%PDF-1.5 1 0 obj <> endobj 3 0 obj <> endobj 4 0 obj <> stream BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL q 0 0 0 rg BT 297.65 31.60 Td (- 1 -) Tj ET Q /GS0 gs q 63.00 0 0 77.00 50.00 672.00 cm /I1 Do Q BT /F2 10.00 Tf ET BT /F3 13.00 Tf ET q 0 0 0 rg BT 88.95 643.25 Td (T) Tj ET Q q 0 0 0 rg BT 96.66 643.25 Td (wo Harbors Investment Corp. Reports ) Tj ET Q BT /F3 13.00 Tf ET q 0 0 0 rg BT 313.79 643.25 Td (Third Quarter) Tj ET Q BT /F3 13.00 Tf ET q 0 0 0 rg BT 394.80 643.25 Td ( ) Tj ET Q BT /F3 13.00 Tf ET q 0 0 0 rg BT 398.05 643.25 Td (2012) Tj ET Q BT /F3 13.00 Tf ET q 0 0 0 rg BT 424.05 643.25 Td ( Financial Results) Tj ET Q BT /F4 12.00 Tf ET q 0 0 0 rg BT 226.00 628.80 Td (Deliver) Tj ET Q q 0 0 0 rg BT 261.54 628.80 Td (ed T) Tj ET Q q 0 0 0 rg BT 281.44 628.80 Td (otal Return of 18.7%) Tj ET Q BT /F4 12.00 Tf ET BT /F4 7.80 Tf ET q 0 0 0 rg BT 382.09 634.24 Td (1) Tj ET Q BT /F3 11.00 Tf ET q 0 0 0 rg BT 50.00 596.65 Td (NEW) Tj ET Q q 0 0 0 rg BT 76.08 596.65 Td ( ) Tj ET Q q 0 0 0 rg BT 78.42 596.65 Td (YORK, ) Tj ET Q BT /F3 11.00 Tf ET q 0 0 0 rg BT 116.92 596.65 Td (November) Tj ET Q q 0 0 0 rg BT 165.60 596.65 Td (6, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 201.35 596.65 Td ( - ) Tj ET Q BT /F2 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL 0 0 1 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 210.41015625 595.18369140625 m 347.01611328125 595.18369140625 l s q 0 0 1 rg BT 210.31 596.65 Td (T) Tj ET Q q 0 0 1 rg BT 216.26 596.65 Td (wo Harbors Investment Corp.) Tj ET Q BT /F2 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL q 0 0 0 rg BT 347.02 596.65 Td ( \(NYSE: ) Tj ET Q q 0 0 0 rg BT 387.76 596.65 Td (TWO; NYSE MKT) Tj ET Q q 0 0 0 rg BT 473.98 596.65 Td (: ) Tj ET Q q 0 0 0 rg BT 479.59 596.65 Td (TWO.WS\), a real ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 583.45 Td (estate investment trust that invests in residential mortgage-backed securities \(RMBS\), residential mortgage loans, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 570.25 Td (residential real properties and other financial assets, today announced its financial results for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 557.05 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 138.29 557.05 Td (.) Tj ET Q BT /F5 11.00 Tf ET q 0 0 0 rg BT 50.00 524.85 Td (Highlights) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 511.65 Td () Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 68.00 498.45 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 498.45 Td (The company reported Comprehensive Income of $524.4 million, or $1.94 per diluted weighted average ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 485.25 Td (common share. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 68.00 458.85 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 458.85 Td (Book value increased 15.1% to $1) Tj ET Q q 0 0 0 rg BT 236.50 458.85 Td (1.44 per diluted common share at September 30, 2012, due primarily to ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 445.65 Td (strong appreciation in the company's ) Tj ET Q q 0 0 0 rg BT 249.58 445.65 Td (Agency and non-Agency RMBS holdings, net of hedges.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 68.00 419.25 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 419.25 Td (The ) Tj ET Q q 0 0 0 rg BT 105.24 419.25 Td (Agency RMBS portfolio, inclusive of IIOs, experienced a low and stable three-month average Constant ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 406.05 Td (Prepayment Rate \(CPR\) of 6%, which contributed to the RMBS portfolio's aggregate yield of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 500.10 406.05 Td (4.2%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 523.01 406.05 Td (.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 68.00 379.65 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 379.65 Td (The company reported Core Earnings of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 266.22 379.65 Td ($84.4) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 290.97 379.65 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 342.91 379.65 Td ($0.31) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 367.66 379.65 Td ( per diluted weighted average common ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 366.45 Td (share. ) Tj ET Q q 0 0 0 rg BT 114.51 366.45 Td (Third quarter Core Earnings were impacted by timing of the capital deployment from the company's ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 353.25 Td (July 2012 capital raise and lower yields on the company's ) Tj ET Q q 0 0 0 rg BT 341.54 353.25 Td (Agency RMBS securities acquired in recent ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 340.05 Td (months.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 68.00 313.65 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 313.65 Td (The company declared a dividend of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 249.71 313.65 Td ($0.36) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 274.46 313.65 Td ( per common share, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 375.87 313.65 Td (12.3%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 404.29 313.65 Td ( annualized dividend yield, based ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 300.45 Td (upon the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 126.94 300.45 Td (September 28, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 215.23 300.45 Td ( closing price of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 289.15 300.45 Td ($1) Tj ET Q q 0 0 0 rg BT 299.74 300.45 Td (1.75) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 318.99 300.45 Td (. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 68.00 274.05 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 274.05 Td (The company completed an accretive public stock of) Tj ET Q q 0 0 0 rg BT 318.24 274.05 Td (fering in July 2012, which resulted in the issuance of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 260.85 Td (57.5 million shares of common stock for net proceeds of approximately $592.4 million. ) Tj ET Q q 0 0 0 rg BT 473.78 260.85 Td (The company ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 247.65 Td (completed deployment of the proceeds from this of) Tj ET Q q 0 0 0 rg BT 310.93 247.65 Td (fering primarily by making additional acquisitions of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.00 234.45 Td (RMBS securities and residential real properties. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 208.05 Td ("W) Tj ET Q q 0 0 0 rg BT 63.99 208.05 Td (e had a remarkable quarter) Tj ET Q q 0 0 0 rg BT 180.81 208.05 Td (," said ) Tj ET Q q 0 0 0 rg BT 211.07 208.05 Td (Thomas Siering, ) Tj ET Q q 0 0 0 rg BT 286.34 208.05 Td (T) Tj ET Q q 0 0 0 rg BT 292.29 208.05 Td (wo Harbors' President and Chief Executive Of) Tj ET Q q 0 0 0 rg BT 496.29 208.05 Td (ficer) Tj ET Q q 0 0 0 rg BT 515.83 208.05 Td (. "Our ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 194.85 Td (RMBS portfolio delivered its most outstanding performance since the company's formation, achieving an ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 181.65 Td (annualized return on average equity of 70.2% on a Comprehensive Income basis. ) Tj ET Q q 0 0 0 rg BT 409.63 181.65 Td (W) Tj ET Q q 0 0 0 rg BT 419.13 181.65 Td (e believe this performance ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 168.45 Td (demonstrates not only the advantages of our hybrid investment strategy) Tj ET Q q 0 0 0 rg BT 363.63 168.45 Td (, but also highlights the strength of our ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 155.20 Td (security selection process and speaks to the high caliber of our investment team.") Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 50.00 55.20 Td (\(1\) ) Tj ET Q BT /F2 8.00 Tf ET q 0 0 0 rg BT 62.74 55.20 Td (The term total return means \(i\) the change in ) Tj ET Q q 0 0 0 rg BT 214.76 55.20 Td (T) Tj ET Q q 0 0 0 rg BT 219.08 55.20 Td (wo Harbors' book value per share at September 30, 2012 as compared to June 30, 2012, plus \(ii\)) Tj ET Q BT /F2 8.00 Tf ET q 0 0 0 rg BT 50.00 45.60 Td (dividends declared by ) Tj ET Q q 0 0 0 rg BT 122.05 45.60 Td (T) Tj ET Q q 0 0 0 rg BT 126.38 45.60 Td (wo Harbors in the third quarter of 2012, divided by ) Tj ET Q q 0 0 0 rg BT 292.20 45.60 Td (T) Tj ET Q q 0 0 0 rg BT 296.53 45.60 Td (wo Harbors' book value per share at June 30, 2012.) Tj ET Q endstream endobj 5 0 obj <> endobj 6 0 obj <> stream BT /F1 9.00 Tf ET BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET q 0 0 0 rg BT 297.65 31.60 Td (- 2 -) Tj ET Q BT /F5 11.00 Tf ET q 0 0 0 rg BT 50.00 741.60 Td (Operating Performance) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 728.40 Td () Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 715.20 Td (The following table summarizes the company's GAAP) Tj ET Q q 0 0 0 rg BT 289.86 715.20 Td ( and non-GAAP) Tj ET Q q 0 0 0 rg BT 360.94 715.20 Td ( earnings measurements and key metrics for ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 702.00 Td (the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 66.19 702.00 Td (third quarter) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 120.86 702.00 Td ( of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 135.52 702.00 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 157.52 702.00 Td (:) Tj ET Q 0.8 0.9333333333333333 1 rg /GS0 gs 49.50 678.30 224.00 -14.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 273.50 678.30 48.00 -14.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 321.50 678.30 48.00 -14.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 369.50 678.30 48.00 -14.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 417.50 678.30 48.00 -14.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 465.50 678.30 48.00 -14.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 513.50 678.30 48.00 -14.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 49.50 650.30 224.00 -50.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 273.50 650.30 48.00 -50.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 321.50 650.30 48.00 -50.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 369.50 650.30 48.00 -50.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 417.50 650.30 48.00 -50.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 465.50 650.30 48.00 -50.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 513.50 650.30 48.00 -50.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 49.50 582.30 224.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 273.50 582.30 48.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 321.50 582.30 48.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 369.50 582.30 48.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 417.50 582.30 48.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 465.50 582.30 48.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 513.50 582.30 48.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 49.50 546.30 224.00 -7.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 273.50 546.30 48.00 -7.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 321.50 546.30 48.00 -7.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 369.50 546.30 48.00 -7.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 417.50 546.30 48.00 -7.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 465.50 546.30 48.00 -7.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 513.50 546.30 48.00 -7.00 re f /GS0 gs 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0.9333333333333333 1 rg /GS0 gs 513.50 485.30 48.00 -18.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 49.50 460.30 512.00 -50.00 re f /GS0 gs 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 273.5 650.3 m 321.5 650.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 321.5 650.3 m 369.5 650.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 369.5 650.3 m 417.5 650.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 417.5 650.3 m 465.5 650.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 465.5 650.3 m 513.5 650.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 513.5 650.3 m 561.5 650.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 273.5 600.3 m 321.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 321.5 600.3 m 369.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 369.5 600.3 m 417.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 417.5 600.3 m 465.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 465.5 600.3 m 513.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 513.5 650.3 m 561.5 650.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 513.5 600.3 m 561.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 273.5 600.3 m 321.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 321.5 600.3 m 369.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 369.5 600.3 m 417.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 417.5 600.3 m 465.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 465.5 600.3 m 513.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 513.5 600.3 m 561.5 600.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 273.5 539.3 m 321.5 539.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 273.5 539.3 m 321.5 539.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 273.5 521.3 m 321.5 521.3 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 273.5 521.3 m 321.5 521.3 l s BT /F3 9.00 Tf ET q 0 0 0 rg BT 52.00 668.75 Td (Two Harbors Operating Performance) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 654.76 Td (\(dollars in thousands, except per share data\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 329.00 654.76 Td (Q3-2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 469.60 654.76 Td (YTD 2012) Tj ET Q BT /F3 9.00 Tf ET 0 0 0 RG /GS0 gs 0.86 w 0 i [] 0 d 1 J 1 j 3 M 52 603.346337890625 m 87.01123046875 603.346337890625 l s q 0 0 0 rg BT 52.00 604.75 Td (Earnings) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 283.75 604.76 Td ( Earnings) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 324.50 622.76 Td ( Per diluted) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 333.00 613.76 Td (weighted) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 347.00 604.76 Td (share) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 372.50 631.76 Td (Annualized) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 381.25 622.76 Td (return on) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.00 613.76 Td (average) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 391.50 604.76 Td (equity) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 427.75 604.76 Td ( Earnings) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.50 622.76 Td ( Per diluted) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 477.00 613.76 Td (weighted) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 491.00 604.76 Td (share) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 516.50 631.76 Td (Annualized) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 525.25 622.76 Td (return on) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 530.00 613.76 Td (average) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 535.50 604.76 Td (equity) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 586.76 Td (Core Earnings) Tj ET Q BT /F2 9.00 Tf ET BT /F2 5.85 Tf ET q 0 0 0 rg BT 103.74 590.84 Td (1) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 276.00 586.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 288.75 586.76 Td (84,377) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 324.00 586.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 350.25 586.76 Td (0.31) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 393.75 586.76 Td (11.3) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 409.50 586.76 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 420.00 586.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 432.75 586.76 Td (224,213) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.00 586.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 494.25 586.76 Td (1.00) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 537.75 586.76 Td (13.0) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 553.50 586.76 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 568.76 Td (GAAP Net Income) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 276.00 568.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 288.75 568.76 Td (26,802) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 324.00 568.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 350.25 568.76 Td (0.10) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 398.25 568.76 Td (3.6) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 409.50 568.76 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 420.00 568.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 432.75 568.76 Td (102,606) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.00 568.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 494.25 568.76 Td (0.46) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 542.25 568.76 Td (6.0) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 553.50 568.76 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 550.76 Td (Comprehensive Income) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 276.00 550.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 284.25 550.76 Td (524,400) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 324.00 550.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 350.25 550.76 Td (1.94) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 393.75 550.76 Td (70.2) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 409.50 550.76 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 420.00 550.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 432.75 550.76 Td (861,718) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.00 550.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 494.25 550.76 Td (3.84) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 537.75 550.76 Td (50.1) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 553.50 550.76 Td (%) Tj ET Q BT /F3 9.00 Tf ET 0 0 0 RG /GS0 gs 0.86 w 0 i [] 0 d 1 J 1 j 3 M 52 524.346337890625 m 123.2265625 524.346337890625 l s q 0 0 0 rg BT 52.00 525.75 Td (Operating Metrics) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 286.00 525.76 Td (Q3-2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 507.76 Td (Dividend per common share) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 276.00 507.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 297.75 507.76 Td (0.36) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 489.76 Td (Book value per diluted share at period end) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 276.00 489.76 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 293.25 489.76 Td (11.44) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 471.76 Td (Other operating expenses as a percentage of average equity) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 302.25 471.76 Td (0.9) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 313.50 471.76 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 441.76 Td (\(1\) Core Earnings is a non-GAAP measure that the company defines as GAAP net income, excluding impairment losses, gains or losses on) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 432.76 Td (sales of securities and termination of interest rate swaps, unrealized gains or losses on trading securities, interest rate swaps and swaptions) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 423.76 Td (and certain gains or losses on derivative instruments. As defined, Core Earnings includes interest income associated with the company's) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 414.76 Td (inverse interest-only securities \("Agency Derivatives"\) and premium income or loss on credit default swaps.) Tj ET Q BT /F2 10.00 Tf ET BT /F2 11.00 Tf ET 0 0 0 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 50 384.13369140625 m 134.626953125 384.13369140625 l s q 0 0 0 rg BT 50.00 385.60 Td (Earnings Summary) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 372.40 Td (T) Tj ET Q q 0 0 0 rg BT 55.95 372.40 Td (wo Harbors reported Core Earnings for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 310.39 372.40 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 398.68 372.40 Td ( of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 413.34 372.40 Td ($84.4) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 438.09 372.40 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 490.03 372.40 Td ($0.31) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 514.78 372.40 Td ( per ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 359.20 Td (diluted weighted average common share outstanding, as compared to Core Earnings for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 517.34 359.20 Td (June30, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 346.00 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 72.00 346.00 Td ( of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 86.66 346.00 Td ($76.1) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 111.41 346.00 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 163.36 346.00 Td ($0.35) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 188.11 346.00 Td ( per diluted weighted average common share outstanding. Core Earnings were ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 332.80 Td (impacted by costs associated with timing of capital deployment from the company's July 2012 capital raise and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 319.60 Td (lower yields on the company's ) Tj ET Q q 0 0 0 rg BT 185.49 319.60 Td (Agency RMBS securities acquired in recent months.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 293.20 Td (During the quarter) Tj ET Q q 0 0 0 rg BT 130.81 293.20 Td (, the company sold residential mortgage-backed securities for $9.4 million with an amortized) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 280.00 Td (cost of $9.6 million, for a net realized loss of $0.2 million, net of tax; recognized a change in unrealized fair) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 266.80 Td (value gains on U.S. ) Tj ET Q q 0 0 0 rg BT 138.40 266.80 Td (T) Tj ET Q q 0 0 0 rg BT 144.74 266.80 Td (reasury trading securities of $1.8 million, net of tax; and recognized other) Tj ET Q q 0 0 0 rg BT 468.61 266.80 Td (-than-temporary) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 253.60 Td (credit impairment losses on its RMBS securities of $0.6 million, net of tax. During the quarter) Tj ET Q q 0 0 0 rg BT 463.83 253.60 Td (, the company had a ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 240.40 Td (net loss of $5.0 million, net of tax, related to swap terminations and swaption expirations. In addition, the company ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 227.20 Td (recognized in earnings an unrealized loss, net of tax, of $54.0 million associated with its interest rate swaps and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 214.00 Td (swaptions economically hedging its repurchase agreements and available-for) Tj ET Q q 0 0 0 rg BT 387.91 214.00 Td (-sale securities; an unrealized loss, net ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 200.80 Td (of tax, of $3.0 million associated with its interest rate swaps economically hedging its trading securities; and net ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 187.60 Td (gains on other derivative instruments of approximately $3.2 million, net of tax.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 174.40 Td () Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 161.20 Td (The company reported GAAP) Tj ET Q q 0 0 0 rg BT 181.86 161.20 Td ( Net Income of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 250.89 161.20 Td ($26.8) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 275.64 161.20 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 327.58 161.20 Td ($0.10) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 352.33 161.20 Td ( per diluted weighted average common share ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 148.00 Td (outstanding, for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 201.51 148.00 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 289.80 148.00 Td (, as compared to ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 364.63 148.00 Td ($24.0) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 389.38 148.00 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 441.33 148.00 Td ($0.1) Tj ET Q q 0 0 0 rg BT 460.17 148.00 Td (1) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 465.67 148.00 Td ( per diluted weighted ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 134.80 Td (average common share outstanding, for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 305.65 134.80 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 367.07 134.80 Td (. On a GAAP) Tj ET Q q 0 0 0 rg BT 425.93 134.80 Td ( basis, the company earned ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 121.60 Td (an annualized return on average equity of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 235.39 121.60 Td (3.6%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 258.30 121.60 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 279.68 121.60 Td (4.5%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 302.60 121.60 Td ( for the quarters ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 404.30 121.60 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 492.59 121.60 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 513.98 121.60 Td (June30, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 108.40 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 72.00 108.40 Td (, respectively) Tj ET Q q 0 0 0 rg BT 129.93 108.40 Td (. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 95.20 Td () Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 82.00 Td (The company reported Comprehensive Income of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 271.76 82.00 Td ($524.4) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 302.01 82.00 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 353.95 82.00 Td ($1.94) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 378.70 82.00 Td ( per diluted weighted average common ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 68.80 Td (share outstanding, for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 227.47 68.80 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 315.76 68.80 Td (, as compared to ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 390.59 68.80 Td ($141.6) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 420.84 68.80 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 472.79 68.80 Td ($0.66) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 497.54 68.80 Td ( per diluted ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 55.60 Td (weighted average common share outstanding, for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 348.72 55.60 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 410.14 55.60 Td (. ) Tj ET Q q 0 0 0 rg BT 415.44 55.60 Td (The company records unrealized ) Tj ET Q endstream endobj 7 0 obj <> endobj 8 0 obj <> stream BT /F1 9.00 Tf ET BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET q 0 0 0 rg BT 297.65 31.60 Td (- 3 -) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 741.40 Td (fair value gains and losses for RMBS securities, classified as available-for) Tj ET Q q 0 0 0 rg BT 376.33 741.40 Td (-sale, as Other Comprehensive Income in ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 728.20 Td (the Statement of Stockholders' Equity) Tj ET Q q 0 0 0 rg BT 215.63 728.20 Td (. ) Tj ET Q q 0 0 0 rg BT 220.93 728.20 Td (The third quarter 2012 was positively impacted by an aggregate unrealized ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 715.00 Td (increase in fair value of $497.6 million on the company's portfolio, driven by appreciation in the company's ) Tj ET Q q 0 0 0 rg BT 525.31 715.00 Td (Agency ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 701.80 Td (and non-Agency RMBS holdings. On a Comprehensive Income basis, the company recognized an annualized return ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 688.60 Td (on average equity of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 142.85 688.60 Td (70.2%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 171.26 688.60 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 192.65 688.60 Td (26.6%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 221.06 688.60 Td ( for the quarters ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 322.77 688.60 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 411.06 688.60 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 432.44 688.60 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 493.85 688.60 Td (, respectively) Tj ET Q q 0 0 0 rg BT 551.78 688.60 Td (. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 675.40 Td () Tj ET Q BT /F2 11.00 Tf ET 0 0 0 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 50 660.73369140625 m 132.47314453125 660.73369140625 l s q 0 0 0 rg BT 50.00 662.20 Td (Other Key Metrics) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 649.00 Td (T) Tj ET Q q 0 0 0 rg BT 55.95 649.00 Td (wo Harbors declared a quarterly dividend of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 253.57 649.00 Td ($0.36) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 278.32 649.00 Td ( per common share for the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 459.74 649.00 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 548.03 649.00 Td (. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 635.80 Td (The annualized dividend yield on the company's common stock for the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 364.48 635.80 Td (third quarter) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 418.71 635.80 Td (, based on the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 481.95 635.80 Td (September 28, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 622.60 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 72.00 622.60 Td ( closing price of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 145.92 622.60 Td ($1) Tj ET Q q 0 0 0 rg BT 156.51 622.60 Td (1.75) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 175.76 622.60 Td (, was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 201.12 622.60 Td (12.3%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 229.53 622.60 Td (. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 609.40 Td () Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 596.20 Td (The company's book value per diluted share, after giving ef) Tj ET Q q 0 0 0 rg BT 311.42 596.20 Td (fect to the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 358.15 596.20 Td (third quarter) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 412.82 596.20 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 415.57 596.20 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 437.57 596.20 Td ( dividend of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 493.48 596.20 Td ($0.36) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 518.23 596.20 Td (, was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 583.00 Td ($1) Tj ET Q q 0 0 0 rg BT 60.59 583.00 Td (1.44) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 79.84 583.00 Td ( as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 106.42 583.00 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 194.71 583.00 Td (, compared to ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 257.63 583.00 Td ($9.94) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 282.38 583.00 Td ( as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 308.96 583.00 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 370.37 583.00 Td (.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 556.60 Td (Other operating expenses for the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 196.31 556.60 Td (third quarter) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 250.98 556.60 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 253.73 556.60 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 275.73 556.60 Td ( were approximately ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 368.89 556.60 Td ($6.5) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 388.14 556.60 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 440.08 556.60 Td (0.9%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 462.99 556.60 Td ( of average equity) Tj ET Q q 0 0 0 rg BT 541.38 556.60 Td (,) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 543.40 Td (compared to approximately ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 173.71 543.40 Td ($4.2) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 192.96 543.40 Td ( million, or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 244.90 543.40 Td (0.8%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 267.81 543.40 Td (, for the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 305.08 543.40 Td (second quarter) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 369.52 543.40 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 372.27 543.40 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 394.27 543.40 Td (. ) Tj ET Q q 0 0 0 rg BT 399.57 543.40 Td (Third quarter operating expenses ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 530.20 Td (were impacted by an increase in real estate related expenses associated with the company's portfolio of single-) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 517.00 Td (family residential properties. ) Tj ET Q BT /F5 11.00 Tf ET q 0 0 0 rg BT 50.00 477.40 Td (Portfolio Summary) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 464.20 Td (For the quarter ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 147.13 464.20 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 235.42 464.20 Td (, the annualized yield on average RMBS securities and ) Tj ET Q q 0 0 0 rg BT 478.58 464.20 Td (Agency ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 451.00 Td (Derivatives was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 123.31 451.00 Td (4.2%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 146.22 451.00 Td ( and the annualized cost of funds on the average borrowings, which includes net interest rate ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 437.80 Td (spread expense on interest rate swaps, was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 239.99 437.80 Td (1.1%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 262.90 437.80 Td (. ) Tj ET Q q 0 0 0 rg BT 268.21 437.80 Td (This resulted in a net interest rate spread of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 460.94 437.80 Td (3.1%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 483.86 437.80 Td (, which compares ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 424.60 Td (to ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 61.31 424.60 Td (3.6%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 84.22 424.60 Td ( in the prior quarter) Tj ET Q q 0 0 0 rg BT 169.14 424.60 Td (. Net interest spread for the third quarter was impacted primarily by lower yields on the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 411.40 Td (company's ) Tj ET Q q 0 0 0 rg BT 98.73 411.40 Td (Agency RMBS securities acquired in recent months. ) Tj ET Q q 0 0 0 rg BT 335.28 411.40 Td (Third quarter net interest spread was also af) Tj ET Q q 0 0 0 rg BT 527.81 411.40 Td (fected ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 398.20 Td (to a lesser extent by significantly extending the company's repurchase agreements and the incremental expense ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 385.00 Td (associated with maintaining the company's interest rate hedging strategy as the company aligned its notional ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 371.80 Td (hedging positions with the capital deployed from its July 2012 common stock of) Tj ET Q q 0 0 0 rg BT 403.59 371.80 Td (fering.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 345.40 Td (The company reported debt-to-equity) Tj ET Q q 0 0 0 rg BT 213.92 345.40 Td (, defined as total borrowings to fund RMBS securities, residential mortgage ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 332.20 Td (loans and ) Tj ET Q q 0 0 0 rg BT 93.99 332.20 Td (Agency Derivatives divided by total equity) Tj ET Q q 0 0 0 rg BT 282.98 332.20 Td (, of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 300.40 332.20 Td (3.8) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 314.15 332.20 Td (:1.0 and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 352.33 332.20 Td (4.3) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 366.08 332.20 Td (:1.0 at ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 396.33 332.20 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 484.62 332.20 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 506.00 332.20 Td (June30, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 319.00 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 72.00 319.00 Td (, respectively) Tj ET Q q 0 0 0 rg BT 129.93 319.00 Td (. ) Tj ET Q q 0 0 0 rg BT 135.23 319.00 Td (The third quarter debt-to-equity ratio was impacted by proceeds received from the issuance of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 305.80 Td (common stock in connection with warrants exercised in September) Tj ET Q q 0 0 0 rg BT 344.48 305.80 Td (.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 279.40 Td (The company's portfolio is principally comprised of RMBS available-for) Tj ET Q q 0 0 0 rg BT 370.69 279.40 Td (-sale securities and ) Tj ET Q q 0 0 0 rg BT 456.52 279.40 Td (Agency Derivatives. ) Tj ET Q q 0 0 0 rg BT 549.08 279.40 Td (As ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 266.20 Td (of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 61.91 266.20 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 150.20 266.20 Td (, the total value of the portfolio was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 309.97 266.20 Td ($15.3 billion) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 366.19 266.20 Td (, of which approximately ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 479.52 266.20 Td ($12.8 billion) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 535.75 266.20 Td ( was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 253.00 Td (Agency RMBS and ) Tj ET Q q 0 0 0 rg BT 138.31 253.00 Td (Agency Derivatives and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 247.35 253.00 Td ($2.5 billion) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 298.07 253.00 Td ( was non-Agency RMBS. ) Tj ET Q q 0 0 0 rg BT 413.27 253.00 Td (As of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 440.16 253.00 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 528.45 253.00 Td (, fixed-) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 239.80 Td (rate securities composed ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 160.88 239.80 Td (82.1%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 189.29 239.80 Td ( of the company's portfolio and adjustable-rate securities composed ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 488.49 239.80 Td (17.9%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 516.90 239.80 Td ( of the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 226.60 Td (company's portfolio. In addition, the company held $) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 283.24 226.60 Td (1.0) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 296.99 226.60 Td ( billion of U.S. ) Tj ET Q q 0 0 0 rg BT 365.24 226.60 Td (T) Tj ET Q q 0 0 0 rg BT 371.57 226.60 Td (reasuries classified on its balance sheet as ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 213.40 Td (trading securities and $190.9 million of Investments in Real Estate as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 369.85 213.40 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 458.14 213.40 Td (.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 200.20 Td () Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 187.00 Td (T) Tj ET Q q 0 0 0 rg BT 55.95 187.00 Td (wo Harbors was a party to interest rate swaps and swaptions as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 347.68 187.00 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 435.97 187.00 Td ( with an aggregate notional ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 173.80 Td (amount of $18.2 billion, of which $17.2 billion was utilized to economically hedge interest rate risk associated with ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 160.60 Td (the company's short-term LIBOR-based repurchase agreements. During the third quarter) Tj ET Q q 0 0 0 rg BT 438.86 160.60 Td (, the company maintained ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 147.40 Td (its interest rate hedging strategy and aligned its notional hedging positions with the capital deployed from its July ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 134.20 Td (2012 common stock of) Tj ET Q q 0 0 0 rg BT 150.93 134.20 Td (fering.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 121.00 Td ( ) Tj ET Q endstream endobj 9 0 obj <> endobj 10 0 obj <> stream BT /F1 9.00 Tf ET BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET q 0 0 0 rg BT 297.65 31.60 Td (- 4 -) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 741.40 Td (The following table summarizes the company's investment portfolio:) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 728.20 Td () Tj ET Q 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 717.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 717.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 717.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 717.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 693.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 693.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 693.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 693.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 658.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 658.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 658.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 658.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 634.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 634.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 634.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 634.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 610.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 610.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 610.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 610.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 586.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 586.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 586.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 586.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 562.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 562.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 562.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 562.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 538.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 538.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 538.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 538.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 514.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 514.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 514.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 514.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 490.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 490.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 490.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 490.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 466.70 311.00 -23.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 466.70 4.00 -23.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 466.70 94.00 -23.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 466.70 45.00 -23.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 421.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 421.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 421.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 421.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 397.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 397.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 397.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 397.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 373.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 373.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 373.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 373.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 349.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 349.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 349.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 349.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 325.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 325.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 325.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 325.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 301.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 301.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 301.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 301.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 277.70 311.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 389.50 277.70 4.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 393.50 277.70 94.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 487.50 277.70 45.00 -12.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 78.50 253.70 454.00 -32.00 re f /GS0 gs 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 78.5 658.7 m 389.5 658.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 658.7 m 487.5 658.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 658.7 m 532.5 658.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 658.7 m 487.5 658.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 622.7 m 487.5 622.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 622.7 m 532.5 622.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 622.7 m 487.5 622.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 622.7 m 532.5 622.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 550.7 m 487.5 550.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 550.7 m 532.5 550.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 550.7 m 487.5 550.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 550.7 m 532.5 550.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 526.7 m 487.5 526.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 515.7 m 487.5 515.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 513.7 m 487.5 513.7 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 78.5 443.70000000000005 m 389.5 443.70000000000005 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 393.5 443.70000000000005 m 487.5 443.70000000000005 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 443.70000000000005 m 532.5 443.70000000000005 l s BT /F3 9.00 Tf ET q 0 0 0 rg BT 81.00 709.10 Td (Two Harbors Portfolio) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 696.96 Td (\(dollars in thousands, except per share data\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 135.10 663.16 Td (RMBS and Agency Derivatives Portfolio Composition) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 403.00 672.16 Td (As of September 30,) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 431.00 663.16 Td (2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 649.96 Td (Agency Bonds) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 637.96 Td (Fixed Rate Bonds) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 396.00 637.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 439.00 637.96 Td (12,268,507) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 508.75 637.96 Td (80.2) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 637.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 625.96 Td (Hybrid ARMs) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 450.25 625.96 Td (200,556) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 513.25 625.96 Td (1.3) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 625.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 105.00 613.96 Td (Total Agency) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 439.00 613.96 Td (12,469,063) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 508.75 613.96 Td (81.5) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 613.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 601.96 Td (Agency Derivatives) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 450.25 601.96 Td (328,635) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 513.25 601.96 Td (2.2) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 601.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 589.96 Td (Non-Agency Bonds) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 577.96 Td (Senior Bonds) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 443.50 577.96 Td (1,989,885) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 508.75 577.96 Td (13.0) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 577.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 565.96 Td (Mezzanine Bonds) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 450.25 565.96 Td (506,620) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 513.25 565.96 Td (3.3) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 565.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 553.96 Td (Non-Agency Other) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 553.96 Td (4,291) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 515.50 553.96 Td () Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 553.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 105.00 541.96 Td (Total Non-Agency) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 443.50 541.96 Td (2,500,796) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 508.75 541.96 Td (16.3) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 524.50 541.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 105.00 517.96 Td (Aggregate Portfolio) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 396.00 517.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 439.00 517.96 Td (15,298,494) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 493.96 Td (Fixed-rate investment securities as a percentage of aggregate portfolio) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 463.75 493.96 Td (82.1) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 493.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 481.96 Td (Adjustable-rate investment securities as a percentage of aggregate portfolio) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 463.75 481.96 Td (17.9) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 481.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 202.60 448.16 Td (Portfolio Metrics) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 399.60 457.16 Td (For the Quarter Ended) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 403.85 448.16 Td (September 30, 2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 426.16 Td (Annualized yield on average RMBS and Agency Derivatives during the quarter) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 412.96 Td (Agency) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 412.96 Td (3.1) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 412.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 400.96 Td (Non-Agency) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 400.96 Td (9.6) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 400.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 105.00 388.96 Td (Aggregate Portfolio) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 388.96 Td (4.2) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 388.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 376.96 Td (Annualized cost of funds on average repurchase balance during the quarter) Tj ET Q BT /F2 9.00 Tf ET BT /F2 5.85 Tf ET q 0 0 0 rg BT 350.38 381.04 Td (1) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 376.96 Td (1.1) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 376.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 364.96 Td (Annualized interest rate spread for aggregate portfolio during the quarter) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 364.96 Td (3.1) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 364.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 352.96 Td (Weighted average cost basis of principal and interest securities) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 340.96 Td (Agency) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 396.00 340.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 454.75 340.96 Td (108.15) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 328.96 Td (Non-Agency) Tj ET Q BT /F2 9.00 Tf ET BT /F2 5.85 Tf ET q 0 0 0 rg BT 139.49 333.04 Td (2) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 396.00 328.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 328.96 Td (52.38) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 316.96 Td (W) Tj ET Q q 0 0 0 rg BT 88.77 316.96 Td (eighted average three month CPR for its RMBS and ) Tj ET Q q 0 0 0 rg BT 278.00 316.96 Td (Agency Derivative portfolio) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 304.96 Td (Agency) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 304.96 Td (6.0) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 304.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 93.00 292.96 Td (Non-Agency) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 292.96 Td (3.0) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 479.50 292.96 Td (%) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 280.96 Td (Debt-to-equity ratio at period-end) Tj ET Q BT /F2 9.00 Tf ET BT /F2 5.85 Tf ET q 0 0 0 rg BT 202.71 285.04 Td (3) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 449.95 280.96 Td (3.8 to 1.0) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 256.96 Td (\(1\) Cost of funds includes interest spread expense associated with the portfolio's interest rate swaps.) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 244.16 Td (\(2\) Average purchase price utilized carrying value for weighting purposes. If current face were utilized for weighting) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 235.16 Td (purposes, total non-Agency RMBS excluding the company's non-Agency interest-only portfolio would be $47.71 at) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 226.16 Td (September 30, 3012.) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 81.00 212.96 Td (\(3\) Defined as total borrowings to fund RMBS, residential mortgage loans and Agency Derivatives divided by total equity.) Tj ET Q BT /F2 10.00 Tf ET BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 185.00 Td ("W) Tj ET Q q 0 0 0 rg BT 63.99 185.00 Td (e are extremely proud of our portfolio's performance this quarter) Tj ET Q q 0 0 0 rg BT 347.45 185.00 Td (," stated Bill Roth, ) Tj ET Q q 0 0 0 rg BT 431.80 185.00 Td (T) Tj ET Q q 0 0 0 rg BT 437.75 185.00 Td (wo Harbors' Co-Chief ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 171.80 Td (Investment Of) Tj ET Q q 0 0 0 rg BT 113.04 171.80 Td (ficer) Tj ET Q q 0 0 0 rg BT 132.58 171.80 Td (. "Both our ) Tj ET Q q 0 0 0 rg BT 183.51 171.80 Td (Agency and non-Agency strategies contributed significantly to our return." ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 145.40 Td ("Managing prepayment risk has become increasingly important given today's low rate environment and the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 132.20 Td (government initiated refinancing programs available to homeowners, continued Roth. "In light of this, we are ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 119.00 Td (pleased that our ) Tj ET Q q 0 0 0 rg BT 121.78 119.00 Td (Agency portfolio continues to experience low and stable prepayment speeds.") Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 92.60 Td (The company experienced a three-month average CPR of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 305.34 92.60 Td (6.0%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 328.25 92.60 Td ( for ) Tj ET Q q 0 0 0 rg BT 345.97 92.60 Td (Agency RMBS securities and ) Tj ET Q q 0 0 0 rg BT 478.57 92.60 Td (Agency ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 79.40 Td (Derivatives held as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 148.97 79.40 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 237.26 79.40 Td (, comparable to the prior quarter) Tj ET Q q 0 0 0 rg BT 378.98 79.40 Td (. ) Tj ET Q q 0 0 0 rg BT 384.28 79.40 Td (The weighted average cost basis of the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 66.20 Td (Agency portfolio was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 148.06 66.20 Td (108.2%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 181.97 66.20 Td ( of par as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 237.26 66.20 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 325.55 66.20 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 346.93 66.20 Td (107.5%) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 380.84 66.20 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 383.34 66.20 Td (of par as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 435.88 66.20 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 497.29 66.20 Td (. ) Tj ET Q q 0 0 0 rg BT 502.59 66.20 Td (The net ) Tj ET Q endstream endobj 11 0 obj <> endobj 12 0 obj <> stream BT /F1 9.00 Tf ET BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET q 0 0 0 rg BT 297.65 31.60 Td (- 5 -) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 741.40 Td (premium amortization was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 170.66 741.40 Td ($39.7) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 195.41 741.40 Td ( million and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 251.32 741.40 Td ($31.0) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 276.07 741.40 Td ( million for the quarters ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 412.31 741.40 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 500.60 741.40 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 521.98 741.40 Td (June30, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 728.20 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 72.00 728.20 Td (, respectively) Tj ET Q q 0 0 0 rg BT 129.93 728.20 Td (.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 715.00 Td () Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 701.80 Td (The company experienced a three-month average CPR of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 305.34 701.80 Td (3.0%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 328.25 701.80 Td ( for non-Agency RMBS securities held as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 688.60 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 138.29 688.60 Td (, as compared to ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 213.13 688.60 Td (2.1%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 236.04 688.60 Td ( for securities held as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 344.17 688.60 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 405.58 688.60 Td (. ) Tj ET Q q 0 0 0 rg BT 410.88 688.60 Td (The weighted average cost basis ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 675.40 Td (of the non-Agency portfolio was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 196.32 675.40 Td (52.4%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 224.74 675.40 Td ( of par as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 280.02 675.40 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 368.31 675.40 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 389.69 675.40 Td (52.1%) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 418.11 675.40 Td ( of par as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 473.39 675.40 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 534.81 675.40 Td (. ) Tj ET Q q 0 0 0 rg BT 540.11 675.40 Td (The ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 662.20 Td (discount accretion was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 152.94 662.20 Td ($36.2) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 177.69 662.20 Td ( million and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 233.60 662.20 Td ($34.1) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 258.35 662.20 Td ( million for the quarters ended ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 394.59 662.20 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 482.88 662.20 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 504.26 662.20 Td (June30, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 649.00 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 72.00 649.00 Td (, respectively) Tj ET Q q 0 0 0 rg BT 129.93 649.00 Td (. ) Tj ET Q q 0 0 0 rg BT 135.23 649.00 Td (The total net discount remaining was ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 300.80 649.00 Td ($2.3) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 320.05 649.00 Td ( billion as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 378.10 649.00 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 466.39 649.00 Td ( and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 487.77 649.00 Td (June30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 549.18 649.00 Td (, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 635.80 Td (with ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 72.31 635.80 Td ($1.3) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 91.56 635.80 Td ( billion designated as credit reserve as of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 273.60 635.80 Td (September30, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 361.89 635.80 Td (.) Tj ET Q BT /F5 11.00 Tf ET q 0 0 0 rg BT 50.00 596.20 Td (Business Diversification) Tj ET Q BT /F2 11.00 Tf ET 0 0 0 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 50 581.53369140625 m 212.53466796875 581.53369140625 l s q 0 0 0 rg BT 50.00 583.00 Td (Single-Family Residential Properties) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 569.80 Td (On September 1) Tj ET Q q 0 0 0 rg BT 121.08 569.80 Td (1, 2012, the company announced the proposed contribution of its portfolio of single-family ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 556.60 Td (residential properties to Silver Bay Realty ) Tj ET Q q 0 0 0 rg BT 237.37 556.60 Td (T) Tj ET Q q 0 0 0 rg BT 243.70 556.60 Td (rust Corp. \(Silver Bay\), a newly formed entity intended to qualify as a ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 543.40 Td (REIT) Tj ET Q q 0 0 0 rg BT 73.62 543.40 Td (. In exchange for its contribution, ) Tj ET Q q 0 0 0 rg BT 223.10 543.40 Td (T) Tj ET Q q 0 0 0 rg BT 229.06 543.40 Td (wo Harbors would receive shares of common stock of Silver Bay) Tj ET Q q 0 0 0 rg BT 515.49 543.40 Td (. ) Tj ET Q q 0 0 0 rg BT 520.38 543.40 Td (As of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 530.20 Td (September 30, 2012, ) Tj ET Q q 0 0 0 rg BT 143.59 530.20 Td (T) Tj ET Q q 0 0 0 rg BT 149.54 530.20 Td (wo Harbors had purchased property with a carrying value of $190.9 million in single-family ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 517.00 Td (residential properties. ) Tj ET Q q 0 0 0 rg BT 147.85 517.00 Td (The properties are classified as investment in real estate on the consolidated balance sheet. ) Tj ET Q BT /F2 11.00 Tf ET 0 0 0 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 50 492.33369140625 m 111.0908203125 492.33369140625 l s q 0 0 0 rg BT 50.00 493.80 Td (Securitization) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 480.60 Td (In late 201) Tj ET Q q 0 0 0 rg BT 96.63 480.60 Td (1, the company began acquiring prime nonconforming residential mortgage loans from select mortgage ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 467.40 Td (loan originators and secondary market institutions. ) Tj ET Q q 0 0 0 rg BT 275.15 467.40 Td (As of September 30, 2012 the company had acquired mortgage ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 454.20 Td (loans held-for) Tj ET Q q 0 0 0 rg BT 111.18 454.20 Td (-sale with a carrying value of $14.6 million and had outstanding purchase commitments to acquire an ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 441.00 Td (additional $319.9 million. It is the company's intention in the future to securitize these loans and/or exit through a ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 427.80 Td (whole loan sale. ) Tj ET Q BT /F5 11.00 Tf ET q 0 0 0 rg BT 50.00 388.20 Td (Public Stock Of) Tj ET Q q 0 0 0 rg BT 121.30 388.20 Td (ferings) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 375.00 Td (The company completed an accretive public stock of) Tj ET Q q 0 0 0 rg BT 282.24 375.00 Td (fering in July 2012, which resulted in the issuance of 57.5 ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 361.80 Td (million shares of common stock for net proceeds of approximately $592.4 million.) Tj ET Q q 0 0 0 rg BT 415.78 361.80 Td (The company completed ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 348.60 Td (deployment of the proceeds from this of) Tj ET Q q 0 0 0 rg BT 226.37 348.60 Td (fering primarily by making additional acquisitions of RMBS securities and ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 335.40 Td (residential real properties. ) Tj ET Q BT /F5 11.00 Tf ET q 0 0 0 rg BT 50.00 299.00 Td (W) Tj ET Q q 0 0 0 rg BT 58.96 299.00 Td (arrants) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 285.80 Td (During the third quarter 2012, warrant holders exercised warrants to purchase 15,975,017 shares of the company's ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 272.60 Td (common stock at an exercise price of $1) Tj ET Q q 0 0 0 rg BT 227.05 272.60 Td (1.00 per share. ) Tj ET Q q 0 0 0 rg BT 297.11 272.60 Td (This resulted in proceeds to the company totaling ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 259.40 Td (approximately $175.7 million. ) Tj ET Q q 0 0 0 rg BT 185.96 259.40 Td (As of September 30, 2012, 17,073,983 warrants remain outstanding.) Tj ET Q BT /F3 11.00 Tf ET q 0 0 0 rg BT 50.00 214.80 Td (Confer) Tj ET Q q 0 0 0 rg BT 82.79 214.80 Td (ence Call) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 196.60 Td (T) Tj ET Q q 0 0 0 rg BT 55.95 196.60 Td (wo Harbors Investment Corp. will host a conference call on ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 321.40 196.60 Td (November7, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 403.58 196.60 Td ( at ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 417.02 196.60 Td (9:00 am) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 452.76 196.60 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 455.51 196.60 Td (EST) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 474.87 196.60 Td ( to discuss ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 523.46 196.60 Td (third ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 183.40 Td (quarter) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 81.15 183.40 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 83.90 183.40 Td (2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 105.90 183.40 Td ( financial results and related information. ) Tj ET Q q 0 0 0 rg BT 289.88 183.40 Td (T) Tj ET Q q 0 0 0 rg BT 295.83 183.40 Td (o participate in the teleconference, please call toll-free ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 537.39 183.40 Td (\(877\) ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 170.20 Td (868-1835) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 92.16 170.20 Td ( \(or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 110.49 170.20 Td (\(914\) 495-8581) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 179.23 170.20 Td ( for international callers\) approximately 10 minutes prior to the above start time. ) Tj ET Q q 0 0 0 rg BT 535.60 170.20 Td (Y) Tj ET Q q 0 0 0 rg BT 542.44 170.20 Td (ou ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 157.00 Td (may also listen to the teleconference live via the Internet on the company's website at ) Tj ET Q BT /F2 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL 0 0 1 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 50 142.33369140624995 m 195.31494140625 142.33369140624995 l s q 0 0 1 rg BT 50.00 143.80 Td (www) Tj ET Q q 0 0 1 rg BT 73.12 143.80 Td (.twoharborsinvestment.com) Tj ET Q BT /F2 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL q 0 0 0 rg BT 195.31 143.80 Td ( in the Investor Relations section under the Events and Presentations link. For ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 130.60 Td (those unable to attend, a telephone playback will be available beginning at 12 p.m. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 416.25 130.60 Td (EST) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 435.61 130.60 Td ( on ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 452.11 130.60 Td (November7, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 534.28 130.60 Td ( ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 117.40 Td (through 9 p.m. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 117.53 117.40 Td (EST) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 136.88 117.40 Td ( on ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 153.38 117.40 Td (November25, 2012) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 241.06 117.40 Td (. ) Tj ET Q q 0 0 0 rg BT 246.36 117.40 Td (The playback can be accessed by calling ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 427.47 117.40 Td (\(855\) 859-2056) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 496.21 117.40 Td ( \(or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 514.54 117.40 Td (\(404\) ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 104.20 Td (537-3406) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 92.16 104.20 Td ( for international callers\) and providing Confirmation Code ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 356.09 104.20 Td (50062843) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 400.09 104.20 Td (. ) Tj ET Q q 0 0 0 rg BT 405.39 104.20 Td (The call will also be archived on ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 91.00 Td (the company's website in the Investor Relations section under the Events and Presentations link.) Tj ET Q endstream endobj 13 0 obj <> endobj 14 0 obj <> stream BT /F1 9.00 Tf ET BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET q 0 0 0 rg BT 297.65 31.60 Td (- 6 -) Tj ET Q BT /F3 11.00 Tf ET q 0 0 0 rg BT 50.00 741.60 Td (T) Tj ET Q q 0 0 0 rg BT 56.52 741.60 Td (wo Harbors Investment Corp. ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 723.40 Td (T) Tj ET Q q 0 0 0 rg BT 55.95 723.40 Td (wo Harbors Investment Corp., a Maryland corporation, is a real estate investment trust that invests in residential ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 710.20 Td (mortgage-backed securities, residential mortgage loans, residential real properties and other financial assets. ) Tj ET Q q 0 0 0 rg BT 528.42 710.20 Td (T) Tj ET Q q 0 0 0 rg BT 534.38 710.20 Td (wo ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 697.00 Td (Harbors is headquartered in Minnetonka, Minnesota, and is externally managed and advised by PRCM ) Tj ET Q q 0 0 0 rg BT 504.57 697.00 Td (Advisers ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 683.80 Td (LLC, a wholly-owned subsidiary of Pine River Capital Management L.P) Tj ET Q q 0 0 0 rg BT 368.64 683.80 Td (. ) Tj ET Q q 0 0 0 rg BT 373.53 683.80 Td (Additional information is available at ) Tj ET Q BT /F2 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL 0 0 1 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 50 669.13369140625 m 198.06494140625 669.13369140625 l s q 0 0 1 rg BT 50.00 670.60 Td (www) Tj ET Q q 0 0 1 rg BT 73.12 670.60 Td (.twoharborsinvestment.com.) Tj ET Q BT /F3 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL q 0 0 0 rg BT 50.00 634.20 Td (Forward-Looking Statements) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 616.00 Td (This press release includes forward-looking statements within the meaning of the safe harbor provisions of the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 602.80 Td (United States Private Securities Litigation Reform ) Tj ET Q q 0 0 0 rg BT 273.63 602.80 Td (Act of 1995. ) Tj ET Q q 0 0 0 rg BT 331.06 602.80 Td (Actual results may dif) Tj ET Q q 0 0 0 rg BT 428.31 602.80 Td (fer from expectations, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 589.60 Td (estimates and projections and, consequently) Tj ET Q q 0 0 0 rg BT 242.65 589.60 Td (, readers should not rely on these forward-looking statements as ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 576.40 Td (predictions of future events. ) Tj ET Q q 0 0 0 rg BT 175.96 576.40 Td (W) Tj ET Q q 0 0 0 rg BT 185.46 576.40 Td (ords such as expect, tar) Tj ET Q q 0 0 0 rg BT 302.23 576.40 Td (get, assume, estimate, project, budget, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 563.20 Td (forecast, anticipate, intend, plan, may) Tj ET Q q 0 0 0 rg BT 258.16 563.20 Td (, will, could, should, believe, predicts, potential, ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 550.00 Td (continue, and similar expressions are intended to identify such forward-looking statements. ) Tj ET Q q 0 0 0 rg BT 463.71 550.00 Td (These forward-) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 536.80 Td (looking statements involve significant risks and uncertainties that could cause actual results to dif) Tj ET Q q 0 0 0 rg BT 479.00 536.80 Td (fer materially ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 523.60 Td (from expected results. Factors that could cause actual results to dif) Tj ET Q q 0 0 0 rg BT 342.74 523.60 Td (fer include, but are not limited to, higher than ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 510.40 Td (expected operating costs, changes in prepayment speeds of mortgages underlying our RMBS, the rates of default or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 497.20 Td (decreased recovery on the mortgages underlying our non-Agency securities, failure to recover certain losses that are ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 484.00 Td (expected to be temporary) Tj ET Q q 0 0 0 rg BT 160.76 484.00 Td (, changes in interest rates or the availability of financing, the impact of new legislation or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 470.80 Td (regulatory changes on our operations, the impact of any deficiencies in the servicing or foreclosure practices of ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 457.60 Td (third parties and related delays in the foreclosure process, the inability to acquire mortgage loans or securitize the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 444.40 Td (mortgage loans we acquire, the inability to acquire residential real properties at attractive prices or lease such ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 431.20 Td (properties on a profitable basis, the impact of new or modified government mortgage refinance or principal ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 418.00 Td (reduction programs, and unanticipated changes in overall market and economic conditions.) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 386.60 Td (Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 373.40 Td (date made. ) Tj ET Q q 0 0 0 rg BT 100.19 373.40 Td (T) Tj ET Q q 0 0 0 rg BT 106.14 373.40 Td (wo Harbors does not undertake or accept any obligation to release publicly any updates or revisions to ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 360.20 Td (any forward-looking statement to reflect any change in its expectations or any change in events, conditions or ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 347.00 Td (circumstances on which any such statement is based. ) Tj ET Q q 0 0 0 rg BT 284.91 347.00 Td (Additional information concerning these and other risk factors ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 333.80 Td (is contained in ) Tj ET Q q 0 0 0 rg BT 116.70 333.80 Td (T) Tj ET Q q 0 0 0 rg BT 122.65 333.80 Td (wo Harbors' most recent filings with the Securities and Exchange Commission. ) Tj ET Q q 0 0 0 rg BT 473.52 333.80 Td (All subsequent ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 320.60 Td (written and oral forward looking statements concerning ) Tj ET Q q 0 0 0 rg BT 296.92 320.60 Td (T) Tj ET Q q 0 0 0 rg BT 302.87 320.60 Td (wo Harbors or matters attributable to ) Tj ET Q q 0 0 0 rg BT 468.24 320.60 Td (T) Tj ET Q q 0 0 0 rg BT 474.19 320.60 Td (wo Harbors or any ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 307.40 Td (person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.) 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Our GAAP) Tj ET Q q 0 0 0 rg BT 208.14 147.20 Td ( financial results and the reconciliations from these results should be carefully ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 134.00 Td (evaluated. See the GAAP) Tj ET Q q 0 0 0 rg BT 162.00 134.00 Td ( to Non-GAAP) Tj ET Q q 0 0 0 rg BT 228.21 134.00 Td ( reconciliation table on page 10 of this release. ) Tj ET Q endstream endobj 15 0 obj <> endobj 16 0 obj <> stream BT /F1 9.00 Tf ET BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET q 0 0 0 rg BT 297.65 31.60 Td (- 7 -) Tj ET Q BT /F3 11.00 Tf ET q 0 0 0 rg BT 50.00 741.60 Td (Additional Information) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 723.40 Td (Stockholders and warrant holders of ) Tj ET Q q 0 0 0 rg BT 212.01 723.40 Td (T) Tj ET Q q 0 0 0 rg BT 217.96 723.40 Td (wo Harbors, and other interested persons, may find additional information ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 710.20 Td (regarding the company at the SEC's Internet site at ) Tj ET Q BT /F2 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL 0 0 1 RG /GS0 gs 0.54 w 0 i [] 0 d 1 J 1 j 3 M 275.88671875 708.73369140625 m 335.04931640625 708.73369140625 l s q 0 0 1 rg BT 275.89 710.20 Td (www) Tj ET Q q 0 0 1 rg BT 299.00 710.20 Td (.sec.gov) Tj ET Q BT /F2 11.00 Tf ET 0 Tr /GS0 gs 0 Tw 0 Tc 100 Tz 0 TL q 0 0 0 rg BT 335.05 710.20 Td ( or by directing requests to: ) Tj ET Q q 0 0 0 rg BT 458.27 710.20 Td (T) Tj ET Q q 0 0 0 rg BT 464.22 710.20 Td (wo Harbors ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 697.00 Td (Investment Corp., ) Tj ET Q q 0 0 0 rg BT 131.27 697.00 Td (Attn: Investor Relations, 601 Carlson Parkway) Tj ET Q q 0 0 0 rg BT 336.47 697.00 Td (, Suite 150, Minnetonka, MN 55305, telephone ) Tj ET Q BT /F2 11.00 Tf ET q 0 0 0 rg BT 50.00 683.80 Td (612-629-2500.) 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55.50 396.87 Td (Derivative liabilities, at fair value) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 426.65 396.87 Td (132,322) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 526.65 396.87 Td (49,080) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 381.87 Td (Accrued interest payable) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 431.65 381.87 Td (13,147) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 531.65 381.87 Td (6,456) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 366.87 Td (Due to counterparties) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 426.65 366.87 Td (170,090) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 526.65 366.87 Td (45,565) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 351.87 Td (Accrued expenses) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 431.65 351.87 Td (17,008) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 531.65 351.87 Td (8,912) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 336.87 Td (Dividends payable) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 426.65 336.87 Td (106,325) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 526.65 336.87 Td (56,239) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 321.87 Td (Income taxes payable) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 449.15 321.87 Td () Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 531.65 321.87 Td (3,898) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 61.50 306.87 Td (Total liabilities) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 370.50 306.87 Td ($) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 414.15 306.87 Td (14,473,219) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 465.50 306.87 Td ($) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 514.15 306.87 Td (6,830,298) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 276.87 Td (Stockholders Equity) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 459.50 276.87 Td ( ) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 554.50 276.87 Td () Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 261.87 Td (Preferred stock, par value $0.01 per share; 50,000,000 shares authorized; no) Tj ET Q BT /F2 10.00 Tf ET q 0 0 0 rg BT 55.50 251.87 Td (shares 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/GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 653.5 m 340.5 653.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 653.5 m 414.5 653.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 653.5 m 487.5 653.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 653.5 m 561.5 653.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 566.5 m 340.5 566.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 566.5 m 414.5 566.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 566.5 m 487.5 566.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 566.5 m 561.5 566.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 566.5 m 340.5 566.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 536.5 m 340.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 536.5 m 414.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 536.5 m 487.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 536.5 m 561.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 536.5 m 340.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 536.5 m 414.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 536.5 m 487.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 536.5 m 561.5 536.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 431.5 m 340.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 431.5 m 414.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 431.5 m 487.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 431.5 m 561.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 431.5 m 340.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 431.5 m 414.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 431.5 m 487.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 431.5 m 561.5 431.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 371.5 m 340.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 371.5 m 414.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 371.5 m 487.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 371.5 m 561.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 371.5 m 340.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 356.5 m 340.5 356.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 371.5 m 414.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 356.5 m 414.5 356.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 371.5 m 487.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 356.5 m 487.5 356.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 371.5 m 561.5 371.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 356.5 m 561.5 356.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 326.5 m 340.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 326.5 m 414.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 326.5 m 487.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 326.5 m 561.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 326.5 m 340.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 313.5 m 340.5 313.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 311.5 m 340.5 311.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 326.5 m 414.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 313.5 m 414.5 313.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 311.5 m 414.5 311.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 326.5 m 487.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 313.5 m 487.5 313.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 311.5 m 487.5 311.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 326.5 m 561.5 326.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 313.5 m 561.5 313.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 311.5 m 561.5 311.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 140.5 m 340.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 140.5 m 414.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 140.5 m 487.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 140.5 m 561.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 140.5 m 340.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 125.5 m 340.5 125.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 140.5 m 414.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 125.5 m 414.5 125.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 140.5 m 487.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 125.5 m 487.5 125.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 140.5 m 561.5 140.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 125.5 m 561.5 125.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 111.5 m 340.5 111.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 267.5 109.5 m 340.5 109.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 111.5 m 414.5 111.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 340.5 109.5 m 414.5 109.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 111.5 m 487.5 111.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 414.5 109.5 m 487.5 109.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 111.5 m 561.5 111.5 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 487.5 109.5 m 561.5 109.5 l s BT /F2 9.00 Tf ET q 0 0 0 rg BT 229.05 739.76 Td (TWO HARBORS INVESTMENT CORP.) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 133.10 727.76 Td (CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME \(LOSS\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 225.90 715.76 Td (\(dollars in thousands, except per share data\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 302.50 678.96 Td (Three Months Ended) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 314.50 669.96 Td (September 30,) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 451.25 678.96 Td (Nine Months Ended ) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 461.50 669.96 Td (September 30,) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 294.50 656.76 Td (2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 368.00 656.76 Td (2011) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 441.50 656.76 Td (2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 515.00 656.76 Td (2011) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 319.75 644.76 Td (\(unaudited\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 466.75 644.76 Td (\(unaudited\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 630.96 Td (Interest income:) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 615.96 Td (Available-for-sale securities) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 270.00 615.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 307.75 615.96 Td (124,621) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 343.00 615.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 615.96 Td (65,919) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 417.00 615.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 454.75 615.96 Td (313,154) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 490.00 615.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 528.75 615.96 Td (125,413) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 600.96 Td (Trading securities) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 316.75 600.96 Td (1,278) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 390.75 600.96 Td (1,706) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 463.75 600.96 Td (3,578) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 537.75 600.96 Td (2,783) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 585.96 Td (Mortgage loans held-for-sale) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 323.50 585.96 Td (167) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 402.00 585.96 Td () Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 470.50 585.96 Td (362) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 549.00 585.96 Td () Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 570.96 Td (Cash and cash equivalents) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 323.50 570.96 Td (243) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 397.50 570.96 Td (114) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 470.50 570.96 Td (620) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 544.50 570.96 Td (241) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 64.00 555.96 Td (Total interest income) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 307.75 555.96 Td (126,309) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 555.96 Td (67,739) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 454.75 555.96 Td (317,714) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 528.75 555.96 Td (128,437) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 64.00 540.96 Td (Interest expense) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 312.25 540.96 Td (20,743) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 390.75 540.96 Td (7,218) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 540.96 Td (47,737) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 540.96 Td (13,580) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 70.00 525.96 Td (Net interest income) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 307.75 525.96 Td (105,566) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 525.96 Td (60,521) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 454.75 525.96 Td (269,977) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 528.75 525.96 Td (114,857) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 510.96 Td (Other-than-temporary impairment losses) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 320.50 510.96 Td (\(559) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 337.00 510.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 387.75 510.96 Td (\(3,371) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 411.00 510.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 460.75 510.96 Td (\(9,310) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 484.00 510.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 534.75 510.96 Td (\(3,665) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 558.00 510.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 495.96 Td (Other income:) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 480.96 Td (Gain on investment securities, net) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 316.75 480.96 Td (2,527) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 480.96 Td (31,432) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 480.96 Td (14,247) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 480.96 Td (36,159) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 465.96 Td (Loss on interest rate swap and swaption agreements) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 309.25 465.96 Td (\(76,472) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 337.00 465.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 383.25 465.96 Td (\(39,311) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 411.00 465.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 451.75 465.96 Td (\(153,679) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 484.00 465.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 530.25 465.96 Td (\(88,180) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 558.00 465.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 450.96 Td (Gain \(loss\) on other derivative instruments) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 316.75 450.96 Td (3,454) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 450.96 Td (22,361) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 456.25 450.96 Td (\(13,053) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 484.00 450.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 450.96 Td (37,474) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 435.96 Td (Other income) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 323.50 435.96 Td (731) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 402.00 435.96 Td () Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 470.50 435.96 Td (822) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 549.00 435.96 Td () Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 64.00 420.96 Td (Total other \(loss\) income) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 309.25 420.96 Td (\(69,760) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 337.00 420.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 420.96 Td (14,482) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 451.75 420.96 Td (\(151,663) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 484.00 420.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 530.25 420.96 Td (\(14,547) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 558.00 420.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 405.96 Td (Expenses:) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 390.96 Td (Management fees) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 316.75 390.96 Td (9,733) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 390.75 390.96 Td (4,785) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 390.96 Td (24,086) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 537.75 390.96 Td (9,063) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 375.96 Td (Other operating expenses) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 316.75 375.96 Td (6,546) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 390.75 375.96 Td (2,850) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 375.96 Td (14,328) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 537.75 375.96 Td (6,516) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 64.00 360.96 Td (Total expenses) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 312.25 360.96 Td (16,279) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 390.75 360.96 Td (7,635) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 360.96 Td (38,414) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 360.96 Td (15,579) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 345.96 Td (Income before income taxes) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 312.25 345.96 Td (18,968) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 345.96 Td (63,997) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 459.25 345.96 Td (70,590) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 345.96 Td (81,066) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 330.96 Td (\(Benefit from\) provision for income taxes) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 313.75 330.96 Td (\(7,834) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 337.00 330.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 390.75 330.96 Td (9,388) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 456.25 330.96 Td (\(32,016) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 484.00 330.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 537.75 330.96 Td (5,064) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 316.96 Td (Net income attributable to common stockholders) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 270.00 316.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 312.25 316.96 Td (26,802) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 343.00 316.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 316.96 Td (54,609) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 417.00 316.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 454.75 316.96 Td (102,606) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 490.00 316.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 316.96 Td (76,002) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 286.96 Td (Basic earnings per weighted average common share) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 270.00 286.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 321.25 286.96 Td (0.10) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 343.00 286.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 395.25 286.96 Td (0.42) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 417.00 286.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 286.96 Td (0.46) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 490.00 286.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 542.25 286.96 Td (0.90) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 271.96 Td (Diluted earnings per weighted average common share) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 270.00 271.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 321.25 271.96 Td (0.10) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 343.00 271.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 395.25 271.96 Td (0.42) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 417.00 271.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.25 271.96 Td (0.46) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 490.00 271.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 542.25 271.96 Td (0.90) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 242.96 Td (Weighted average shares outstanding - Basic) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 292.00 242.96 Td (270,005,212) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 366.00 242.96 Td (130,607,566) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 439.00 242.96 Td (224,058,762) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 517.50 242.96 Td (84,751,854) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 227.96 Td (W) Tj ET Q q 0 0 0 rg BT 59.77 227.96 Td (eighted average shares outstanding - Diluted) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 292.00 227.96 Td (270,937,960) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 366.00 227.96 Td (130,607,566) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 439.00 227.96 Td (224,369,678) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 517.50 227.96 Td (84,751,854) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 197.96 Td (Comprehensive income \(loss\):) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 182.96 Td (Net income) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 270.00 182.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 312.25 182.96 Td (26,802) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 343.00 182.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.25 182.96 Td (54,609) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 417.00 182.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 454.75 182.96 Td (102,606) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 490.00 182.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 182.96 Td (76,002) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 167.96 Td (Other comprehensive income \(loss\):) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 153.96 Td 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(\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 114.96 Td (Comprehensive income \(loss\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 270.00 114.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 307.75 114.96 Td (524,400) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 343.00 114.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 383.25 114.96 Td (\(17,964) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 411.00 114.96 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 417.00 114.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 454.75 114.96 Td (861,718) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 490.00 114.96 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 114.96 Td (27,058) Tj ET Q BT /F2 10.00 Tf ET endstream endobj 21 0 obj <> endobj 22 0 obj <> stream BT /F1 9.00 Tf ET BT /F1 9.00 Tf ET BT /F2 10.00 Tf ET q 0 0 0 rg BT 295.15 31.60 Td (- 10 -) Tj ET Q 0.8 0.9333333333333333 1 rg /GS0 gs 49.50 719.60 512.00 -13.00 re f /GS0 gs 0.8 0.9333333333333333 1 rg /GS0 gs 49.50 693.60 512.00 -13.00 re f /GS0 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gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 428.5 376.6 m 494.5 376.6 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 428.5 374.6 m 494.5 374.6 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 494.5 388.6 m 561.5 388.6 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 494.5 376.6 m 561.5 376.6 l s 0 0 0 RG /GS0 gs 1.00 w 0 i [] 0 d 0 J 0 j 3 M 494.5 374.6 m 561.5 374.6 l s BT /F2 9.00 Tf ET q 0 0 0 rg BT 229.05 710.86 Td (TWO HARBORS INVESTMENT CORP.) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 158.65 697.86 Td (RECONCILIATION OF GAAP TO NON-GAAP FINANCIAL INFORMATION) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 275.50 684.86 Td (\(UNAUDITED\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 225.90 671.86 Td (\(dollars in thousands, except per share data\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 327.50 646.86 Td (Three Months Ended) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 458.25 646.86 Td (Nine Months Ended) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 339.50 633.86 Td (September 30,) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 468.50 633.86 Td (September 30,) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 324.00 620.86 Td (2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 386.50 620.86 Td (2011) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 452.00 620.86 Td (2012) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 518.50 620.86 Td (2011) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 595.86 Td (Reconciliation of net income attributable to common stockholders to) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 582.86 Td (Core Earnings:) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 557.86 Td (Net income attributable to common stockholders) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 306.00 557.86 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 335.25 557.86 Td (26,802) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 366.00 557.86 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 400.25 557.86 Td (54,609) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 431.00 557.86 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 461.75 557.86 Td (102,606) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 497.00 557.86 Td ($) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 557.86 Td (76,002) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 52.00 532.86 Td (Adjustments for non-core earnings:) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 519.86 Td (Loss \(gain\) on sale of securities and mortgage loans, net of tax) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 346.50 519.86 Td (277) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 397.25 519.86 Td (\(27,422) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 425.00 519.86 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 463.25 519.86 Td (\(10,862) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 491.00 519.86 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 530.25 519.86 Td (\(29,584) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 558.00 519.86 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 506.86 Td (Other-than-temporary impairment loss, net of tax) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 346.50 506.86 Td (559) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 404.75 506.86 Td (3,371) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 470.75 506.86 Td (9,310) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 537.75 506.86 Td (3,665) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 493.86 Td (Unrealized gains on trading securities and mortgage loans, net of) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 484.91 Td (tax) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 336.75 493.86 Td (\(2,082) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 360.00 493.86 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 401.75 493.86 Td (\(2,422) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 425.00 493.86 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 467.75 493.86 Td (\(2,091) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 491.00 493.86 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 534.75 493.86 Td (\(3,953) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 558.00 493.86 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 480.06 Td (Unrealized loss, net of tax, on interest rate swap and swaptions) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 471.06 Td (economically hedging repurchase agreements and available-for-) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 462.06 Td (sale securities) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 335.25 462.06 Td (53,970) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 400.25 462.06 Td (16,650) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 466.25 462.06 Td (86,010) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 533.25 462.06 Td (49,186) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 448.86 Td (Unrealized loss \(gain\), net of tax, on interest rate swap) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 439.86 Td (economically hedging trading securities) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 339.75 441.06 Td (3,038) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 401.75 441.06 Td (\(4,686) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 425.00 441.06 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 466.25 441.06 Td (10,511) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 534.75 441.06 Td (\(3,429) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 558.00 441.06 Td (\)) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 427.06 Td (Realized loss on termination or expiration of swaps and swaptions,) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 58.00 418.06 Td (net of tax) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 339.75 418.06 Td (4,980) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 400.25 418.06 Td (19,834) Tj ET Q BT /F2 9.00 Tf ET q 0 0 0 rg BT 466.25 418.06 Td (19,624) Tj ET Q BT /F2 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