Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q4 2022 Earnings Presentation
22 slides from Cherry Hill Mortgage Investment's earnings presentation, Mar 7, 2023
Slide 1: Investor Presentation Fourth Quarter 2022
Investor Presentation Fourth 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: Fourth Quarter 2022
Mb BERRIES Fourth Quarter 2022
Slide 4: Fourth Quarter 2022 Highlights
Fourth Quarter 2022 Highlights UNAUDITED Financial Results $6.06 book value per common share1 EAD of $0.24 per share4 0.2% increase, net of 4Q22 dividend $0.27 dividend per share declared and paid2 4.6% total quarterly economic gain3 Portfolio Update 3.8x leverage ratio for aggregate portfolio 3.8
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% 4.00% 4.50% 5.00% December 31, 2021 0.7340 0.9580 1.2640 1.4370 1.5120 1.9350 1.9040 $104.902 $106.438
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 14% 16% 13% 17% 21% 24% 20% 20% 27% 30% 9% 75% 5% 75% 5% 3% - 40% 49% 39% 40% 45% 50% 50% 77% 74% 71% 70% 70% 25% 25% 45% 42% 40% 38% 38% - - 4Q21 1Q22 2Q22 3Q22 4Q22 4Q21 1Q22 2Q22 3Q22 4Q22 30 Year RMB
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED December 31, 2022 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $22,000 UPB $13,730,991 $7,957,362 $21,688,353 $21,688 $21,600 Avg UPB $229 $228 $229 $21,358 WAC 3.47 3.51 3.49 $21,200 Net Servicing Fee 0.25 0.25 0.2
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% $74,446 $77,065 $83,971 3.7% 10 4.8 5.5 3.5% 162,647 173,283 177,612 3.9% 10 2.8 5.7 4.0% 216,315 229,050 228,951 4.8% 14 1.0 5.3 ≥ 4.5% 478,
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED September 30, 2022 December 31, 2022 RMBS Collateral (ex. TBA): $868,035 $11,349 RMBS Collateral (ex. TBA): $931,431 1% $23,046 $39,905 $41,167 $32,815 3% 5% 4% 4% $37,260 $116,830 $152,442 4% 14% 16% $37,203 $103,732 $159,394 4% 11% $73,320 18% 8%
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 1% Average REPO cost was 4.4% with a weighted average 5% 5% 11% days remaining to maturity of 18 days 6% 10% 34 REPO relationships established 7% Borrowings with 12 financing counterparties 7% 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 $340,000 0.57% 4.71% 2.1 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 231,900 0.62% 4.14% 4.1 3 > x ≤ 5 Year
Slide 12: Appendix
Mb BERRIES Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 4.50x $1,172 $1,211 $1,250 $1,147 4.00x $1,020 $993 $219 $280 $1,000 $279 $246 $264 3.50x $750 3.00x 4.16x 3.80x $500 $953 $931 3.63x 3.56x $774 $868 3.38x $729 2.50x $250 - 2.00x 4Q21 1Q22 2Q22 3Q22 4Q22 4Q21 1Q22 2Q2
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 $0.27 $0.27 26% $0.20 $0.29 $0.25 - 22% ($0.22) ($0.26) $0.20 ($0.20) ($0.36) ($0.40) $0.15 18% ($0.98) ($0.60) $0.10 ($0.80) 14% $0.05 ($1.
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 $22,454 $11,155 - ($10,973) ($21,730) Pro forma NAV as of December 31, 2022 $287,970 $276,6
Slide 16: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets December 31, 2022 December 31, 2021 Assets RMBS, available-for-sale, at fair value (including pledged assets of $815,171 and $892,888, respectively) $ 931,431 $ 953,496 Investments in Servicing Related Assets, at fair value (including pledged asset
Slide 17: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended December 31, 2022 September 30, 2022 Income Interest income $ 9,906 $ 8,213 Interest expense 8,539 4,882 Net interest income 1,367 3,331 Servicing fee income 13,700 13,426 Servicing costs 3,304 2,725 Net servicing income
Slide 18: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended December 31, 2022 September 30, 2022 Net income (loss) $ (32,753) $ 41,677 Other comprehensive income (loss): Unrealized gain (loss) on RMBS, available-for-sale, net 41,655 (46,592) Net other comprehensi
Slide 19: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended December 31, 2022 September 30, 2022 Net Income (Loss) $ (32,753) $ 41,677 + Realized loss on RMBS, net 30,701 9,735 + Realized gain on derivatives, net ¹ (2,180) (2,143) + Unrealized loss (gain) on
Slide 20: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended December 31, 2022 Interest income $ - $ 9,906 $ - $ 9,906 Interest expense 818 7,721 - 8,539 Net interest income (expense) (818) 2,185 - 1,367 Servicing fee income 13,700
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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