Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q2 2026 Earnings Presentation
28 slides from Cherry Hill Mortgage Investment's earnings presentation, 2026
Slide 1: Investor Presentation Second Quarter 2026
Investor Presentation Second Quarter 2026
Slide 2: Legal Disclaimer
Legal Disclaimer FORWARD-LOOKING STATEMENTS. This presentation contains “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995 and other federal securities laws. Forward-looking statements include all statem
Slide 3: Legal Disclaimer
Legal Disclaimer CAUTIONARY NOTE REGARDING EXPECTED RETURNS AND EXPECTED YIELDS. Expected returns and expected yields are forward-looking statements subject to the to disclosure appearing above and are presented for illustrative purposes only and are estimates of the annualized effective rate of ret
Slide 4: Second Quarter 2026
a cmeied Second Quarter 2026
Slide 5: Transaction Overview
Transaction Overview CHMI has entered into a definitive merger agreement with TPG Mortgage Investment Trust, Inc. (NYSE: MITT) MITT will issue 11.608 million new shares of MITT common stock to CHMI’s common stockholders using an exchange Summary ratio of 0.3063(1) shares of MITT common stock for
Slide 6: Transaction Highlights
Transaction Highlights Transformational combination driving potential for significant long-term value creation for shareholders and continued growth Long-Term Value Creation within the U.S. residential mortgage market Providing shareholders with access to a combined investment portfolio spanning acr
Slide 7: Anticipated Benefits of Transaction
Anticipated Benefits of Transaction Anticipated Benefits to CHMI Shareholders Anticipated Benefits to MITT Shareholders Based on current market pricing, merger consideration represents a Transaction to increase MITT’s market capitalization by 36%, improving significant premium to CHMI’s current stoc
Slide 8: Second Quarter 2026 Highlights
Second Quarter 2026 Highlights UNAUDITED Financial Results $3.16 book value per common share1 GAAP net income of $0.04 per share4 2.2% decrease, net of quarterly dividend EAD of $0.15 per share4, 5 $0.10 dividend per share declared and paid2 0.9% total quarterly economic gain3 Portfolio Update 5.0
Slide 9: Mortgage Landscape
Mortgage Landscape UNAUDITED Market Trends1 Mortgage Dollar Price Changes U.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS 2yr 3yr 5yr 7yr 10yr 20yr 30yr 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 4.00% 4.50% 5.00% 5.50% 6.00% September 30, 2025 3.6080 3.6190 3.7410 3.9290 4.1500 4.7030 4.7310
Slide 10: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 23% 22% 21% 21% 21% 21% 20% 20% 17% 20% 75% 75% 36% 39% 40% 42% 41% 50% 50% 77% 78% 79% 79% 79% 25% 25% 43% 41% 40% 41% 39% - - 2Q25 3Q25 4Q25 1Q26 2Q26 2Q25 3Q25 4Q25 1Q26 2Q26 30 Year RMBS¹ MSRs Servic
Slide 11: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED June 30, 2026 MSR Characteristics Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $17,000 UPB $9,609,516 $5,599,138 $15,208,654 $16,606 Avg UPB $232 $226 $229 $16,500 $16,230 WAC 3.47 3.52 3.49 Net Servicing Fee 0.25 0.25 0.25 $16,000 $15,891 WAM (Mt
Slide 12: 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% $38,620 $38,546 $41,521 4.5% 49 10.5 8.8 4.5% 195,996 194,100 202,265 5.3% 40 7.9 9.4 5.0% 421,677 416,909 424,720 5.9% 30 6.2 10.4 5.5% 387,898 380,879
Slide 13: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED March 31, 2026 June 30, 2026 RMBS Collateral (ex. TBA): $ 1,182,686 RMBS Collateral (ex. TBA): $1,079,802 $23,951 $20,085 $18,958 $69,416 $13,240 2% 2% 2% 6% 1% $66,724 6% $94,551 8% $11,522 $11,779 $118,455 1% $100,357 1% $103,032 10% 9% $30,903 9
Slide 14: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 0% 1% Average REPO cost was 3.8% with a weighted average 4% 1% 10% 5% days remaining to maturity of 20 days 5% 8% Borrowings with 18 financing counterparties 6% 8% Weighted average “haircut” of 4.5% 6% 7% 6% 6% 7%
Slide 15: 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 $63,900 0.92% 3.94% 0.7 x ≤ 1 Year - - - - 1 > x ≤ 3 Years 308,000 0.78% 3.89% 1.8 1 > x ≤ 3 Years 1
Slide 16: Appendix
a cmeied Appendix
Slide 17: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 $1,410 $1,429 $1,396 6.00x $1,377 $1,291 $219 $215 $213 5.50x $1,250 $225 $211 5.00x $1,000 4.50x $750 4.00x 5.26x 5.33x 5.38x 5.49x $1,152 $1,191 $1,214 $1,183 3.50x 5.02x $500 $1,080 3.00x $250 2.50x - 2.00x 2Q25 3Q2
Slide 18: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.20 $0.16 $0.15 $0.14 $0.12 $0.10 $0.18 $0.12 $0.10 $0.05 $0.05 $0.08 $0.15 - ($0.02) $0.06 ($0.05) $0.10 $0.10 $0.10 $0.10 ($0.12) $0.04 ($0.10) $0.02 ($0.15) - 2Q25 3
Slide 19: 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 $18,944 $9,418 - ($9,273) ($18,398) Pro forma NAV as of June 30, 2026 $247,868 $238,342 $228,924 $219,651 $21
Slide 20: 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 $758 ($829) ($51) - ($757) ($827) $7 Pro forma NAV as of June 30, 2026 $229,
Slide 21: NAV Snapshot
NAV Snapshot UNAUDITED Net Asset Value Changes in the Quarter Income & Gain (Loss) $12.0 $2.4 $10.0 Operating Expenses $8.8 $8.0 ($2.8) Taxes & Other $6.0 ($2.1) Dividends $0.1 $4.0 ($1.9) Common $2.0 ATM ($2.4) Issuances - ($3.7) - ($1.7) Increase Decrease Total Note: Figures presented are rounded.
Slide 22: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets June 30, 2026 December 31, 2025 Assets RMBS, at fair value (including pledged assets of $1,054,018 and $1,189,714, respectively) $ 1,079,802 $ 1,213,851 Investments in Servicing Related Assets, at fair value (including pledged assets of $211,105 an
Slide 23: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended June 30, 2026 March 31, 2026 Income Interest income $ 14,740 $ 15,850 Interest expense 10,004 11,394 Net interest income 4,736 4,456 Servicing fee income 9,692 10,219 Servicing costs 2,319 2,289 Net servicing income 7,37
Slide 24: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended June 30, 2026 March 31, 2026 Net income $ 3,794 $ 429 Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net 502 (2,442) Net other comprehensive income (loss) 502 (2,4
Slide 25: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended June 30, 2026 March 31, 2026 Net Income $ 3,794 $ 429 + Realized loss on RMBS, net 1,047 - + Realized loss (gain) on derivatives, net¹ (6,987) 4,297 + Realized gain on acquired assets, net (2) - + Un
Slide 26: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Information Interest income $ 53 $ 14,687 $ - $ 14,740 Interest expense 252 9,752 - 10,004 Net interest income (expense) (199) 4,935 - 4,736 Servicing fee income 9,692 - - 9,692 Servicing costs 2,319
Slide 27: 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 28: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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