Market Overview

Two Harbors Investment Corp. and CYS Investments, Inc. Announce Closing of Merger

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Two Harbors Investment Corp. (NYSE:TWO) ("Two Harbors") and CYS
Investments, Inc. (NYSE:CYS) ("CYS") today announced the closing of the
previously announced merger between Two Harbors and CYS.

Summary

  • Upon the closing of the merger, each share of CYS common stock was
    converted into the right to receive 0.4680 newly issued shares of Two
    Harbors common stock as well as cash consideration of $0.0965 per
    share. Based on the number of shares of CYS common stock outstanding
    as of the closing date, approximately 72.7 million shares of Two
    Harbors common stock and $15 million in cash consideration will be
    issued to CYS common stockholders in connection with the merger.
  • No fractional shares of Two Harbors common stock will be issued in
    connection with the merger. Instead, CYS common stockholders will
    receive cash in lieu of any fractional shares.
  • Shares of CYS common stock will continue to trade on the New York
    Stock Exchange ("NYSE") throughout the day on July 31, 2018. Trading
    in shares of CYS common stock will cease after market close on July
    31, 2018 and shares of CYS common stock will be converted into the
    right to receive Two Harbors common stock and the cash consideration
    prior to market open on August 1, 2018.
  • The newly issued shares of Two Harbors common stock will begin trading
    on the NYSE under the ticker symbol "TWO" on August 1, 2018.
  • Registered holders of CYS common stock will have their shares of Two
    Harbors common stock posted to new accounts at Equiniti Shareowner
    Services, the transfer agent for Two Harbors. Beneficial holders of
    CYS common stock will have their shares of Two Harbors common stock
    posted to their individual accounts at their broker or financial
    institution, in accordance with the policies and procedures of such
    broker or financial institution.

Preferred Stock

  • Upon the closing of the merger, each share of CYS 7.75% Series A
    Cumulative Redeemable Preferred Stock was converted into the right to
    receive one share of newly classified Two Harbors' 7.75% Series D
    Cumulative Redeemable Preferred Stock, and each share of CYS 7.50%
    Series B Cumulative Redeemable Preferred Stock was converted into the
    right to receive one share of newly classified Two Harbors' 7.50%
    Series E Cumulative Redeemable Preferred Stock.
  • The newly issued shares of Two Harbors preferred stock will begin
    trading on the NYSE under the ticker symbols "TWO PRD" and "TWO PRE"
    on August 1, 2018.

Leadership of the Combined Company

As previously announced, the combined company will continue to be led by
the executive management team of Two Harbors. In addition, pursuant to
the previously announced Agreement and Plan of Merger, dated as of April
25, 2018, the size of the Two Harbors' Board of Directors was increased
from nine to eleven members upon the closing of the merger, and Karen
Hammond and James A. Stern, two independent directors from CYS, were
appointed to the Two Harbors' Board of Directors.

Advisors

JMP Securities LLC acted as financial advisor and Sidley Austin LLP
acted as legal advisor to Two Harbors. Barclays Capital Inc. and Credit
Suisse Securities (USA) LLC acted as financial advisors and Vinson &
Elkins LLP acted as legal advisor to CYS.

About Two Harbors Investment Corp.

Two Harbors Investment Corp., a Maryland corporation, is a real estate
investment trust that invests in residential mortgage-backed securities,
mortgage servicing rights and other financial assets. Two Harbors is
headquartered in New York, New York, and is externally managed and
advised by PRCM Advisers LLC, a wholly owned subsidiary of Pine River
Capital Management L.P. Additional information is available at www.twoharborsinvestment.com.

About CYS Investments, Inc.

CYS Investments, Inc., a Maryland corporation, is a specialty finance
company that invests on a leveraged basis primarily in residential
mortgage pass-through certificates for which the principal and interest
payments are guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. CYS
refers to these securities as Agency RMBS. CYS has elected to be taxed
as a real estate investment trust for federal income tax purposes.

Forward-Looking Statements

This press release may contain "forward-looking statements". Such
statements are subject to numerous assumptions, risks, and
uncertainties. Statements that do not describe historical or current
facts, including statements about beliefs and expectations, are
forward-looking statements. The forward-looking statements are intended
to be subject to the safe harbor provided by Section 27A of the
Securities Act of 1933, as amended (the "Securities Act"), and
Section 21E of the Securities Exchange Act of 1934, and the Private
Securities Litigation Reform Act of 1995. All statements, other than
statements of historical fact, included in this communication that
address activities, events or developments that Two Harbors or CYS
expects, believes or anticipates will or may occur in the future are
forward-looking statements. Words such as "project," "predict,"
"believe," "expect," "anticipate," "potential," "create," "estimate,"
"plan," "continue," "intend," "could," "foresee," "should," "may,"
"will," "guidance," "look," "outlook," "goal," "future," "assume,"
"forecast," "build," "focus," "work," or the negative of such terms or
other variations thereof and words and terms of similar substance used
in connection with any discussion of future plans, actions, or events
identify forward-looking statements. However, the absence of these words
does not mean that the statements are not forward-looking. These
forward-looking statements are not guarantees of future performance and
involve certain risks, uncertainties and assumptions that are difficult
to predict. Two Harbors' and CYS's ability to predict results or the
actual effect of future events, actions, plans or strategies is
inherently uncertain. Although Two Harbors and CYS believe the
expectations reflected in any forward-looking statements are based on
reasonable assumptions, the companies can give no assurance that our
expectations will be attained and therefore, actual outcomes and results
may differ materially from what is expressed or forecasted in such
forward-looking statements.

There are a number of risks and uncertainties that could cause actual
results to differ materially from the forward-looking statements
included in this communication, including those related to the merger of
Two Harbors and CYS. All such factors are difficult to predict and are
beyond the control of Two Harbors and CYS, including those detailed in
Two Harbors' annual reports on Form 10-K, quarterly reports on
Form 10-Q and periodic reports on Form 8-K that are available on Two
Harbors' website at http://www.twoharborsinvestment.com
and on the SEC's website at http://www.sec.gov,
those detailed in CYS's annual reports on Form 10-K, quarterly reports
on Form 10-Q and periodic reports on Form 8-K that are available on its
website at http://www.cysinv.com
and on the SEC's website at http://www.sec.gov,
and those detailed in the section entitled "Risk Factors" in the joint
proxy statement/prospectus relating to the merger filed with the SEC on
June 25, 2018.

Each of the forward-looking statements of Two Harbors or CYS are based
on assumptions that Two Harbors or CYS, as applicable, believes to be
reasonable but that may not prove to be accurate. Any forward-looking
statement speaks only as of the date on which such statement is made,
and neither Two Harbors nor CYS undertakes any obligation to correct or
update any forward-looking statement, whether as a result of new
information, future events or otherwise, except as required by
applicable law. Readers are cautioned not to place undue reliance on
these forward-looking statements that speak only as of the date hereof.

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