Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q1 2022 Earnings Presentation
22 slides from Cherry Hill Mortgage Investment's earnings presentation, May 9, 2022
Slide 1: Investor Presentation First Quarter 2022
Investor Presentation First 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: First Quarter 2022
Mb BERRIES First Quarter 2022
Slide 4: First Quarter 2022 Highlights
First Quarter 2022 Highlights UNAUDITED Financial Results $7.27 book value per common share1 EAD of $0.34 per share4 15.1% decrease, net of 1Q22 dividend $0.27 dividend per share declared and paid2 11.9% total quarterly economic loss3 Portfolio Update 3.6x leverage ratio for aggregate portfolio 10
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% March 31, 2021 0.1600 0.3460 0.9390 1.4190 1.7400 2.3110 2.4110 $96.219 $99.277 $101.
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 14% 13% 13% 14% 16% 15% 18% 20% 16% 21% 15% 11% 9% 75% 18% 5% 75% 35% 42% 40% 39% 39% 50% 50% 72% 76% 77% 74% 68% 25% 25% 48% 45% 43% 43% 42% - - 1Q21 2Q21 3Q21 4Q21 1Q22 1Q21 2Q21 3Q21 4Q21 1Q22 30 Year
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED December 31, 2021 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $22,000 $21,715 UPB ($) 12,695,994,059 7,745,183,978 20,441,178,037 $21,523 Avg UPB ($'000) 233,636 231,822 232,945 $21,500 WAC 3.47 3.49 3.48 Net Servi
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (94% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ ≤ 2.5% $203,247 $219,109 $211,980 3.2% 9 9.2 5.6 3.0% 311,989 330,050 316,924 3.5% 7 4.6 6.5 3.5% 120,956 123,554 119,324 4.2% 38 14.8 7.2 4.0% 126
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED December 31, 2021 March 31, 2022 RMBS Collateral (ex. TBA): $953,496 RMBS Collateral (ex. TBA): $774,113 $49,428 $45,279 $21,957 5% 5% 3% $52,849 7% $134,701 $142,083 $94,180 14% 18% 12% $249,112 $33,606 26% 4% $144,407 $103,901 15% 14% $61,704 8%
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 4% Average REPO cost was 0.39% with a weighted 5% 14% average days remaining to maturity of 33 days 6% 6% 34 REPO relationships established 11% 6% Borrowings with 13 financing counterparties 6% 10% 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 Mat. Yrs. To Maturity Amount WA Pay Rate WA Receive WA Yrs. to Mat. x ≤ 3 Years $380,000 0.56% 0.74% 2.7 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 107,000 0.54% 0.37% 4.2 3 > x ≤ 5 Years -
Slide 12: Appendix
Mb BERRIES Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 3.75x $1,231 $1,211 $1,172 $1,077 $217 $212 $1,020 $219 $1,000 $211 $246 3.25x 3.60x 3.63x $500 $1,014 $999 $953 3.56x $866 $774 3.42x 3.23x - 1Q21 2Q21 3Q21 4Q21 1Q22 2.75x RMBS¹ MSRs 1Q21 2Q21 3Q21 4Q21 1Q22 RMBS Net
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield - ($0.04) $0.30 $0.27 $0.27 $0.27 $0.27 $0.27 15% ($0.27) ($0.22) 14% ($0.20) $0.25 13% ($0.40) $0.20 ($0.92) 12% ($0.98) ($0.60) $0.15 11% 10% ($0.80) $0.10 9% ($1.00) $
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 $30,520 $15,197 - ($15,050) ($29,920) Proforma NAV as of March 31, 2021 $290,171 $274,848 $
Slide 16: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets March 31, 2022 December 31, 2021 Assets RMBS, available-for-sale, at fair value (including pledged assets of $731,271 and $892,888, respectively) $ 774,113 $ 953,496 Investments in Servicing Related Assets, at fair value (including pledged assets o
Slide 17: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended March 31, 2022 December 31, 2021 Income Interest income $ 5,519 $ 4,529 Interest expense 1,640 1,534 Net interest income 3,879 2,995 Servicing fee income 13,116 13,030 Servicing costs 3,193 3,390 Net servicing income 9,9
Slide 18: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended March 31, 2022 December 31, 2021 Net income $ 28,729 $ 6,705 Other comprehensive income: Unrealized loss on RMBS, available-for-sale, net (44,535) (8,276) Net other comprehensive loss (44,535) (8,276) Co
Slide 19: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended March 31, 2022 December 31, 2021 Net Income $ 28,729 $ 6,705 + Realized loss on RMBS, net 13,222 1,479 + Realized loss on derivatives, net ¹ 14,422 8,860 + Realized gain on acquired assets, net (12)
Slide 20: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended March 31, 2022 Interest income $ - $ 5,519 $ - $ 5,519 Interest expense 1,253 387 - 1,640 Net interest income (expense) (1,253) 5,132 - 3,879 Servicing fee income 13,116
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 more • HPA – Home price appreciation • Age (mths) or Loan Age (mths) – Weighted average number of months • LT – Long Term
Slide 22: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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