Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q4 2023 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, Mar 7, 2024
Slide 1: Investor Presentation Fourth Quarter 2023
Investor Presentation Fourth 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: Fourth Quarter 2023
Mb BERRY EE Fourth Quarter 2023
Slide 4: Fourth Quarter 2023 Highlights
Fourth Quarter 2023 Highlights UNAUDITED Financial Results $4.53 book value per common share1 EAD of $0.17 per share4 9.2% decrease, net of quarterly dividend $0.15 dividend per share declared and paid2 6.2% total quarterly economic loss3 Portfolio Update 4.2x leverage ratio for aggregate portfoli
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% March 31, 2023 4.0250 3.7880 3.5730 3.5310 3.4680 3.7950 3.6500 $92
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 17% 16% 17% 14% 17% 30% 28% 31% 31% 28% 75% 75% 39% 40% 41% 39% 45% 50% 50% 70% 72% 69% 69% 72% 25% 25% 45% 45% 44% 38% 43% - - 4Q22 1Q23 2Q23 3Q23 4Q23 4Q22 1Q23 2Q23 3Q23 4Q23 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED December 31, 2023 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $22,000 $21,688 UPB $12,635,631 $7,337,363 $19,972,994 $21,600 $21,273 Avg UPB $223 $223 $223 $21,200 WAC 3.47 3.51 3.48 $20,785 $20,800 Net Servicing F
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% $71,193 $72,665 $79,764 3.7% 22 2.6 4.5 3.5% 100,379 101,227 108,549 4.1% 28 7.7 1.5 4.0% 69,371 71,169 72,669 4.8% 22 2.1 2.9 4.5% 196,753 196,779 201,8
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED September 30, 2023 December 31, 2023 RMBS Collateral (ex. TBA): $1,016,801 RMBS Collateral (ex. TBA): $1,012,130 $60,918 6% $25,184 $36,258 $25,036 - 4% $37,820 2% - 2% 0% 4% 0% $83,000 - 8% $96,848 $94,046 0% $99,128 $75,791 10% 9% 10% 8% $79,480
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 5.5% with a weighted average 3% 4% 13% days remaining to maturity of 21 days 5% 6% 35 REPO relationships established 11% 6% Borrowings with 14 financing counterparties 6% 10% Weighted average
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 $357,000 0.59% 5.36% 1.6 x ≤ 3 Years $148,000 5.38% 5.30% 1.1 3 > x ≤ 5 Years 329,900 0.66% 5.37% 4
Slide 12: Appendix
Mb BERRY EE Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 5.00x $1,349 $1,319 $1,283 $1,266 $1,211 $1,250 $271 4.50x $265 $266 $254 $280 $1,000 4.00x $750 3.50x 4.43x 4.40x 4.42x $500 $1,078 $1,054 $1,017 $1,012 3.00x 4.15x $931 3.80x $250 2.50x - 2.00x 4Q22 1Q23 2Q23 3Q23 4Q
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 26% $0.25 $0.20 22% $0.29 $0.20 $0.15 $0.15 $0.15 - ($0.04) $0.15 18% ($0.15) ($0.29) ($0.24) $0.10 ($0.20) 14% $0.05 ($0.40) - 10% 4Q22 1Q23 2Q23
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 $21,098 $10,404 - ($10,182) ($20,097) Pro forma NAV as of December 31, 2023 $279,473 $268,779 $258,375 $248,1
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 $1,286 ($3,174) ($1,831) $0 $506 ($1,308) $1,774 Pro forma NAV as of Decembe
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 December 31, 2023 December 31, 2022 Assets RMBS, at fair value (including pledged assets of $973,221 and $815,171, respectively) $ 1,012,130 $ 931,431 Investments in Servicing Related Assets, at fair value (including pledged assets of $253,629 and
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended December 31, 2023 September 30, 2023 Income Interest income $ 12,792 $ 12,864 Interest expense 13,182 13,337 Net interest expense (390) (473) Servicing fee income 12,892 13,225 Servicing costs 3,150 2,869 Net servicing i
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended December 31, 2023 September 30, 2023 Net income (loss) $ (33,644) $ 15,885 Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net 29,527 (14,485) Net other comprehensi
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended December 31, 2023 September 30, 2023 Net Income (Loss) $ (33,644) $ 15,885 + Realized loss on RMBS, net 14,851 10,209 + Realized loss (gain) on derivatives, net¹ 2,804 (10,565) + Realized gain on acq
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended December 31, 2023 Interest income $ - $ 12,792 $ - $ 12,792 Interest expense 429 12,753 - 13,182 Net interest income (expense) (429) 39 - (390) Servicing fee income 12,89
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
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