Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q2 2022 Earnings Presentation
22 slides from Cherry Hill Mortgage Investment's earnings presentation, Aug 3, 2022
Slide 1: Investor Presentation Second Quarter 2022
Investor Presentation Second 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: Second Quarter 2022
Mb BERRIES Second Quarter 2022
Slide 4: Second Quarter 2022 Highlights
Second Quarter 2022 Highlights UNAUDITED Financial Results $6.73 book value per common share1 EAD of $0.28 per share4 7.4% decrease, net of 2Q22 dividend $0.27 dividend per share declared and paid2 3.7% total quarterly economic loss3 Portfolio Update 3.4x leverage ratio for aggregate portfolio 7.1
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% June 30, 2021 0.2490 0.4600 0.8890 1.2360 1.4680 2.0180 2.0860 $98.059 $100.988 $103.
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 13% 13% 14% 15% 18% 20% 16% 21% 24% 20% 15% 11% 9% 75% 5% 75% 5% 42% 39% 40% 39% 40% 50% 50% 72% 76% 77% 74% 71% 25% 25% 45% 43% 43% 42% 40% - - 2Q21 3Q21 4Q21 1Q22 2Q22 2Q21 3Q21 4Q21 1Q22 2Q22 30 Year
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED June 30, 2022 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $21,800 UPB $13,071,427 $7,650,258 $20,721,685 $21,600 $21,523 Avg UPB $235 $231 $233 $21,400 WAC 3.44 3.48 3.46 $21,200 Net Servicing Fee 0.25 0.25 0.25 $2
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (93% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ ≤ 2.5% $12,319 $13,402 $13,575 3.1% 10 0.2 5.6 3.0% 183,084 197,372 195,278 3.6% 6 3.9 5.3 3.5% 223,089 227,739 230,112 4.1% 17 2.7 2.3 4.0% 288,55
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED March 31, 2022 June 30, 2022 RMBS Collateral (ex. TBA): $774,113 RMBS Collateral (ex. TBA): $728,825 $21,957 - $12,441 $42,246 3% 0% 2% 8% $52,849 $46,359 7% 8% $142,083 $94,180 $151,780 18% 12% 27% $33,606 4% $103,901 - $61,704 14% 0% 8% $192,988
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 2% Average REPO cost was 1.20% with a weighted 6% 14% average days remaining to maturity of 16 days 6% 6% 34 REPO relationships established 13% 6% Borrowings with 13 financing counterparties 6% 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 $380,000 0.56% 1.66% 2.5 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 148,900 0.70% 1.47% 4.2 3 > x ≤ 5 Year
Slide 12: Appendix
LA CHERRYHILL MORTGAGE INVESTMENT CORPORATION Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 3.75x $1,211 $1,172 $1,077 $212 $1,020 $993 $219 $1,000 $211 $246 $264 3.25x 3.60x 3.63x 3.56x $500 $999 $953 3.38x $866 $774 $729 3.23x - 2.75x 2Q21 3Q21 4Q21 1Q22 2Q22 2Q21 3Q21 4Q21 1Q22 2Q22 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 19% ($0.27) ($0.22) ($0.26) ($0.20) $0.25 17% ($0.40) $0.20 15% ($0.92) ($0.98) ($0.60) $0.15 13% ($0.80) $0.10 11% ($1.00) $0.05 9%
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 $25,886 $13,130 - ($13,241) ($26,317) Pro forma NAV as of June 30, 2022 $280,970 $268,214 $
Slide 16: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets June 30, 2022 December 31, 2021 Assets RMBS, available-for-sale, at fair value (including pledged assets of $640,691 and $892,888, respectively) $ 728,825 $ 953,496 Investments in Servicing Related Assets, at fair value (including pledged assets of
Slide 17: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended June 30, 2022 March 31, 2022 Income Interest income $ 6,004 $ 5,519 Interest expense 2,502 1,640 Net interest income 3,502 3,879 Servicing fee income 13,188 13,116 Servicing costs 2,615 3,193 Net servicing income 10,573
Slide 18: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended June 30, 2022 March 31, 2022 Net income (loss) $ (15,464) $ 28,729 Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net 12,841 (44,535) Net other comprehensive incom
Slide 19: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended June 30, 2022 March 31, 2022 Net Income (Loss) $ (15,464) $ 28,729 + Realized loss on RMBS, net 46,036 13,222 + Realized loss on derivatives, net ¹ 5,952 14,422 + Realized gain on acquired assets, ne
Slide 20: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended June 30, 2022 Interest income $ - $ 6,004 $ - $ 6,004 Interest expense 1,131 1,371 - 2,502 Net interest income (expense) (1,131) 4,633 - 3,502 Servicing fee income 13,188
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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