Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q4 2024 Earnings Presentation
25 slides from Cherry Hill Mortgage Investment's earnings presentation, Mar 6, 2025
Slide 1: Investor Presentation Fourth Quarter 2024
Investor Presentation Fourth Quarter 2024
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: Fourth Quarter 2024
Fourth Quarter 2024
Slide 4: Fourth Quarter 2024 Highlights
Fourth Quarter 2024 Highlights UNAUDITED Financial Results $3.82 book value per common share1 GAAP net gain of $0.29 per share4 ▪ 5.0% decrease, net of quarterly dividend EAD of $0.10 per share4, 5 $0.15 dividend per share declared and paid2 1.2% total quarterly economic loss3 Portfolio Update 5.3x
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% March 31, 2024 4.6200 4.4090 4.2120 4.2080 4.2000 4.4520 4.3430 $89
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 21% 17% 15% 18% 16% 16% 28% 28% 26% 24% 75% 75% 39% 41% 40% 42% 38% 50% 50% 74% 79% 76% 72% 72% 25% 25% 44% 44% 46% 42% 42% - - 4Q23 1Q24 2Q24 3Q24 4Q24 4Q23 1Q24 2Q24 3Q24 4Q24 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED December 31, 2024 MSR Characteristics Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $20,500 $19,973 UPB $10,929,961 $6,374,173 $17,304,133 $20,000 $19,623 Avg UPB $243 $236 $241 $19,500 WAC 3.48 3.53 3.50 $19,000 $18,500 $18,027 Net Servicing Fee 0
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% $208,600 $218,998 $234,654 4.1% 35 3.5 7.4 4.5% 198,078 201,353 209,294 5.3% 24 4.9 7.6 5.0% 335,216 338,027 345,685 5.9% 21 2.7 8.1 5.5% 359,638 360,118
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED September 30, 2024 December 31, 2024 RMBS Collateral (ex. TBA): $1,214,123 RMBS Collateral (ex. TBA): $1,122,420 $26,709 $61,784 $27,240 2% $80,741 $29,706 $29,130 $68,615 6% $72,647 3% 2% 2% 7% 6% - - 6% 0% 0% $120,932 $136,408 10% 12% $142,515 $1
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 4.8% with a weighted average 4% 3% days remaining to maturity of 18 days 5% 15% 5% 35 REPO relationships established 6% Borrowings with 12 financing counterparties 14% 8% Weighted average “hai
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 $250,000 0.61% 4.75% 0.2 x ≤ 1 Year $148,000 4.49% 5.30% 0.1 1 > x ≤ 3 Years 181,900 0.65% 4.70% 2.3
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 $1,266 $1,297 $1,301 $227 5.00x $1,250 $234 $254 $250 $234 4.50x $1,000 4.00x $750 5.25x 5.26x $1,214 3.50x 4.85x $1,047 $1,067 $1,122 4.52x $500 $1,012 4.15x 3.00x $250 2.50x - 2.00x 4Q23 1Q24 2Q24
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% $0.05 $0.11 $0.12 $0.04 20% - ($0.05) $0.10 ($0.05) 18% $0.08 ($0.10) ($0.18) 16% ($0.24) $0.06 ($0.15) 14%
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 $17,687 $8,755 - ($8,615) ($17,035) Pro forma NAV as of December 31, 2024 $251,309 $242,377 $233,622 $225,007
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 $1,266 ($1,997) ($690) - $213 ($1,326) $1,464 Pro forma NAV as of December 3
Slide 17: NAV Snapshot
NAV Snapshot UNAUDITED Net Asset Value Changes in the Quarter Break out Special Committee and Income & Gain (Loss) $10.0 internalization-related expenses from G&A $9.2 Operating Expenses $8.0 ($1.3) Taxes & $6.0 Other ($1.9) Dividends $4.0 ($1.2) ($0.9) $2.0 ($2.3) - Common ATM Special ($2.5) ($2.0)
Slide 18: Internalization Overview
Internalization Overview UNAUDITED Transaction Overview Shareholder Benefits On November 14, 2024, CHMI completed its Stronger alignment between management and internalization of management and terminated the shareholders through direct ownership and management agreement with Cherry Hill Mortgage in
Slide 19: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets December 31, 2024 December 31, 2023 Assets RMBS, at fair value (including pledged assets of $1,103,622 and $973,221, respectively) $ 1,122,420 $ 1,012,130 Investments in Servicing Related Assets, at fair value (including pledged assets of $233,658
Slide 20: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended December 31, 2024 September 30, 2024 Income Interest income $ 15,053 $ 14,327 Interest expense 14,393 14,218 Net interest income 660 109 Servicing fee income 11,606 11,681 Servicing costs 3,123 3,206 Net servicing income
Slide 21: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended December 31, 2024 September 30, 2024 Net income (loss) $ 11,814 $ (12,444) Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net (10,795) 16,400 Net other comprehensi
Slide 22: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended December 31, 2024 September 30, 2024 Net Income (Loss) $ 11,814 $ (12,444) + Realized loss on RMBS, net 1,085 3,651 + Realized loss (gain) on derivatives, net¹ (5,502) 17,588 + Realized loss on inves
Slide 23: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Information Interest income $ (1) $ 15,054 $ - $ 15,053 Interest expense 530 13,863 - 14,393 Net interest income (expense) (531) 1,191 - 660 Servicing fee income 11,606 - - 11,606 Servicing costs 3,1
Slide 24: 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 25: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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