Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q2 2021 Earnings Presentation
23 slides from Cherry Hill Mortgage Investment's earnings presentation, Aug 9, 2021
Slide 1: Investor Presentation Second Quarter 2021
Investor Presentation Second Quarter 2021
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 2021
Second Quarter 2021
Slide 4: Second Quarter 2021 Highlights
Second Quarter 2021 Highlights UNAUDITED Financial Results $9.63 book value per common share1 8.6% total quarterly economic loss3 ▪ 11.1% decrease, net of 2Q21 dividend $0.28 core earnings per share4 $0.27 dividend per share declared and paid2 Portfolio Update 3.6x leverage ratio for aggregate portf
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 1.50% 2.00% 2.50% 3.00% 3.50% 4.00% 1.50% 2.00% 2.50% December 31, 2020 0.1210 0.1650 0.3610 0.6430 0.9130 1.4400 1.6450 $101.050 $103.880
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 10% 9% 10% 14% 13% 15% 1% 1%1% 1%0% 16% 4% - - 25% 26% 24% 18% 15% 75% 75% 35% 42% 41% 40% 50% 50% 45% 85% 90% 89% 68% 72% 25% 25% 48% 43% 33% 36% 29% - - 2Q20 3Q20 4Q20 1Q21 2Q21 2Q20 3Q20 4Q20 1Q21 2Q2
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED June 30, 2021 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $24,500 $24,127 UPB ($) 12,980,512,455 8,542,870,197 21,523,382,652 $24,000 Avg UPB ($'000) 229,212 234,501 231,283 $23,500 WAC 3.61 3.65 3.63 $23,000 Net S
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (83% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ ≤ 2.5% $346,770 $349,033 $332,835 3.3% 6 3.3 11.5 3.0% 288,824 288,496 272,977 3.8% 9 9.0 15.8 3.5% 172,807 165,868 160,560 4.2% 31 26.3 16.9 4.0%
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED March 31, 2021 June 30, 2021 RMBS Collateral (ex. TBA): $1,014,249 RMBS Collateral (ex. TBA): $998,799 $35,421 $48,507 $54,867 - $40,532 3% 5% 5% 0% 4% $66,901 $89,411 7% 9% $113,024 11% $102,855 $275,269 10% 28% $323,277 32% $162,174 $107,307 16%
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 4% Average REPO cost was 0.11% with a weighted 9% 5% average days remaining to maturity of 41 days 5% 9% 6% 32 REPO relationships established 8% 6% Borrowings with 15 financing counterparties 6% 8% Weighted average
Slide 11: Hedging Summary
Hedging Summary UNAUDITED Swaps Payer Swaps Receiver Swaps Yrs. To Maturity Amount WA Pay Rate WA Receive WA Yrs. to Yrs. To Maturity Amount WA Pay Rate WA Receive WA Yrs. to x ≤ 3 Years $60,000 0.22% 0.13% 2.1 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 385,000 0.59% 0.13% 4.0 3 > x ≤ 5 Years - - - - 5 > x
Slide 12: Appendix
Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $2,000 $1,725 6.0x $1,649 $177 $163 $1,402 $1,231 $1,211 4.5x $174 $217 $212 $1,000 3.0x $1,548 $1,486 $1,228 4.6x 4.6x $1,014 $999 4.0x 3.4x 3.6x 1.5x - 2Q20 3Q20 4Q20 1Q21 2Q21 - RMBS¹ MSRs 2Q20 3Q20 4Q20 1Q21 2Q21 RMBS Net
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.20 $0.30 $0.27 $0.27 $0.27 $0.27 $0.27 14% - $0.03 $0.25 12% ($0.04) ($0.31) ($0.31) 10% ($0.20) $0.20 8% ($0.40) $0.15 ($0.92) 6% ($0.60) $0.10 4% ($0.80) $0.05 2% ($
Slide 15: Basis Risk and Interest Rate Sensitivity
Basis Risk and Interest Rate 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 $25,381 $12,796 - ($14,075) ($28,861) Proforma NAV as of June 30, 2021 $312,429 $299,844 $2
Slide 16: Forbearance Update as of July 13, 2021
Forbearance Update as of July 13, 2021 UNAUDITED Forbearance Trend by Week 3,500 3,000 2,500 2,000 1,500 1,000 500 - Active PIF Removed¹ Commentary Approximately 6% of borrowers in forbearance are current and have made all payments due Approximately 23% of borrowers granted forbearance remain in for
Slide 17: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets June 30, 2021 December 31, 2020 Assets RMBS, available-for-sale, at fair value (including pledged assets of $933,100 and $1,164,416, respectively) $ 998,799 $ 1,228,251 Investments in Servicing Related Assets, at fair value (including pledged asset
Slide 18: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended June 30, 2021 2020 Income Interest income $ 7,085 $ 10,132 Interest expense 449 3,425 Net interest income 6,636 6,707 Servicing fee income 13,748 18,032 Servicing costs 4,072 6,594 Net servicing income 9,676 11,438 Other
Slide 19: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended June 30, 2021 2020 Net income (loss) $ (11,613) $ (12,683) Other comprehensive income (loss): Net unrealized gain (loss) on RMBS (1,021) 14,017 Reclassification of net realized gain (loss) on RMBS includ
Slide 20: Core Earnings
Core Earnings UNAUDITED Core Earnings Three Months Ended June 30, 2021 2020 Net Income (Loss) $ (11,613) $ (12,683) Other comprehensive income (loss): + Realized loss (gain) on RMBS, net (983) 1,769 + Realized loss (gain) on derivatives, net 10,139 (4,558) + Realized loss on investments in MSRs, net
Slide 21: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended June 30, 2021 Interest income $ 105 $ 6,980 $ - $ 7,085 Interest expense (771) 1,220 - 449 Net interest income 876 5,760 - 6,636 Servicing fee income 13,748 - - 13,748 Se
Slide 22: 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 more • LT – Long Term • Age (mths) or Loan Age (mths) – Weighted average number of months • LTD Cash Flows – Actual life t
Slide 23: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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