Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q2 2023 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, Aug 3, 2023
Slide 1: Investor Presentation Second Quarter 2023
Investor Presentation Second Quarter 2023
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 or
Slide 3: Second Quarter 2023
Mb BERRIES Second Quarter 2023
Slide 4: Second Quarter 2023 Highlights
Second Quarter 2023 Highlights UNAUDITED Financial Results $5.19 book value per common share1 EAD of $0.16 per share4 6.0% decrease, net of 1Q23 dividend $0.15 dividend per share declared and paid2 3.3% total quarterly economic loss3 Portfolio Update 4.4x leverage ratio for aggregate portfolio 4.2
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% 4.00% 4.50% 5.00% September 30, 2022 4.2790 4.2880 4.0900 3.9810 3.8290 4.0880 3.7760 $89.938 $92.719 $
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 13% 17% 16% 17% 24% 20% 27% 30% 28% 31% 75% 5% - 75% 3% - - 49% 39% 40% 40% 45% 50% 50% 71% 70% 70% 72% 69% 25% 25% 45% 40% 38% 38% 43% - - 2Q22 3Q22 4Q22 1Q23 2Q23 2Q22 3Q22 4Q22 1Q23 2Q23 30 Year RMBS¹
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED June 30, 2023 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $22,000 UPB $13,151,139 $7,634,233 $20,785,371 $21,688 Avg UPB $226 $225 $226 $21,600 $21,358 WAC 3.47 3.51 3.49 $21,273 Net Servicing Fee 0.25 0.25 0.25 $2
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (100% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ 3.0% $73,051 $75,796 $82,467 3.7% 16 5.3 5.9 3.5% 143,486 147,841 156,727 4.1% 20 3.6 3.0 4.0% 148,140 155,603 157,374 4.8% 15 7.7 5.0 ≥ 4.5% 689,
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED March 31, 2023 June 30, 2023 RMBS Collateral (ex. TBA): $1,077,899 RMBS Collateral (ex. TBA): $1,054,251 $32,648 $44,448 $27,217 $38,663 3% 4% 2% 4% $30,959 3% $102,384 $37,687 $155,775 10% 4% 14% $104,855 $101,670 10% 10% $133,330 $98,060 13% 9% $
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 1% Average REPO cost was 5.3% with a weighted average 6% 15% days remaining to maturity of 19 days 6% 7% 34 REPO relationships established 7% 12% Borrowings with 12 financing counterparties Weighted average “haircu
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 ≤ 3 Years $425,000 0.56% 5.47% 1.8 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 183,900 0.76% 5.35% 4.2 3 > x ≤ 5 Year
Slide 12: Appendix
Mb BERRIES Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 $1,349 5.00x $1,319 $1,211 $1,250 $1,147 $271 4.50x $265 $993 $280 $1,000 $279 4.00x $264 $750 3.50x 4.43x 4.40x $500 $1,078 $1,054 3.00x 4.16x $868 $931 3.80x $729 3.38x $250 2.50x - 2.00x 2Q22 3Q22 4Q22 1Q23 2Q23 2Q2
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.40 $0.30 $0.27 $0.27 $0.27 $0.27 26% $0.25 $0.20 22% $0.29 $0.20 $0.15 - $0.15 18% ($0.15) ($0.26) ($0.29) $0.10 ($0.20) ($0.36) 14% $0.05 ($0.40) - 10% 2Q22 3Q22 4Q22
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 $18,696 $9,285 - ($9,136) ($18,100) Pro forma NAV as of June 30, 2023 $281,265 $271,854 $262,569 $253,433 $24
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 ($177) $688 $575 $0 ($1,383) $143 ($1,589) Pro forma NAV as of June 30, 2023
Slide 17: Capital Structure Impact on Common BVPS
Capital Structure Impact on Common BVPS UNAUDITED Commentary Corporate capital structure can amplify the impacts of changes in capital on common shareholders equity Over the past four years, due to market impacts, the portion of Cherry Hill’s capital structure not comprised of common equity has ri
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets June 30, 2023 December 31, 2022 Assets RMBS, at fair value (including pledged assets of $1,014,269 and $815,171, respectively) $ 1,054,251 $ 931,431 Investments in Servicing Related Assets, at fair value (including pledged assets of $264,906 and $2
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended June 30, 2023 March 31, 2023 Income Interest income $ 12,534 $ 11,795 Interest expense 13,168 11,955 Net interest expense (634) (160) Servicing fee income 13,436 13,874 Servicing costs 2,464 2,765 Net servicing income 10
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended June 30, 2023 March 31, 2023 Net income (loss) $ 1,626 $ (19,322) Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net (3,122) 14,639 Net other comprehensive income
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended June 30, 2023 March 31, 2023 Net Income (Loss) $ 1,626 $ (19,322) + Realized loss on RMBS, net 10,274 981 + Realized loss (gain) on derivatives, net¹ (1,883) 14,021 + Unrealized loss on RMBS, measure
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended June 30, 2023 Interest income $ - $ 12,534 $ - $ 12,534 Interest expense 359 12,809 - 13,168 Net interest expense (359) (275) - (634) Servicing fee income 13,436 - - 13,4
Slide 23: Abbreviations
Abbreviations 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 • Gross CRR – Gross CRR is CRR prior to factoring in recapture more • HPA – Home price appreciation • Age (mths) or Loan A
Slide 24: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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