Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q1 2026 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, May 7, 2026
Slide 1: Investor Presentation First Quarter 2026
Investor Presentation First Quarter 2026
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 2026
First Quarter 2026
Slide 4: First Quarter 2026 Highlights
First Quarter 2026 Highlights UNAUDITED Financial Results $3.23 book value per common share1 GAAP net loss of $0.05 per share4 6.1% decrease, net of quarterly dividend EAD of $0.14 per share4, 5 $0.10 dividend per share declared and paid2 3.2% total quarterly economic loss3 Portfolio Update 5.5x 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, 2025 3.7190 3.6890 3.7970 3.9900 4.2280 4.7740 4.7740 $90.
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 23% 22% 21% 21% 17% 21% 20% 20% 17% 24% 75% 75% 39% 36% 39% 42% 40% 50% 50% 76% 77% 78% 79% 79% 25% 25% 44% 43% 41% 40% 41% - - 1Q25 2Q25 3Q25 4Q25 1Q26 1Q25 2Q25 3Q25 4Q25 1Q26 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED March 31, 2026 MSR Characteristics Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $17,500 UPB $9,845,156 $5,740,001 $15,585,157 $16,997 Avg UPB $234 $228 $231 $17,000 $16,606 WAC 3.48 3.52 3.49 $16,500 $16,230 Net Servicing Fee 0.25 0.25 0.25 $16,00
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% $97,985 $98,510 $106,303 4.2% 47 3.3 8.7 4.5% 207,844 205,522 213,945 5.3% 37 8.2 9.6 5.0% 450,719 445,672 453,748 5.9% 27 6.4 10.7 5.5% 388,954 381,623
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED December 31, 2025 March 31, 2026 RMBS Collateral (ex. TBA): $ 1,213,851 RMBS Collateral (ex. TBA): $1,182,686 $25,323 $21,079 $23,951 $20,085 2% 2% 2% 2% $99,383 $94,551 $11,954 8% $122,056 $11,779 8% $118,455 1% $107,040 10% 1% $103,032 10% $19,15
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 1% Average REPO cost was 3.8% with a weighted average 3% 3% 11% 4% days remaining to maturity of 23 days 4% 9% 4% Borrowings with 17 financing counterparties 5% 9% Weighted average “haircut” of 4.4% 5% 6% 8% 6% 8%
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 $122,000 2.69% 3.73% 0.2 x ≤ 1 Year - - - - 1 > x ≤ 3 Years 349,900 0.82% 3.90% 1.9 1 > x ≤ 3 Years
Slide 12: Appendix
Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 $1,410 $1,429 $1,396 6.00x $1,346 $1,377 $219 $215 $213 5.50x $1,250 $227 $225 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 5.22x $1,119 $500 3.00x $250 2.50x - 2.00x 1Q25 2Q2
Slide 14: 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 $0.08 $0.15 $0.15 - ($0.02) $0.06 ($0.05) ($0.08) $0.10 $0.10 $0.10 ($0.12) $0.04 ($0.10) $0.02 ($0.15) - 1Q25
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 $18,796 $9,339 - ($9,201) ($18,254) Pro forma NAV as of March 31, 2026 $249,382 $239,925 $230,586 $221,385 $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 $779 ($756) $70 - ($899) ($849) ($114) Pro forma NAV as of March 31, 2026 $2
Slide 17: NAV Snapshot
NAV Snapshot UNAUDITED Net Asset Value Changes in the Quarter $12.0 Income & Gain (Loss) Operating Expenses $10.2 $10.0 $8.0 Taxes & $6.0 Other Dividends $4.0 $2.0 ($8.0) - ($1.7) Common ($2.0) ($1.6) ATM ($0.8) Issuances ($4.0) ($2.4) ($6.0) - ($8.0) ($3.7) ($7.9) ($10.0) Increase Decrease Total No
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets March 31, 2026 December 31, 2025 Assets RMBS, at fair value (including pledged assets of $1,156,545 and $1,189,714, respectively) $ 1,182,686 $ 1,213,851 Investments in Servicing Related Assets, at fair value (including pledged assets of $213,455 a
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended March 31, 2026 December 31, 2025 Income Interest income $ 15,850 $ 15,838 Interest expense 11,394 12,628 Net interest income 4,456 3,210 Servicing fee income 10,219 10,629 Servicing costs 2,289 2,481 Net servicing income
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended March 31, 2026 December 31, 2025 Net income $ 429 $ 7,858 Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net (2,442) 1,173 Net other comprehensive income (loss) (2
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended March 31, 2026 December 31, 2025 Net Income $ 429 $ 7,858 + Realized loss on derivatives, net¹ 4,297 6,497 + Realized loss on acquired assets, net - - + Unrealized loss (gain) on RMBS, measured at fa
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Information Interest income $ 52 $ 15,798 $ - $ 15,850 Interest expense 597 10,797 - 11,394 Net interest income (expense) (545) 5,001 - 4,456 Servicing fee income 10,219 - - 10,219 Servicing costs 2,
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
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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