Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q3 2025 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, Nov 6, 2025
Slide 1: Investor Presentation Third Quarter 2025
Investor Presentation Third Quarter 2025
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: Third Quarter 2025
Third Quarter 2025
Slide 4: Third Quarter 2025 Highlights
Third Quarter 2025 Highlights UNAUDITED Financial Results $3.36 book value per common share1 3.6% total quarterly economic gain3 0.6% increase, net of quarterly dividend GAAP net income of $0.05 per share4 $0.10 dividend per share declared and paid2 EAD of $0.09 per share4, 5 Portfolio Update 5.3x
Slide 5: Mortgage Landscape
Mortgage Landscape UNAUDITED Market Trends1 Mortgage Dollar Price Changes U.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS 2yr 3yr 5yr 7yr 10yr 20yr 30yr 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 4.00% 4.50% 5.00% 5.50% 6.00% December 31, 2024 4.2420 4.2730 4.3820 4.4790 4.5690 4.8580 4.7810
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 21% 22% 16% 16% 17% 21% 20% 24% 24% 23% 75% 75% 42% 38% 39% 36% 39% 50% 50% 79% 76% 76% 77% 78% 25% 25% 46% 42% 44% 43% 41% - - 3Q24 4Q24 1Q25 2Q25 3Q25 3Q24 4Q24 1Q25 2Q25 3Q25 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED September 30, 2025 MSR Characteristics Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $18,000 UPB $10,256,491 $5,973,962 $16,230,454 $17,644 Avg UPB $238 $231 $235 $17,500 $17,304 WAC 3.48 3.52 3.50 $16,997 Net Servicing Fee 0.25 0.25 0.25 $17,000 $
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 ≤ 4.0% $102,739 $103,144 $111,413 4.2% 41 6.8 9.0 4.5% 219,305 215,500 224,405 5.3% 31 6.2 9.5 5.0% 414,696 405,955 414,594 5.9% 24 10.6 10.6 5.5% 416,287 407,1
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED June 30, 2025 September 30, 2025 RMBS Collateral (ex. TBA): $1,152,443 RMBS Collateral (ex. TBA): $1,191,478 $26,195 $25,764 $21,509 2% $21,841 2% 2% 2% $12,473 $83,375 $92,450 1% 7% $124,143 8% $125,489 $109,328 10% $12,406 $110,213 11% $17,658 9%
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 4.3% with a weighted average 3% 3% days remaining to maturity of 27 days 4% 15% 5% Borrowings with 14 financing counterparties 5% 5% 14% Weighted average “haircut” of 4.4% 6% 6% 12% 6% 6% 10%
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 ≤ 1 Year $115,000 2.80% 4.24% 0.6 x ≤ 1 Year - - - - 1 > x ≤ 3 Years 341,900 0.65% 4.47% 2.4 1 > x ≤ 3 Years
Slide 12: Appendix
a cmeied Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 $1,441 $1,410 5.50x $1,356 $1,346 $1,377 $227 $219 5.00x $1,250 $234 $227 $225 4.50x $1,000 4.00x $750 5.25x 5.26x 5.26x 5.33x 3.50x 5.22x $1,214 $1,122 $1,119 $1,152 $1,191 $500 3.00x $250 2.50x - 2.00x 3Q24 4Q24 1Q25
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.15 $0.16 $0.15 $0.15 $0.15 $0.15 24% $0.14 22% $0.10 $0.12 $0.10 20% $0.12 $0.10 $0.05 18% $0.04 $0.08 16% - $0.06 ($0.02) ($0.05) 14% ($0.08) $0.04 ($0.05) $0.02 12%
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 $18,409 $9,153 - ($9,023) ($17,899) Pro forma NAV as of September 30, 2025 $253,868 $244,612 $235,459 $226,43
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 $1,146 ($1,458) ($284) - ($891) ($1,184) $234 Pro forma NAV as of September
Slide 17: NAV Snapshot
NAV Snapshot UNAUDITED Net Asset Value Changes in the Quarter $12.0 Income & Gain (Loss) Operating Expenses $7.1 $10.0 Taxes & ($2.2) Other Dividends $8.0 Common ATM ($1.6) ($0.1) Issuances $6.0 $4.0 ($2.5) $4.0 $1.9 $3.0 $2.0 ($3.7) - Increase Decrease Total Note: Figures presented are rounded. Dol
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets September 30, 2025 December 31, 2024 Assets RMBS, at fair value (including pledged assets of $1,153,261 and $1,103,622, respectively) $ 1,191,478 $ 1,122,420 Investments in Servicing Related Assets, at fair value (including pledged assets of $218,6
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended September 30, 2025 June 30, 2025 Income Interest income $ 15,643 $ 14,813 Interest expense 12,343 12,172 Net interest income 3,300 2,641 Servicing fee income 10,764 10,933 Servicing costs 2,297 1,952 Net servicing income
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended September 30, 2025 June 30, 2025 Net income $ 4,515 $ 1,561 Other comprehensive income: Unrealized gain on RMBS, available-for-sale, net 2,561 320 Net other comprehensive income 2,561 320 Comprehensive i
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended September 30, 2025 June 30, 2025 Net Income $ 4,515 $ 1,561 + Realized loss on RMBS, net - 2,053 + Realized loss (gain) on derivatives, net¹ 15,843 (9,576) + Realized gain on acquired assets, net (2)
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Information Interest income $ 54 $ 15,589 $ - $ 15,643 Interest expense (21) 12,364 - 12,343 Net interest income 75 3,225 - 3,300 Servicing fee income 10,764 - - 10,764 Servicing costs 2,297 - - 2,29
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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