Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q1 2024 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, May 6, 2024
Slide 1: Investor Presentation First Quarter 2024
Investor Presentation First Quarter 2024
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 o
Slide 3: First Quarter 2024
First Quarter 2024
Slide 4: First Quarter 2024 Highlights
First Quarter 2024 Highlights UNAUDITED Financial Results $4.49 book value per common share1 GAAP net income of $0.32 per share4 0.9% decrease, net of quarterly dividend EAD of $0.13 per share4, 5 $0.15 dividend per share declared and paid2 2.4% total quarterly economic gain3 Portfolio Update 4.5x
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% June 30, 2023 4.9000 4.5290 4.1560 3.9990 3.8400 4.0740 3.8620 $91.
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 16% 17% 14% 17% 15% 28% 31% 31% 28% 28% 75% 75% 39% 40% 41% 39% 41% 50% 50% 72% 69% 69% 72% 72% 25% 25% 45% 45% 44% 44% 43% - - 1Q23 2Q23 3Q23 4Q23 1Q24 1Q23 2Q23 3Q23 4Q23 1Q24 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED March 31, 2024 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $21,600 $21,273 UPB $12,413,675 $7,209,586 $19,623,261 $21,200 Avg UPB $222 $221 $221 $20,785 $20,800 WAC 3.47 3.51 3.48 $20,340 $20,400 Net Servicing Fee
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% $68,623 $71,812 $78,773 3.7% 25 7.3 4.4 3.5% 96,129 99,228 106,374 4.1% 31 4.3 1.5 4.0% 66,786 69,911 71,374 4.8% 25 3.3 3.8 4.5% 190,616 193,679 198,651
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED December 31, 2023 March 31, 2024 RMBS Collateral (ex. TBA): $1,012,130 RMBS Collateral (ex. TBA): $1,046,649 $25,036 $37,820 $49,873 $24,077 5% $36,025 2% 4% 2% 3% $83,000 $30,661 - 3% 8% $73,577 0% $75,791 $99,128 $95,457 7% 8% 10% 9% $154,677 $19
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 5.5% with a weighted average 4% 3% 12% days remaining to maturity of 22 days 5% 5% 35 REPO relationships established 11% 5% 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 $307,000 0.59% 5.33% 1.2 x ≤ 3 Years $148,000 5.18% 5.30% 0.9 3 > x ≤ 5 Years 329,900 0.66% 5.35% 4
Slide 12: Appendix
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 $1,297 $1,250 $271 4.50x $265 $266 $254 $250 $1,000 4.00x $750 3.50x 4.43x 4.40x 4.42x 4.52x $500 $1,078 $1,054 $1,017 $1,012 $1,047 3.00x 4.15x $250 2.50x - 2.00x 1Q23 2Q23 3Q23 4Q23
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.20 $0.30 $0.27 26% $0.25 $0.11 22% - $0.20 ($0.04) $0.15 $0.15 $0.15 $0.15 ($0.15) $0.15 18% ($0.24) ($0.29) ($0.20) $0.10 14% $0.05 ($0.40) - 10% 1Q23 2Q23 3Q23 4Q23
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 $21,041 $10,379 - ($10,156) ($20,048) Pro forma NAV as of March 31, 2024 $271,180 $260,518 $250,139 $239,983
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 $2,106 ($1,472) $686 $0 ($1,504) ($2,105) $561 Pro forma NAV as of March 31,
Slide 17: Capital Structure Affect on Common BVPS
Capital Structure Affect on Common BVPS UNAUDITED Historical Relationship between NAV and Common Book Value per Share1 2.0x 1.84x 1.90x 1.92x 1.94x 1.86x - 1.6x 0.56x 0.56x 0.61x 0.53x (2%) 0.50x (4%) 1.2x (6%) 0.8x 1.34x 1.34x 1.36x 1.33x 1.33x (8%) 0.4x (10%) - (12%) 3/31/2023 6/30/2023 9/30/2023
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets March 31, 2024 December 31, 2023 Assets RMBS, at fair value (including pledged assets of $1,008,806 and $973,221, respectively) $ 1,046,649 $ 1,012,130 Investments in Servicing Related Assets, at fair value (including pledged assets of $250,380 and
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended March 31, 2024 December 31, 2023 Income Interest income $ 12,741 $ 12,792 Interest expense 13,648 13,182 Net interest expense (907) (390) Servicing fee income 12,891 12,892 Servicing costs 2,634 3,150 Net servicing incom
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended March 31, 2024 December 31, 2023 Net income (loss) $ 12,056 $ (33,644) Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net (6,596) 29,527 Net other comprehensive in
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended March 31, 2024 December 31, 2023 Net Income (Loss) $ 12,056 $ (33,644) + Realized loss on RMBS, net - 14,851 + Realized loss on derivatives, net¹ 3,109 2,804 + 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 March 31, 2024 Interest income $ 6 $ 12,735 $ - $ 12,741 Interest expense 767 12,881 - 13,648 Net interest expense (761) (146) - (907) Servicing fee income 12,891 - - 12,
Slide 23: Abbreviations and Other Terms
Abbreviations and Other Terms 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 • HPA – Home price appreciation more • LT – Long Term • Age (mths) or Loan Age (mths) – Weighted average n
Slide 24: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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