Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q3 2023 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, Nov 2, 2023
Slide 1: Investor Presentation Third Quarter 2023
Investor Presentation Third Quarter 2023
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 2023
Mb BERRIES Third Quarter 2023
Slide 4: Third Quarter 2023 Highlights
Third Quarter 2023 Highlights UNAUDITED Financial Results $4.99 book value per common share1 EAD of $0.16 per share4 3.9% decrease, net of quarterly dividend $0.15 dividend per share declared and paid2 1.0% total quarterly economic loss3 Portfolio Update 4.4x leverage ratio for aggregate portfolio
Slide 5: Mortgage Landscape
Mortgage Landscape UNAUDITED Market Trends1 Mortgage Dollar Price Changes U.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS 2yr 3yr 5yr 7yr 10yr 20yr 30yr 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 4.00% 4.50% 5.00% 5.50% 6.00% December 31, 2022 4.4260 4.2240 4.0040 3.9650 3.8750 4.1440 3.9630
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 13% 17% 16% 17% 14% 27% 30% 28% 31% 31% 75% - 75% 3% - - - 49% 39% 40% 41% 45% 50% 50% 70% 70% 72% 69% 69% 25% 25% 45% 45% 38% 38% 43% - - 3Q22 4Q22 1Q23 2Q23 3Q23 3Q22 4Q22 1Q23 2Q23 3Q23 30 Year RMBS¹
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED September 30, 2023 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $22,000 UPB $12,871,311 $7,468,792 $20,340,103 $21,688 $21,600 Avg UPB $225 $224 $225 $21,358 $21,273 WAC 3.47 3.51 3.49 $21,200 Net Servicing Fee 0.25
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (100% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ 3.0% $67,361 $74,245 $80,768 3.7% 19 7.6 5.2 3.5% 113,987 123,429 131,522 4.1% 24 2.5 2.2 4.0% 65,690 71,655 73,175 4.8% 19 4.7 3.8 ≥ 4.5% 769,763
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED June 30, 2023 September 30, 2023 RMBS Collateral (ex. TBA): $1,054,251 RMBS Collateral (ex. TBA): $1,016,801 $60,918 6% $36,258 $27,217 $25,184 $38,663 - 4% 2% 2% 4% 0% $30,959 3% $102,384 10% $96,848 $94,046 $101,670 10% 10% 9% $133,330 $79,480 13
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 5.5% with a weighted average 3% 3% days remaining to maturity of 20 days 4% 15% 5% 35 REPO relationships established 6% 12% Borrowings with 14 financing counterparties 6% 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 ≤ 3 Years $375,000 0.56% 5.35% 1.6 x ≤ 3 Years $183,000 5.42% 5.21% 1.5 3 > x ≤ 5 Years 341,900 0.65% 5.35% 4
Slide 12: Appendix
Mb BERRIES Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 5.00x $1,349 $1,319 $1,283 $1,211 $1,250 $1,147 $271 4.50x $265 $266 $280 $1,000 $279 4.00x $750 3.50x 4.43x 4.40x 4.42x $500 $1,078 $1,054 $1,017 3.00x 4.16x $868 $931 3.80x $250 2.50x - 2.00x 3Q22 4Q22 1Q23 2Q23 3Q23
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.40 $0.30 $0.27 $0.27 $0.27 26% $0.25 $0.20 22% $0.29 $0.20 $0.15 $0.15 - ($0.04) $0.15 18% ($0.15) ($0.29) $0.10 ($0.20) ($0.36) 14% $0.05 ($0.40) - 10% 3Q22 4Q22 1Q23
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 $11,766 $5,989 - ($6,822) ($13,839) Pro forma NAV as of September 30, 2023 $269,322 $263,545 $257,556 $250,73
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 $511 ($714) ($133) - ($343) ($551) $180 Pro forma NAV as of September 30, 20
Slide 17: Capital Structure Impact on Common BVPS
Capital Structure Impact on Common BVPS UNAUDITED Commentary Corporate capital structure can amplify the impacts of changes in capital on common shareholders equity Over the past four years, due to market impacts, the portion of Cherry Hill’s capital structure not comprised of common equity has ri
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets September 30, 2023 December 31, 2022 Assets RMBS, at fair value (including pledged assets of $978,955 and $815,171, respectively) $ 1,016,801 $ 931,431 Investments in Servicing Related Assets, at fair value (including pledged assets of $266,474 and
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended September 30, 2023 June 30, 2023 Income Interest income $ 12,864 $ 12,534 Interest expense 13,337 13,168 Net interest expense (473) (634) Servicing fee income 13,225 13,436 Servicing costs 2,869 2,464 Net servicing incom
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended September 30, 2023 June 30, 2023 Net income $ 15,885 $ 1,626 Other comprehensive loss: Unrealized loss on RMBS, available-for-sale, net (14,485) (3,122) Net other comprehensive loss (14,485) (3,122) Comp
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended September 30, 2023 June 30, 2023 Net Income $ 15,885 $ 1,626 + Realized loss on RMBS, net 10,209 10,274 + Realized gain on derivatives, net¹ (10,565) (1,883) + Realized gain on acquired assets, net (
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended September 30, 2023 Interest income $ - $ 12,864 $ - $ 12,864 Interest expense (89) 13,426 - 13,337 Net interest income (expense) 89 (562) - (473) Servicing fee income 13,
Slide 23: 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 24: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
Cherry Hill Mortgage Investment — Q3 2023 Earnings Presentation on 6ix