Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q1 2025 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, May 6, 2025
Slide 1: Investor Presentation First Quarter 2025
Investor Presentation First Quarter 2025
Slide 2: Legal Disclaimer
Legal Disclaimer FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, including without limitation, references to: potential or expected future cash flows; estimated o
Slide 3: First Quarter 2025
First Quarter 2025
Slide 4: First Quarter 2025 Highlights
First Quarter 2025 Highlights UNAUDITED Financial Results $3.58 book value per common share1 GAAP net loss of $0.29 per share4 ▪ 6.3% decrease, net of quarterly dividend EAD of $0.17 per share4, 5 $0.15 dividend per share declared and paid2 2.4% total quarterly economic loss3 Portfolio Update 5.2x l
Slide 5: Mortgage Landscape
Mortgage Landscape UNAUDITED Market Trends1 Mortgage Dollar Price Changes U.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS 2yr 3yr 5yr 7yr 10yr 20yr 30yr 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 4.00% 4.50% 5.00% 5.50% 6.00% June 30, 2024 4.7550 4.5510 4.3770 4.3740 4.3970 4.6610 4.5590 $88.
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 21% 15% 18% 16% 16% 17% 28% 26% 24% 24% 75% 75% 41% 40% 42% 38% 39% 50% 50% 74% 79% 76% 76% 72% 25% 25% 44% 46% 44% 42% 42% - - 1Q24 2Q24 3Q24 4Q24 1Q25 1Q24 2Q24 3Q24 4Q24 1Q25 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED March 31, 2025 MSR Characteristics Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $20,000 $19,623 UPB ($M) $10,736,485 $6,260,036 $16,996,521 $19,500 Avg UPB $242 $235 $239 $19,000 WAC 3.48 3.53 3.50 $18,500 $18,027 Net Servicing Fee 0.25 0.25 0.25
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED Spec Pool Characteristics 30 Year Spec Pools Coupon FMV Book Value Par Amount GWAC WALA 1 Mo. CPR LT CPR¹ ≤ 4.0% $158,109 $161,415 $174,067 4.2% 37 7.2 7.8 4.5% 198,436 198,545 206,292 5.3% 27 3.7 7.9 5.0% 359,770 356,483 364,815 5.9% 22 7.5 8.9 5.5% 382,121 377,630
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED December 31, 2024 March 31, 2025 RMBS Collateral (ex. TBA): $1,122,420 RMBS Collateral (ex. TBA): $1,119,441 $27,240 $27,099 $54,611 2% $16,473 $61,784 2% $26,709 $68,247 5% $68,615 2% 2% 6% 6% - 6% $12,418 0% 1% $124,703 $136,408 11% 12% $131,977
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 1% Average REPO cost was 4.5% with a weighted average 3% days remaining to maturity of 25 days 5% 17% 5% 5% 35 REPO relationships established 5% Borrowings with 12 financing counterparties 15% 9% Weighted average “
Slide 11: Hedging Summary
Hedging Summary UNAUDITED Swaps Payer Swaps Receiver Swaps Yrs. To Maturity Notional WA Pay Rate WA Receive WA Yrs. to Mat. Yrs. To Maturity Notional WA Pay Rate WA Receive WA Yrs. to Mat. x ≤ 1 Year $15,000 0.38% 4.35% 0.9 x ≤ 1 Year - - - - 1 > x ≤ 3 Years 166,900 0.67% 4.58% 2.1 1 > x ≤ 3 Years 7
Slide 12: Appendix
Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 $1,441 5.50x $1,356 $1,346 $1,297 $1,301 $227 5.00x $1,250 $234 $227 $250 $234 4.50x $1,000 4.00x $750 5.25x 5.26x 3.50x 5.22x $1,214 4.85x $1,047 $1,067 $1,122 $1,119 4.52x $500 3.00x $250 2.50x - 2.00x 1Q24 2Q24 3Q24
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.15 $0.16 $0.15 $0.15 $0.15 $0.15 $0.15 24% $0.10 $0.14 22% $0.12 $0.05 $0.11 20% $0.04 $0.10 - 18% ($0.05) $0.08 ($0.05) ($0.08) 16% $0.06 ($0.10) ($0.18) 14% $0.04 ($
Slide 15: Basis Risk Sensitivity
Basis Risk Sensitivity1 UNAUDITED RMBS and MSR Spread (“Basis Risk”) Sensitivity on Current Portfolio -50 bps -25 bps No Change +25 bps +50 bps Basis Risk Sensitivity Estimated Change in NAV $17,228 $8,574 - ($8,463) ($16,793) Pro forma NAV as of March 31, 2025 $246,860 $238,206 $229,632 $221,169 $2
Slide 16: Interest Rate Sensitivity
Interest Rate Sensitivity1 UNAUDITED Interest Rate Sensitivity on Current Portfolio 2yr -25, 10yr 0 2yr 0, 10yr -25 -25 bps No Change +25 bps 2yr +25, 10yr 0 2yr 0, 10yr +25 Interest Rate Sensitivity Estimated Change in NAV $1,078 ($2,045) ($935) - ($417) ($1,133) $680 Pro forma NAV as of March 31,
Slide 17: NAV Snapshot
NAV Snapshot UNAUDITED Net Asset Value Changes in the Quarter $6.0 Income & Gain (Loss) Operating Expenses $4.0 $0.4 $3.4 Taxes & $2.0 ($2.1) Other Dividends - Common ($1.7) ($0.2) ATM ($2.0) Issuances ($2.5) $3.5 ($4.0) ($4.0) ($6.0) ($8.0) ($4.9) ($10.0) Increase Decrease Total Note: Figures prese
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets March 31, 2025 December 31, 2024 Assets RMBS, at fair value (including pledged assets of $1,097,765 and $1,103,622, respectively) $ 1,119,441 $ 1,122,420 Investments in Servicing Related Assets, at fair value (including pledged assets of $227,333 a
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended March 31, 2025 December 31, 2024 Income Interest income $ 14,801 $ 15,053 Interest expense 12,635 14,393 Net interest income 2,166 660 Servicing fee income 10,973 11,606 Servicing costs 2,545 3,123 Net servicing income 8
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended March 31, 2025 December 31, 2024 Net income (loss) $ (6,992) $ 11,814 Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net 6,850 (10,795) Net other comprehensive inc
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended March 31, 2025 December 31, 2024 Net Income (Loss) $ (6,992) $ 11,814 + Realized loss on RMBS, net 3,992 1,085 + Realized loss (gain) on derivatives, net¹ 2,782 (5,502) + Unrealized loss (gain) on RM
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Information Interest income $ - $ 14,801 $ - $ 14,801 Interest expense 764 11,871 - 12,635 Net interest income (expense) (764) 2,930 - 2,166 Servicing fee income 10,973 - - 10,973 Servicing costs 2,5
Slide 23: Abbreviations and Other Terms
Abbreviations and Other Terms UNAUDITED This presentation may include the below abbreviations, which have the following meanings • 30+ DQ – Percentage of loans that are delinquent by 30 days or • HPA – Home price appreciation more • LT – Long Term • Age (mths) or Loan Age (mths) – Weighted average n
Slide 24: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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