Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q3 2021 Earnings Presentation
23 slides from Cherry Hill Mortgage Investment's earnings presentation, 2021
Slide 1: Investor Presentation Third Quarter 2021
Investor Presentation Third Quarter 2021
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: Third Quarter 2021
Mb BERRIES Third Quarter 2021
Slide 4: Third Quarter 2021 Highlights
Third Quarter 2021 Highlights UNAUDITED Financial Results $9.07 book value per common share1 EAD of $0.25 per share after giving effect to a $0.03 5.8% decrease, net of 3Q21 dividend one-time regulatory payment by the Company's MSR holder4, 5 $0.27 dividend per share declared and paid2 3.0% total
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% December 31, 2020 0.1210 0.1650 0.3610 0.6430 0.9130 1.4400 1.6450 $101.050 $103.880
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 9% 10% 14% 13% 13% 15% 1%1% 1%0% 16% 18% - - - 26% 24% 15% 11% 75% 18% 75% 35% 42% 39% 40% 50% 50% 45% 90% 89% 72% 76% 68% 25% 25% 48% 43% 43% 36% 29% - - 3Q20 4Q20 1Q21 2Q21 3Q21 3Q20 4Q20 1Q21 2Q21 3Q2
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED September 30, 2021 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $22,500 UPB ($) 12,807,572,764 7,973,848,050 20,781,420,814 $22,060 Avg UPB ($'000) 230,917 232,115 231,375 $22,000 $21,641 $21,715 WAC 3.55 3.60 3.57
Slide 8: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (87% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ ≤ 2.5% $317,315 $319,856 $305,566 3.2% 7 7.2 10.7 3.0% 223,205 221,849 210,086 3.7% 10 14.4 13.2 3.5% 151,868 144,407 140,100 4.2% 35 32.7 15.5 4.0
Slide 9: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED June 30, 2021 September 30, 2021 RMBS Collateral (ex. TBA): $998,799 RMBS Collateral (ex. TBA): $865,904 $52,825 $47,609 $54,867 - 6% 5% 5% 0% $66,901 7% $107,278 $113,024 12% 11% $275,269 $249,084 28% 29% $162,174 $142,942 16% 17% $98,576 $62,729
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary 5% Average REPO cost was 0.11% with a weighted 6% 10% average days remaining to maturity of 38 days 7% 8% 32 REPO relationships established 7% 8% Borrowings with 14 financing counterparties 7% 7% Weighted average “
Slide 11: Hedging Summary
Hedging Summary UNAUDITED Swaps Payer Swaps Receiver Swaps Yrs. To Maturity Amount WA Pay Rate WA Receive WA Yrs. to Mat. Yrs. To Maturity Amount WA Pay Rate WA Receive WA Yrs. to Mat. x ≤ 3 Years $60,000 0.22% 0.09% 1.9 x ≤ 3 Years - - - - 3 > x ≤ 5 Years 385,000 0.59% 0.11% 3.7 3 > x ≤ 5 Years - -
Slide 12: Appendix
Mb BERRIES Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $2,000 6.0x $1,649 $163 $1,402 $1,500 $1,231 $1,211 4.5x $174 $1,077 $217 $212 $1,000 $211 3.0x $1,486 $1,228 4.6x $500 $1,014 $999 4.0x $866 3.4x 3.6x 3.2x 1.5x - 3Q20 4Q20 1Q21 2Q21 3Q21 - RMBS¹ MSRs 3Q20 4Q20 1Q21 2Q21 3Q2
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield - ($0.04) $0.30 $0.27 $0.27 $0.27 $0.27 $0.27 14% ($0.31) ($0.31) ($0.27) $0.25 12% ($0.20) 10% $0.20 ($0.40) 8% ($0.92) $0.15 ($0.60) 6% $0.10 4% ($0.80) $0.05 2% ($1.00
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 $26,529 $13,367 - ($14,637) ($29,977) Proforma NAV as of September 30, 2021 $309,035 $295,8
Slide 16: Forbearance Update as of October 26, 2021
Forbearance Update as of October 26, 2021 UNAUDITED Forbearance Trend by Week 3,500 3,000 2,500 2,000 1,500 1,000 500 - 6/8/20 7/6/20 8/3/20 1/4/21 2/1/21 3/1/21 6/7/21 7/5/21 8/2/21 10/12/20 10/26/20 11/23/20 12/21/20 10/11/21 10/25/21 3/16/20 3/30/20 4/13/20 4/27/20 5/11/20 5/25/20 6/22/20 7/20/20
Slide 17: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets September 30, 2021 December 31, 2020 Assets RMBS, available-for-sale, at fair value (including pledged assets of $801,102 and $1,164,416, respectively) $ 865,904 $ 1,228,251 Investments in Servicing Related Assets, at fair value (including pledged
Slide 18: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended September 30, 2021 2020 Income Interest income $ 7,043 $ 10,001 Interest expense 646 (18) Net interest income 6,397 10,019 Servicing fee income 13,839 14,365 Servicing costs 3,080 5,266 Net servicing income 10,759 9,099
Slide 19: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended September 30, 2021 2020 Net income (loss) $ (3,790) $ (742) Other comprehensive income (loss): Net unrealized gain (loss) on RMBS 512 4,612 Reclassification of net realized gain (loss) on RMBS included i
Slide 20: Earnings Available for Distribution
Earnings Available for Distribution (formerly “Core Earnings”) UNAUDITED Earnings Available for Distribution Three Months Ended September 30, 2021 2020 Net Income (Loss) $ (3,790) $ (742) Other comprehensive income (loss): + Realized loss (gain) on RMBS, net 1,050 (6,722) + Realized loss (gain) on d
Slide 21: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended September 30, 2021 Interest income $ 120 $ 6,923 $ - $ 7,043 Interest expense (808) 1,454 - 646 Net interest income 928 5,469 - 6,397 Servicing fee income 13,839 - - 13,8
Slide 22: 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 more • HPA – Home price appreciation • Age (mths) or Loan Age (mths) – Weighted average number of months • LT – Long Term
Slide 23: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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