Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q2 2024 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, 2024
Slide 1: Investor Presentation Second Quarter 2024
Investor Presentation Second 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: Second Quarter 2024
Second Quarter 2024
Slide 4: Second Quarter 2024 Highlights
Second Quarter 2024 Highlights UNAUDITED Financial Results $4.15 book value per common share1 GAAP net loss of $0.06 per share4 7.6% decrease, net of quarterly dividend EAD of $0.08 per share4, 5 $0.15 dividend per share declared and paid2 4.2% total quarterly economic loss3 Portfolio Update 4.9x
Slide 5: Mortgage Landscape
Mortgage Landscape UNAUDITED Market Trends1 Mortgage Dollar Price Changes U.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS 2yr 3yr 5yr 7yr 10yr 20yr 30yr 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 4.00% 4.50% 5.00% 5.50% 6.00% September 30, 2023 5.0440 4.7990 4.6090 4.6140 4.5710 4.8970 4.6990
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 17% 14% 17% 15% 18% 31% 31% 28% 28% 26% 75% 75% 40% 41% 39% 41% 40% 50% 50% 69% 69% 72% 72% 74% 25% 25% 45% 44% 44% 43% 42% - - 2Q23 3Q23 4Q23 1Q24 2Q24 2Q23 3Q23 4Q23 1Q24 2Q24 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED June 30, 2024 MSR Characteristics Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $21,000 $20,785 UPB $11,381,722 $6,645,062 $18,026,784 $20,340 $20,500 $19,973 Avg UPB $247 $240 $244 $20,000 $19,623 WAC 3.48 3.53 3.50 $19,500 Net Servicing Fee 0.25
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 ≤ 3.0% $66,132 $69,940 $76,625 3.7% 28 10.0 7.1 3.5% 93,158 97,345 104,282 4.1% 34 7.5 6.9 4.0% 64,754 68,574 70,002 4.8% 28 6.2 8.0 4.5% 185,159 190,123 194,97
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED March 31, 2024 June 30, 2024 RMBS Collateral (ex. TBA): $1,046,649 RMBS Collateral (ex. TBA): $1,067,317 $49,873 5% $24,077 $36,025 $22,947 $62,184 $34,735 2% 2% $73,577 3% $71,653 6% 3% 7% 7% $30,661 3% $17,763 $95,457 2% $109,226 9% 10% $170,227
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 5.5% with a weighted average 4% days remaining to maturity of 26 days 6% 15% 6% 35 REPO relationships established 6% 12% Borrowings with 11 financing counterparties 7% 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 $348,900 0.65% 5.34% 1.2 x ≤ 3 Years $148,000 5.36% 5.30% 0.6 3 > x ≤ 5 Years 288,000 0.60% 5.34% 3
Slide 12: Appendix
Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 5.00x $1,319 $1,283 $1,297 $1,301 $1,266 $1,250 4.50x $265 $266 $254 $250 $234 $1,000 4.00x $750 3.50x 4.85x 4.40x 4.42x 4.52x $500 $1,054 $1,017 $1,012 $1,047 $1,067 3.00x 4.15x $250 2.50x - 2.00x 2Q23 3Q23 4Q23 1Q24
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 18% $0.10 $0.14 17% $0.05 $0.11 $0.12 16% - ($0.04) $0.10 15% ($0.05) ($0.15) $0.08 14% ($0.10) ($0.18) ($0.24) $0.06 13% ($0.15
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 $16,706 $8,273 - ($8,149) ($16,137) Pro forma NAV as of June 30, 2024 $254,459 $246,026 $237,753 $229,604 $22
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 $2,114 ($2,508) ($289) $0 ($920) ($2,154) $1,127 Pro forma NAV as of June 30
Slide 17: NAV Snapshot
NAV Snapshot UNAUDITED Net Asset Value Changes in the Quarter $8.0 Income & Gain (Loss) Break out Special $6.0 $5.5 Committee-related Operating expenses from G&A $4.0 Expenses $2.0 ($2.7) Taxes ($1.7) & - Other Dividends ($1.8) ($2.0) ($0.6) ($4.0) ($2.6) ($6.0) Pref. ($8.0) Special Buyback ($4.5) C
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets June 30, 2024 December 31, 2023 Assets RMBS, at fair value (including pledged assets of $1,035,600 and $973,221, respectively) $ 1,067,317 $ 1,012,130 Investments in Servicing Related Assets, at fair value (including pledged assets of $234,263 and
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended June 30, 2024 March 31, 2024 Income Interest income $ 13,677 $ 12,741 Interest expense 13,510 13,648 Net interest income (expense) 167 (907) Servicing fee income 12,349 12,891 Servicing costs 3,455 2,634 Net servicing in
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended June 30, 2024 March 31, 2024 Net income $ 784 $ 12,056 Other comprehensive loss: Unrealized loss on RMBS, available-for-sale, net (3,734) (6,596) Net other comprehensive loss (3,734) (6,596) Comprehensiv
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended June 30, 2024 March 31, 2024 Net Income $ 784 $ 12,056 + Realized loss on RMBS, net 1,859 - + Realized loss (gain) on derivatives, net¹ (508) 3,109 + Realized gain on investments in MSRs, net (741) -
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended June 30, 2024 Interest income $ - $ 13,677 $ - $ 13,677 Interest expense 164 13,346 - 13,510 Net interest income (expense) (164) 331 - 167 Servicing fee income 12,349 - -
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: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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