Two Harbors
Investment Corp.
Investor Presentation
Capitol Acquisition
Corp.
September 2009
Filed by Two Harbors Investment Corp. pursuant to
Rule 425 under the Securities Act of 1933
And deemed filed pursuant to Rule 14a-12
under the Securities Exchange Act of 1934
Subject Company: Capitol Acquisition Corp.
Commission File No. for the Related Registration Statement: 333-160199

2
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. IF THE MERGER IS NOT
CONSUMMATED, THE UNDERWRITERS WILL NOT RECEIVE ANY OF THEIR DEFERRED UNDERWRITING COMPENSATION. 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.

3
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.

4
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 1.04x
initial
Book
Value
vs.
1.28x
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
145.3% life to date net of fees and 76.3% 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
no
shareholder
conversions
or
other
purchases
by
Capitol
of
public
shares.
The
impact
of
this
benefit
is
reduced
in
the
case
of
maximum
shareholder
conversions
and
/or
other
purchases
of
public
shares.
Please
see
slide
25
entitled
“Comparables:
Non-Agency
and
Agency
REITS”
for
more
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”.

5
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.
Potential to benefit from government programs such as Home Affordable
Modification
Program
(HAMP)
and
TALF
II
if
expanded
to
RMBS.
Compelling
Targeted Returns
Transaction Highlights
(1)
Term Asset-Backed Securities Loan Facility (TALF).
(2)
As of September 17, 2009 closing price.
Capitol’s public shareholders to own 100% of Two Harbors post
completion.
Expected market capitalization of $258 million based on 26.25 million
common
shares
and
current
stock
price
of
$9.84
(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

6
Experienced, Cohesive Team:
Six partners together for average of 15 years.
–
Average 19 years hedge fund
experience.
57 employees, 20 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 $1.1 billion 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 to institutional and high
net worth investors.
(1)
Estimate as of September 1, 2009.

7
The Two Harbors Team
Board consists of seven directors, majority independent, including:
–
Chairman, Brian Taylor, CEO and Founder, Pine River;
–
Vice-Chairman, Mark Ein, CEO and Founder, Capitol;
–
Tom Siering, Partner, Pine River, and CEO Two Harbors;
–
Steve Kasnet, Independent;
–
Bill Johnson, Independent;
–
Reid Sanders, Independent; and
–
Independent Director to be Nominated by Capitol.
Tom Siering, CEO.
Jeff Stolt, CFO.
Steve Kuhn, Co-Chief Investment Officer.
Bill Roth, Co-Chief Investment Officer.
Tim O’Brien, General Counsel.
Andrew Garcia, VP Business Development.
Management Team
Board of Directors

8
Pine River’s RMBS Strategy Historical Returns
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
Jul-09
Aug-09
(Estimate)
Sep-09
Oct-09
Nov-09
Dec-09
Net Monthly Return
8.50%
5.01%
4.48%
5.09%
6.40%
8.15%
10.71%
4.76%
Net Annual Return
8.50%
13.94%
19.04%
25.10%
33.12%
43.96%
59.38%
66.96%
Annualized Net Life to Date Return
3 Month Net Return
Annualized Standard Deviation
6 Month Net Return
Positive Months
12 Month Net Return
LTD Net Return
Nisswa Fixed Income Fund L.P. Estimated
September 1, 2009 Assets Under Management
145.34%
25.44%
46.54%
101.89%
76.27%
9.20%
19/19
$327.9 Million
Beginning in September 2008, the data reflects, on an unaudited basis, the actual performance of Nisswa Fixed Income Fund Ltd.
For
the
period
from
February
2008
through
July
2008,
Pine
River’s
RMBS
strategy
was
conducted
through
the
Nisswa
Master
Fund.
During
the
month
of
August
2008,
the
strategy
was
conducted
in
both
the
Nisswa
Master
Fund
and
the
Nisswa Fixed Income Fund, however for purposes of investor reporting during the transition month of August 2008, returns from the strategy are attributed to the Nisswa Master Fund because until September 2008, the Nisswa Master
Fund owned 100% of the equity interests in the Nisswa Fixed Income Fund.  The performance information shown in the table above for the period February 2008 to August 2008 is derived from the strategy attribution contained in the
monthly
investor
reports
of
the
Nisswa
Master
Fund
which
separately
reported
on
the
results
of
the
RMBS
component
of
the
Nisswa
Master
Fund.
The
performance
information
is
determined
by
dividing
the
net
income
derived
from
the
RMBS component of the Nisswa Master Fund by the weighted amount of capital that was allocated to this strategy over the applicable monthly period.  In calculating the net income, the returns assume the payment of full incentive fees to
the
manager,
even
if
such
fees
were
not
paid.
The
strategy
performance
information
related
to
the
Nisswa
Master
Fund
is
based
on
a
number
of
important
assumptions
with
respect
to
the
allocation
of
incentive
fees,
management
fees,
and
operating
expenses.
Specifically,
Pine
River
allocated
incentive
fees
among
the
Nisswa
Master
Fund’s
various
strategies
based
on
the
proportion
of
new
profit
generated
by
each
strategy
over
the
aggregate
new
profit
generated
by
the
Nisswa
Master
Fund.
The
new
profit
is
calculated
by
subtracting
operating
expenses,
finance
expenses
and
management
fees
from
net
trading
gains.
In
addition,
Pine
River
allocated
management
fees
and
operating
expenses
among
the
Nisswa
Master
Fund’s
various
strategies
based
on
the
proportion
of
the
margin
requirements
in
each
strategy
over
the
Nisswa
Master
Fund’s
total
margin
requirements.
The
performance
information
shown
in
the
table
above
beginning
in
September 2008 reflects the actual performance of the Nisswa Fixed Income Fund.
The
investment
strategy
of
each
of
the
Nisswa
Fixed
Income
Fund
and
the
RMBS
strategy
component
of
the
Nisswa
Master
Fund
is
different
from
the
investment
strategy
that
Two
Harbors
intends
to
employ
in
several
important
respects.
The
Nisswa
Fixed
Income
Fund
(and
before
September
2008
the
RMBS
strategy
component
of
the
Nisswa
Master
Fund)
traded
actively
in
fixed-rate,
adjustable
and
interest-only
RMBS,
including
collateralized
mortgage
obligations
and
“to-be-announced”
forward
contracts,
and
equity
investments
in
REIT,
and
actively
hedged
its
trading
positions.
By
contrast,
Two
Harbors
will
initially
seek
to
invest
primarily
in
Agency
and
non-Agency
RMBS
with
a
buy-and-hold
emphasis,
and
does
not
currently
anticipate
actively
trading
its
assets.
In
addition,
whereas
the
Nisswa
Master
Fund
and
the
Nisswa
Fixed
Income
Fund
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
further
differ
from
that
of
the
Nisswa
Fixed
Income
Fund,
in
that
it
may
use
greater
leverage
with
regard
to
its
investments
in
Agency
RMBS.
In
addition,
unlike
the
Nisswa
Fixed
Income
Fund,
Two
Harbors
is
constrained
by
limitations
on
its
investment
strategies
that
are
necessary
in
order
to
qualify
as
a
REIT
which
is
exempt
from
registration
under
the
Investment
Company
Act
of
1940
(“1940
Act”).
In
this
regard,
Two
Harbors
may
place
a
greater
emphasis
than
the
Nisswa
Fixed
Income
Fund
on
owning
whole
pool
Agency
RMBS
for
purposes
of
maintaining
its
1940
Act
exemption.
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
the
Nisswa
Fixed
Income
Fund
or
the
RMBS
strategy
component
of
the
Nisswa
Master
Fund.
Indeed,
Pine River’s RMBS strategy has achieved financial returns since its inception in February 2008 that are not likely to be sustained going forward by either the Nisswa Fixed Income Fund or Two Harbors.
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.

9
Two Harbors Investment Approach
Holistic approach across non-Agency and Agency RMBS.
Continuous top-down market assessment to identify most
attractive segments.
Detailed analyses to find the most mispriced securities.
Find and invest in smaller opportunities often ignored by larger
funds.
Strong focus on risk management to preserve value and maximize
returns.

10
Market Opportunity
Traditional providers of capital have left the market.
–
Fannie Mae & Freddie Mac, historically the overseers of relative
value and
effectively the world’s two largest mortgage “hedge funds”, cannot participate in
the current price discrepancies.
–
The capital bases of traditional market participants such as proprietary trading
desks and hedge funds have been reduced.
Continued forced selling by remaining participants has led to significant price declines.
Two Harbors will be positioned to capitalize upon severe dislocations in the $11.0 trillion
U.S. mortgage market.
(1)
(1)
FBR Miller.

11
0%
1%
2%
3%
4%
5%
6%
7%
Jan-04
Oct-04
Aug-05
Jun-06
Apr-07
Jan-08
Nov-08
Sep-09
FN30CC
1moLIB
Agency securities are trading at wide spreads to
LIBOR and are likely to remain wide for some
time.
Source:
UBS Mortgage Strategy.
Non-Agency securities are trading at low
prices.
Significant opportunities in both non-Agency and Agency securities.
Source:
Amherst Securities.
Note:
All prices are indicative month-end levels for 2006 / 2007 vintages.
Historical Pricing on Senior Non-Agency Securities
Agency Spreads
FN 30-yr Current Coupon vs. LIBOR
30
40
50
60
70
80
90
100
Jan-08
Apr-08
Aug-08
Dec-08
Apr-09
Aug-09
Prime - 30 Year Fixed
Alt - A - 30 Year Fixed
Option Arm Super Senior
Market Opportunity

12
Hypothetical Portfolio
Total leverage:
1.8x
(5)
(6)
(5)
(7)
Hypothetical
Portfolio
(1)
($ in millions)
Estimated shareholder equity:
$251.1
(1)
Note:
See following page for footnotes.
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, except that the presentation that Capitol’s board of directors reviewed only presented the hypothetical portfolios assuming the maximum transaction size of
the merger whereas the portfolios below have been revised to also show the hypothetical portfolios assuming the minimum transaction size of $100 million.  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.
% of Equity
Equity
Assets
Interest Income
Interest ExpenseReturn on Equity
Deal size:
Deal size:
Deal size:
Deal size:
Deal size:
Asset Type
Low
Mid
High
Max
Min
Haircut
(2)
Max
Min
Yield
(3)(4)
Finance
Rate
Max
Min
Max
Min
None
Min
Agency hybrids
15%
20%
25%
$50.2
$20.0
10%
$502.1
$200.0
4%
1.0%
$20.1
$8.0
($4.5)
($1.8)
31.0%
31.0%
Non-Agency
super senior
35%
45%
55%
113.0
45.0
100%
113.0
45.0
16%
–
18.1
7.2
–
–
16.0%
16.0%
Non-Agency
mezzanine
10%
20%
30%
50.2
20.0
100%
50.2
20.0
30%
–
15.1
6.0
–
–
30.0%
30.0%
MBS derivatives
5%
15%
25%
37.7
15.0
100%
37.7
15.0
40%
–
15.1
6.0
–
–
40.0%
40.0%
100%
$251.1
$100.0
$703.0
$280.0
$68.3
$27.2
($4.5)
($1.8)
25.4%
25.4%

13
(1)
In the case of the maximum transaction size, based on estimated stockholder equity of $251.1 million, which assumes no stockholder conversions or other purchases by Capitol of public shares.  In the case of the minimum
transaction
size
of
$100
million,
based
on
estimated
stockholder
equity
of
$100
million,
after
stockholder
conversions
and/or
such
other
purchases
of
public
shares.
(2)
Two
Harbors
intends
to
use
repurchase
agreements
to
finance
the
purchase
of
Agency
RMBS.
In
a
repurchase
agreement
transaction,
the
“haircut”
refers
to
the
difference
between
the
market
value
of
the
securities
being
financed and the amount being advanced.  The 10% haircut shown above for Agency Hybrids was based on (i) the 5% haircuts obtained in connection with repurchase agreement transactions effected by the Nisswa Fixed
Income Fund involving Agency securities around the time this Presentation was prepared, as adjusted to take into account the risk of potential further degradation in credit markets, and (ii) the fact that, since inception,
haircuts for the Nisswa Fixed Income Fund’s repurchase agreement transactions have predominantly been between 3% and 5% and have never exceeded 10%.  The 100% haircut shown for the other asset types indicates that
no leverage is employed. Two Harbors currently has one master repurchase agreement in place and expects additional agreements will be executed prior to the mailing of the proxy statement/prospectus.
(3)
The
yields
shown
above
for
the
respective
asset
types
were
based
on
market
information
obtained
by
members
of
the
Pine
River
Fixed
Income
team
around
the
time
this
Presentation
was
prepared
in
connection
with
their
daily research and trading activities, including quote, bid and offering data obtained from broker-dealers utilized by the team and information related to the securities actually traded by the team.  In particular, for Non-Agency
Super Senior, Non-Agency Mezzanine and MBS Derivatives, the yield information was based on yields on securities traded by the Nisswa Fixed Income Fund around the time this Presentation was prepared (specifically,
between
April
1
and
May
30,
2009,
the
fund
made
trades
in
five
Non-Agency
Super
Senior
bonds,
29
Non-Agency
Mezzanine
bonds
and
41
MBS
Derivatives).
The
yields
presented
were
also
consistent
with
the
yields
contained
in
quote,
bid
and
offering
data
related
to
Non-Agency
Super
Senior
bonds,
Non-Agency
Mezzanine
bonds
and
MBS
Derivatives
and
obtained
from
nine
broker-dealers
around
the
time
this
Presentation
was
prepared.  For Agency Hybrids, the Nisswa Fixed Income Fund did not make any trades in this asset type around the time this Presentation was prepared; accordingly, the yield information was based on a dealer quote sheet
obtained from a broker-dealer around the time this Presentation was prepared.  As Agency Hybrids are relatively fungible securities, Two Harbors  believes the yields reflected in such quote sheet were reasonable and
representative of such securities generally.  The yields shown in the table were not adjusted from the yield data obtained from such sources.
(4)
The following assumptions relating to prepayment, defaults and losses were used for each asset type:  Agency Hybrids: 15 Constant Prepayment Rate (“CPR”); Non-Agency Super Senior: 1 CPR, 30 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
rate,
expressed
as
a
percentage
of
a
mortgage
pool’s
outstanding
principal,
at
which
loans
are expected to be prepaid in a given year.  CDR refers to the rate, expressed as a percentage of a mortgage pool’s outstanding principal, at which loans are expected to default in a given year.  Loss Severity refers to the total
expected principal loss of a loan, expressed as a percentage of the loan balance at the time of liquidation, including foreclosure and liquidation costs.  The CPR assumption shown above for Agency Hybrids is, according to
J.P.Morgan’s
April 2009 Agency Hybrid ARMs
Primer, market convention for valuing Agency Hybrid pools and, accordingly, Two Harbors believes that the use of such market convention was reasonable.  The CPR, CDR
and Loss Severity assumptions shown above for the other asset types were based on April 2009 historical mortgage loan performance data included in Bank of America/Merrill Lynch’s The Mortgage Credit Roundup, May 21,
2009, as adjusted to take into account then existing market conditions (as reflected in the prepayment, default and loss assumptions contained in the quote, bid and offering data described in footnote (3), and by the yields on
securities traded by the Nisswa Fixed Income Fund described in footnote (3)) and the risk of potential further degradation in the residential mortgage market.  Two Harbors believes that using the data from this report, as
adjusted
as
described
above,
was
reasonable.
In
the
case
of
CPR,
in
general,
when
RMBS
is
purchased
at
a
discount
to
par,
faster
prepayments
will
improve
its
yield,
when
RMBS
is
purchase
data
premium,
faster
prepayments
will
reduce
its
yield
and,
when
RMBS
is
purchased
at
par,
its
yield
will
be
unaffected
by
prepayments.
The
yields
for
the
securities
within
the
listed
asset
classes
assumed
these
securities
were
purchased
at
a
discount
to
par.
In
the case of CDR and Loss Severity, in general, defaults and losses will reduce the yield of non-Agency RMBS.
(5)
Assumes borrowings of nine times invested equity. This assumed debt to invested equity ratio was based on (i) the fact that repurchase agreement transactions effected by the Nisswa Fixed Income Fund involving Agency
securities around the time the presentation was prepared had a debt to invested equity ratio of 19:1 or higher, and (ii) the fact that, since inception, the debt to invested equity ratios of the Nisswa Fixed Income Fund’s
repurchase agreement transactions have predominantly been between 32:1 and 19:1 and have never been less than 9:1.
(6)
Two Harbors expects that advances under most of the repurchase agreements it intends to utilize will bear interest at One Month LIBOR plus an applicable margin.  The finance rate and corresponding interest expense
shown
above
were
based
on
(i)
One
Month
LIBOR
of
31
basis
points
and
(ii)
the
45
basis
point
interest
rate
obtained
in
connection
with
repurchase
agreement
transactions
effected
by
the
Nisswa
Fixed
Income
Fund
involving Agency securities, in each case, around the time this Presentation was prepared, as adjusted to take into account the risk of potential further degradation in credit markets.
(7)
Total
leverage
shows
the
ratio
of
debt
to
equity.
The
ratio
shown
above
assumes
debt
of
$451.9
million
in
the
case
of
the
maximum
transaction
size,
and
$180
million
in
the
case
of
the
minimum
transaction
size
of
$100
million.
Hypothetical Portfolio (cont’d)

14
Assumption
Value of 1 CPR
Trailing 6mo
Total CPR
5
6
17
CDR
5
5
4.6
Severity
50
50
30.9
Yield
24%
28%
77%
WFMBS 06-AR11 A7
Non-Agency Discount Example
Voluntary CPRs
5%
8%
10%
15%
25%
40% Severity
32%
43%
50%
68%
107%
50% Severity
24%
36%
44%
63%
104%
When purchasing deep discount securities, prepayment speeds can have a significant impact on returns.  Below is an example of a Wells
Fargo originated senior support bond available for purchase in July 2009 for just over $31. The bond is backed by Prime jumbo 7x1
adjustable rate mortgages with an average loan size of $603,000 and average FICO score of 742. The average coupon being paid by
borrowers is 6.27%, leaving plenty of refinancing incentive for the almost 90% of borrowers who are current on their loan. Recent
prepayment history of the underlying mortgages support this analysis. As illustrated below, loss severities also impact returns.
SUPER
SENIOR BONDS
WFMBS 2006-AR11 A7
5.24% -
14.94% slice
Sub Bonds
Illustrative Non-Agency Security Investment
Yields
at
Various
Voluntary
CPRs
(2)
and
Loss
Severities
1 CPR 
4% 
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.
(1)
Constant prepayment rate.
(2)
Other assumptions: 5 CDR, Dollar price of $31.25.
(1)

15
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
Dollar Price
50%
55%
60%
65%
70%
75%
$34
44.0%
37.0%
31.0%
25.0%
18.0%
12.0%
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.
Yields
at
Various
Loss
Severity
Assumptions
(2)
        (1)
Constant prepayment rate.
(2)
Other assumptions: 1% voluntary CPR, 35 CDR, Cost of Funds Index (“COFI”) flat at 1.38%. 

16
0
10
20
30
40
50
60
70
Incentive to Prepay in bps (July 2009)
LLB
Generic
0
10
20
30
40
50
60
70
Incentive to Prepay in bps
2003
2009 July
Source:
Merrill Lynch Fixed Income Strategy and J.P. Morgan Securities Inc.
Capacity constraints of mortgage originators.
Significant declines in homeowners equity reduces
borrower’s ability to access funding.
Low
Loan
Balance
(LLB)
–
Fixed
costs
reduce
borrower’s incentive; busy brokers avoid low-fee
business.
Fixed costs represent higher barriers to smaller
borrowers.
Prepayment speeds remain slower than 2003
despite government intervention.
Some prepayments likely to remain slower than
projections.
Prepayment Cycle Creates Pricing Opportunities
Fannie 30-yr. Prepayment Curves
Fannie 30-yr Prepayment Curves by Loan Attributes

17
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.
Yields at Various Prepayment Speeds
Agency Inverse IO Bond Example
Loan Size Data (FNR 2006-21 XS) (as of July 2009)
Constant Prepayment
Rates (CPRs)
Average
Original
Original
Current
Minimum
Maximum
$68,600
$63,300
$13,000
$85,000
5 CPR
10 CPR
15 CPR
25 CPR
35 CPR
45 CPR
Price  11-16
60.1%
53.4%
46.6%
32.3%
17.0%
0.4%
1 month
Aug-09
12.2
Jul-09
19.0
Jun-09
7.9
May-09
10.9
Apr-09
18.0
Mar-09
18.3
Feb-09
12.2
Jan-09
7.9
Dec-08
7.1
Nov-08
8.4
Oct-08
7.3
Sep-08
6.3

18
Diana
Denhardt
–
Repo
Funding
Analyst.
–
20 years financing experience at EBF &
Associates and Cargill
6 member software development team
Supported by 37 operational and administrative
professionals, including:
–
11 member accounting team;
–
3 member legal team;
–
7 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.
–
17
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 145.3% life to date net of fees and
76.3%
annualized net of fees since inception, February 2008.
(1)
(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.
Aaron
Zimmerman
–
Trader.
–
Formerly Citi, member of proprietary trading
group.

19
Two Harbors Investment Team Goals
Create highest return on equity in the mortgage REIT
sector.
Capture significant capital appreciation resulting from government
policies, including if TALF
is expanded to cover RMBS.
Maintain investment flexibility across entire RMBS sector to best
take advantage of opportunities as the mortgage market evolves.

20
Note:
Balance sheet as of June 30, 2009, balances and estimates subject to change. 
(1)
As of September 17, 2009.
(2)
Assumes 100% of sponsors’ promote shares retired, existing 33.2 million warrants amended to an out-of-the-money strike price of $11.00 and
no shareholder conversions or other purchases by Capitol of public shares.
Opportunity for Investors
$1.9
$0.4
Cash and Cash Equivalents
Add: Other Assets and Prepaid Income Taxes
$9.42
Initial Book Value Per Share
(2)
Valuation Summary
($ in millions, except per share amounts)
October 2009
$247.3
Initial Book Value
1.04x
Assumed Price/Initial Book Value
$14.0
Less: Estimated Transaction & Other Expenses
26.25
Fully Diluted Shares (treasury method)
$258.3
Fully Diluted Equity Value
$259.1
Add: Cash Held in Trust
$9.84
Assumed Price Per Share
Capitol’s common stockholders expected to create Two Harbors at or near Book Value.
Estimated Value at Closing
(1)

21
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, PennyMac Mortgage Investment Trust and Redwood Trust.  Prices as of  September 17, 2009.
(1)
Target Leverage defined here as Total Liabilities divided by Total Equity.
(2)
Current  leverage of 1.0x pro forma for recent equity offerings. Unadjusted for the equity offerings, target  leverage would be 2.9x.
(3)
Current  leverage of  5.3x pro forma for recent equity offering. Unadjusted for the equity offering, target  leverage would be 9.6x.
Opportunity for Investors
104%
110%
133%
122%
164%
105%
50.0%
70.0%
90.0%
110.0%
130.0%
150.0%
170.0%
Agency
REIT Mean
Chimera
Redwood
PennyMac
Invesco
Two
Harbors
Non-Agency REIT's
Non-Agency REIT Mean
Non-Agency
Mean: 128%
1.1x
NA
5.3x
5.6x
1.0x
1.0x
2.0x
–
1.0x
2.0x
3.0x
4.0x
5.0x
6.0x
7.0x
Agency
REIT Mean
Chimera
Redwood
PennyMac
Invesco
Two
Harbors
Non-Agency REIT's
Non-Agency REIT Mean
Non-Agency
Mean: 2.5x
2.9x  
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
(2)
(3)

22
0.5x
0.6x
0.7x
0.8x
0.9x
1.0x
1.1x
1.2x
1.3x
1.4x
1.5x
$9.50
$9.75
$9.84
$10.00
$10.50
$11.00
$11.50
$12.00
$12.50
$13.00
$13.50
$14.00
$14.50
Common Price
Two Harbors Price to BV
Non-Agency REIT Mean Price to BV
Price to Book Value
Transaction expected to create Two Harbors closer to Book Value than would be possible
in a traditional IPO or through secondary market purchases.
Opportunity for Investors
Non-Agency
Mean: 1.28x
Note:
Assumes 100% of sponsors’ promote shares retired, existing 33.2 million warrants amended to an out-of-the-money strike price of $11.00 and no shareholder conversions or other purchases by
Capitol of public shares. The impact of this benefit is reduced in the case of maximum shareholder conversions and /or other purchases of public shares.

23
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 145.3% life to date net of fees and 76.3% annualized
net of fees
(1)
and no negative return months since Pine River
launched its RMBS strategy in February 2008.
CLA’s public stockholders expected to create Two Harbors at
1.04x initial Book Value vs. 1.28x 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)
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”.
(2)
Assumes
no
shareholder
conversions
or
other
purchases
by
Capitol
of
public
shares.
The
impact
of
this
benefit
is
reduced
in
the
case
of
maximum
shareholder
conversions
and
/or
other
purchases
of
public
shares.
Please
see
slide
25
entitled
“Comparables:
Non-Agency
and
Agency
REITS”
for
more
information.

Appendix

25
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 September 17, 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
as
Total
Liabilities
divided
by
Total
Equity.
(4)
Expense ratio is all non-interest expense less non-recurring expenses and any provisions for loan losses 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 $238m equity offering on 05/26/09.
(7)
Market cap includes private placement (.735m shares offered at IPO price of $20.00).
(8)
Market
cap
includes
Invesco
Ltd
private
placement
(1.5m
shares
offered
at
IPO
price
of
$20.00).
Book
value
net
of
gross
spread
paid
by
IVR
of
1.5%
of
public
offering
and
other
IPO
expenses
of
$1.9m.
Excludes
over-allotment.
(9)
Pro forma for $387m equity on 7/29/09.
($ in millions, except per share data)
Price
Market
Price /
Div. Yield:
Debt /
%
Expense
Company
Ticker
09/17/09
Cap
2010E EPS
(1)
Book
Most Recent
(2)
Equity
(3)
Agency
Ratio
(4)
Non-Agency REITs
Chimera Investment Corp.
(5)
CIM
$3.85
$2,581
7.3x
1.33x
8.3%
1.0x
35%
1.6%
Redwood Trust
(6)
RWT
16.92
1,311
9.2
1.64
5.9
5.3
0
5.4
PennyMac
Mortgage Investment Trust
(7)
PMT
19.85
332
NA
1.05
NA
NA
NA
NA
Invesco
Mortgage Capital Inc.
(8)
IVR
21.58
216
6.7
1.10
NA
1.1
NA
NA
Mean
7.7x
1.28x
7.1%
2.5x
3.5%
Agency REITs
Annaly
Mortgage
NLY
$18.47
$10,054
6.8x
1.18x
13.0%
5.9x
1.4%
MFA Mortgage
(9)
MFA
8.02
2,245
6.4
1.15
12.5
3.9
1.1
Hatteras Financial
HTS
32.58
1,179
6.8
1.36
13.5
6.4
1.4
Capstead
Mortgage
CMO
14.64
935
6.0
1.28
15.3
6.6
2.7
Anworth
Mortgage
ANH
7.94
827
6.3
1.09
16.1
5.1
2.1
American Capital Agency
AGNC
28.36
426
5.8
1.37
21.2
5.3
3.2
Cypress Sharpridge
Investments
CYS
13.95
253
5.5
1.10
17.2
5.9
2.5
Mean
6.2x
1.22x
15.5%
5.6x
2.1%
Overall Mean
7.0x
1.25x
11.3%
4.0x
2.8

26
1.29x
1.04x
0.03x
(0.14x)
(0.13x)
(0.01x)
0.9x
1.0x
1.1x
1.2x
1.3x
1.4x
1.5x
Initial
Adjust warrants
Retire sponsor shares
Adjust deferred IPO fees
Transaction expenses
Final
We de-SPAC the SPAC
By re-striking warrants at $11.00, retiring the sponsor shares, and restructuring the deferred
fees, we de-SPAC the SPAC.
Current
CLA
Share
Price
(1)
Multiple
of
Book
Value
Non-Agency
Mean: 1.28x
(1)
As of September 17, 2009 closing price.
(2)
Assumes
no
shareholder
conversions
or
other
purchases
by
Capitol
of
public
shares.
The
impact
of
this
benefit
is
reduced
in
the
case
of
maximum
shareholder
conversions
and
/or
other
purchases
of
public
shares.
(2)

27
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 or other purchases by Capitol of public
shares 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
of the merger, are exercisable on a cashless basis. If these warrants
are exercised, the Book Value per Share would be less than $10.30
due
to
dilution
and
the
greater
the
price
of
Two
Harbors’
stock
price at the time of exercise of these warrants, the greater the
dilutive impact.
Warrant Exercise
($ in millions, except per share data)
Warrant strike price to be amended to $11.00.
Pre
Post
Book Value
$247.3
$613.1
Basic Shares Outstanding (mm)
26.25
59.50
Book Value per Share
$9.42
$10.30
% Increase
9.4%

28
Capitol Shareholder Options
Holders of record of CLA stock have the option of receiving a share of Two Harbors or a
pro rata distribution of the cash held in CLA’s trust (currently $9.87).
Capitol Acquisition
Shareholder
The acquisition is
approved
If unable to complete a transaction
by 11/8/2009, shareholder receives
pro rata share of cash-in-trust
(currently $9.87).
The acquisition is
rejected and CLA
liquidates in 11/09
Shareholder receives pro rata share
of cash-in-trust (currently $9.87).
CLA shareholder
votes “no”
Shareholder holds share of
Two Harbors.
CLA shareholder
votes “yes”

29
Experienced Team
Brian
Taylor,
Chairman.
Brian
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
D.
Ein,
Vice-Chairman.
Mark
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.
Thomas
Siering,
Chief
Executive
&
Director.
Prior
to
joining
Pine
River
in
2006,
Tom
was
head
of
the
Value
Investment
Group
at
EBF
&
Associates in 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.
Steve
Kuhn,
Co-Chief
Investment
Officer.
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
17
years
mortgage-related
trading
experience.
Steve
holds
a
B.A.
in
Economics
with
Honors
from
Harvard.
Bill
Roth,
Co-Chief
Investment
Officer.
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.

30
Experienced Team
Jeff
Stolt,
Chief
Financial
Officer.
Prior
to
co-founding
Pine
River
in
2002,
Jeff
was
the
Controller
at
EBF
&
Associates
from
1997
to
2002.
In
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
to
joining
Pine
River
in
2007,
Tim
served
as
Vice
President
and
General
Counsel
of
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 a Juris Doctor
degree
from
the
University
of
Minnesota
Law
School.
Tim
attended
an
eight-week
Advanced
Management
Program
at
Harvard
Business
School
in
the
spring
of
2007.
Andrew
Garcia,
VP
Business
Development.
Prior
to
joining
in
2008,
Andrew
was
the
Event
Driven
and
Business
Combination
Companies
(SPAC)
specialist
in
the
Capital
Markets
division
at
Maxim
Group
in
New
York.
Before
joining
Maxim
Group,
he
was
the
head
trader
at
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.
Brad
Farrell,
Controller.
Prior
to
joining
Pine
River
in
September
2009,
Brad
was
Vice
President,
Director,
External
Reporting
for
GMAC
ResCap,
responsible
for
external
reporting
initiatives
within
the
corporate
function
of
GMAC
ResCap
from
2007
to
2009.
From
2002
to
2007
he
held
various
positions
in
finance
and
accounting with XL Capital and its affiliates.  From 1997 to 2002 he was employed with KPMG.  Brad is a Certified Public Accountant, and graduated with a B.S.B.A.
from Drake University in 1997.
Stephen
G.
Kasnet,
Independent
Director
and
Audit
Committee
Chair.
Stephen
is
a
Director
and
Chairman
of
the
Board
of
Columbia
Laboratories,
Inc.
(NASDAQ: CBRX).  He has been President and Chief Executive Officer of Raymond Property Company LLC since 2007.  From 2000 to 2006 he was President and
Chief
Executive
Officer
of
Harbor
Global
Company,
Ltd.,
an
asset
management,
natural
resources
and
real
estate
investment
company,
and
Chairman
of
PioGlobal
Asset Management.  Mr. Kasnet
also served as a past director and member of the Executive Committee of The Bradley Real Estate Trust and served as Chairman of
Warren Bank.  He has held senior management positions with Pioneer Group, Inc.; First Winthrop Corporation and Winthrop Financial Associates; and Cabot and
Forbes.
He
serves
as
Chairman
of
the
Board
of
Rubicon
Ltd.
(forestry)
and
is
a
director
of
Tenon
Ltd.
(wood
products).
He
is
also
a
trustee
and
vice
president
of
the
board
of
The
Governor’s
Academy,
Byfield,
MA.
Mr.
Kasnet
received
a
Bachelor
of
Arts
from
the
University
of
Pennsylvania
in
1966.
William
W.
Johnson,
Independent
Director.
William
was
a
Managing
Director
of
J.P.
Morgan
from
2006
to
2009,
where
he
held
senior
roles
including
Divisional
Management
and
Risk
Committee
Member,
Head
of
Proprietary
Positioning
Business,
and
Head
of
Tax-Exempt
Capital
Markets.
From
2004
to
2005,
he
was
a
private
investor.
William
was
the
President
of
Paloma
Partners,
a
private
capital
management
company
in
Greenwich,
Connecticut
from
2001
to
2003.
Prior
to
working
at
Paloma,
he
worked
for
UBS
and
its
predecessors
in
Chicago,
Singapore,
London
and
Basel
from
1984
to
2001.
He
began
his
career
in
currency
options
trading,
and
served in several senior management functions at UBS including Divisional Management and Risk Committee Member and Global Head of Treasury Products. William
received a Bachelor of Science degree from the University of Pennsylvania Wharton School in 1984, and a Masters in Business Administration from the University of
Chicago in 1988.

31
Experienced Team
Reid
Sanders,
Independent
Director.
Reid
was
the
Co-Founder
and
former
Executive
Vice
President
of
Southeastern
Asset
Management,
and
the
former
President
of
Longleaf
Partners
Mutual
Funds
from
1975-2000.
He
is
currently
the
President
of
Sanders
Properties,
a
Director
of
Independent
Bank,
and
serves
on
the
Investment
Committee
of
Cypress
Reality
and
on
the
Advisory
Board
of
SSM
Venture
Partners.
Prior
to
founding
Sourtheastern
Asset
Management,
Mr.
Sanders
held
roles
as
an
Investment
Officer
at
First
Tennessee
Investment
Management
from
1973-1975,
and
as
a
Credit
Analyst
in
Commercial
Lending
at
Union
Planters
National
Bank
from
1971-1972.
Previous
directorships
include
serving
as
Chairman
of
Two
Rivers
Capital
Management,
and
as
a
director
of
Harbor
Global
Company
Ltd.,
PioGlobal
Asset
Management,
The
Pioneer
Group
and
TBA
Entertainment
Corporation.
Mr.
Sanders
is
a
Trustee
of
the
Hugo
Dixon
Foundation,
the
Dixon
Gallery
and
Gardens,
the
Hutchison
School,
Campbell
Clinic
Foundation,
The
Jefferson
Scholars
Foundation,
TN
Shakespeare
Company,
and
a
former
Trustee
of
Rhodes
College.
He
received
a
Bachelors
of
Economics
from
the
University
of
Virginia
in
1971.

32
Contact Details
Mark Ein
Chairman and CEO
Capitol Acquisition Corp.
202 654 7001
mark@capitolacquisition.com
For further information, please contact:
Andrew Garcia
VP of Business Development
Two Harbors Investment Corp.
612 238 3307
andrew.garcia@twoharborsinvestment.com