors from Harvard.

Bill has 28 years of experience in the Fixed Income Markets, with specific expertise in mortgage-backed and

asset-backed securities. Prior to joining Pine River in 2009, Bill was Managing Director at Citigroup and its predecessor firm, Salomon Brothers Inc. From

2004 to 2009, Bill managed a proprietary trading book at Citigroup with particular focus on mortgage and asset-backed securities. From 1994 to 2004, Bill

was part of the Salomon/Citi New York Mortgage Sales Department. From 1981 to 1994, Bill was based in Chicago and managed the Chicago Financial

Institutions Sales Group for Salomon. He was awarded the Masters in Business Administration with a concentration in Finance from the University of

Chicago Graduate School of Business. Bill holds a B.S. in Finance and Economics from Miami University.

Brian Taylor, Chairman.

Mark D. Ein, Vice-Chairman.

Steve Kuhn, Co-Chief Investment Officer.

Bill Roth, Co-Chief Investment Officer.

Thomas Siering, Chief Executive & Director.

Prior to joining Pine River in 2006, Tom was head of the Value Investment Group at EBF & Associates in

Two Harbors

Investment Corp.

Experienced Team

Jeff

Stolt,

Chief

Financial

Officer.

Prior

co-founding

Pine

River

2002,

Jeff

was

the

Controller

EBF

Associates

from

1997

2002.

this

role, Jeff oversaw the preparation of all fund accounting statements, managed the offshore administrator relationship, managed the audit process and was

responsible for tax planning and reporting. Jeff began employment with EBF in 1989. Prior to that, Jeff was an accountant in Cargill, Inc.’s Financial

Markets Department from 1986 until 1989. Jeff holds a B.S. in Accounting and Finance from the Minnesota State University.

Tim

O’Brien,

General

Counsel.

Prior

joining

Pine

River

2007,

Tim

previously

served

Vice

President

and

General

Counsel

NRG

Energy,

Inc. from 2004 until 2006. He served as Deputy General Counsel of NRG Energy from 2000 to 2004 and Assistant General Counsel from 1996 to 2000.

Prior to joining NRG, Tim was an associate at Sheppard, Mullin, Richter & Hampton in Los Angeles and San Diego, California. He holds a B.A. in

History

from

Princeton

University

and

Juris

Doctor

degree

from

the

University

Minnesota

Law

School.

Tim

attended

eight-week

Advanced

Management Program at Harvard Business School in the spring of 2007.

Andrew

Garcia,

Business

Development.

Prior

joining

2008,

Andrew

was

the

Event

Driven

and

Business

Combination

Companies

(SPAC)

specialist

the

Capital

Markets

division

Maxim

Group

New

York.

Before

joining

Maxim

Group,

was

the

head

trader

Laterman

Company.

From 2001 to 2005, he covered institutional event-driven and risk arbitrage investors as a sales trader, equity sales person, and middle markets sales

person at Cathay Financial, Oppenheimer & Co., and CIBC Oppenheimer Corp. Andrew holds a B.A. from Kenyon College.