Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q3 2022 Earnings Presentation
22 slides from Cherry Hill Mortgage Investment's earnings presentation, Nov 2, 2022
Slide 1: Investor Presentation Third Quarter 2022
Investor Presentation Third Quarter 2022
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: Third Quarter 2022
Third Quarter 2022
Slide 4: Third Quarter 2022 Highlights
Third Quarter 2022 Highlights UNAUDITED Financial Results $6.05 book value per common share1 EAD of $0.26 per share4 10.1% decrease, net of 3Q22 dividend $0.27 dividend per share declared and paid2 6.1% total quarterly economic loss3 Portfolio Update 4.2x leverage ratio for aggregate portfolio 4.7
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% September 30, 2021 0.2760 0.5080 0.9650 1.2850 1.4870 1.9880 2.0450 $97.063 $100.188
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 13% 14% 18% 16% 13% 21% 24% 20% 20% 27% 11% 9% 75% 5% 75% 5% 3% 39% 40% 49% 39% 40% 50% 50% 76% 77% 74% 71% 70% 25% 25% 45% 43% 42% 40% 38% - - 3Q21 4Q21 1Q22 2Q22 3Q22 3Q21 4Q21 1Q22 2Q22 3Q22 30 Year R
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED September 30, 2022 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $21,600 UPB $13,463,044 $7,894,701 $21,357,745 $21,358 $21,400 Avg UPB $233 $230 $232 $21,200 WAC 3.47 3.51 3.48 $21,000 $20,781 $20,773 Net Servicing
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (96% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ 3.0% 149,309 172,013 170,561 3.6% 8 3.0 5.2 3.5% 188,802 205,548 208,457 4.1% 17 2.9 1.8 4.0% 263,582 284,653 282,270 4.7% 24 3.2 2.7 ≥ 4.5% 266,34
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED June 30, 2022 September 30, 2022 RMBS Collateral (ex. TBA): $728,825 RMBS Collateral (ex. TBA): $868,035 $12,441 $42,246 $11,349 $23,046 2% 6% 1% 3% $39,905 $46,359 5% 6% $37,260 $116,830 $124,950 4% 14% 17% $40,482 $159,394 6% 18% $73,320 8% $192,
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 3.04% with a weighted 5% 10% 6% average days remaining to maturity of 29 days 7% 10% 34 REPO relationships established 7% Borrowings with 13 financing counterparties 9% 7% Weighted average “ha
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 $340,000 0.57% 3.19% 2.3 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 210,900 0.63% 2.87% 4.3 3 > x ≤ 5 Year
Slide 12: Appendix
Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 3.75x $1,172 $1,147 $1,077 $1,020 $993 $219 4.16x $1,000 $211 $279 $246 $264 3.25x 3.63x 3.56x $500 $953 3.38x $866 $774 $868 $729 3.23x - 2.75x 3Q21 4Q21 1Q22 2Q22 3Q22 3Q21 4Q21 1Q22 2Q22 3Q22 RMBS¹ MSRs RMBS Net Int
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield - $0.30 $0.27 $0.27 $0.27 $0.27 $0.27 26% ($0.27) ($0.22) ($0.26) ($0.20) ($0.36) $0.25 22% ($0.40) $0.20 ($0.98) ($0.60) $0.15 18% ($0.80) $0.10 14% ($1.00) $0.05 ($1.20
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 $22,285 $11,093 - ($10,953) ($21,732) Pro forma NAV as of September 30, 2022 $273,086 $261,
Slide 16: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets September 30, 2022 December 31, 2021 Assets RMBS, available-for-sale, at fair value (including pledged assets of $802,195 and $892,888, respectively) $ 868,035 $ 953,496 Investments in Servicing Related Assets, at fair value (including pledged asse
Slide 17: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended September 30, 2022 June 30, 2022 Income Interest income $ 8,213 $ 6,004 Interest expense 4,882 2,502 Net interest income 3,331 3,502 Servicing fee income 13,426 13,188 Servicing costs 2,725 2,615 Net servicing income 10,
Slide 18: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended September 30, 2022 June 30, 2022 Net income (loss) $ 41,677 $ (15,464) Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net (46,592) 12,841 Net other comprehensive i
Slide 19: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended September 30, 2022 June 30, 2022 Net Income (Loss) $ 41,677 $ (15,464) + Realized loss on RMBS, net 9,735 46,036 + Realized loss (gain) on derivatives, net ¹ (2,143) 5,952 + Unrealized gain on deriva
Slide 20: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended September 30, 2022 Interest income $ - $ 8,213 $ - $ 8,213 Interest expense 635 4,247 - 4,882 Net interest income (expense) (635) 3,966 - 3,331 Servicing fee income 13,42
Slide 21: 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 • Gross CRR – Gross CRR is CRR prior to factoring in recapture more • HPA – Home price appreciation • Age (mths) or Loan A
Slide 22: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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