Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q2 2025 Earnings Presentation
24 slides from Cherry Hill Mortgage Investment's earnings presentation, Aug 7, 2025
Slide 1: Investor Presentation Second Quarter 2025
Investor Presentation Second 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: Second Quarter 2025
Second Quarter 2025
Slide 4: Second Quarter 2025 Highlights
Second Quarter 2025 Highlights UNAUDITED Financial Results $3.34 book value per common share1 2.5% total quarterly economic loss3 6.7% decrease, net of quarterly dividend GAAP net loss of $0.03 per share4 $0.15 dividend per share declared and paid2 EAD of $0.10 per share4, 5 Portfolio Update 5.3x
Slide 5: Mortgage Landscape
Mortgage Landscape UNAUDITED Market Trends1 Mortgage Dollar Price Changes U.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS 2yr 3yr 5yr 7yr 10yr 20yr 30yr 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 4.00% 4.50% 5.00% 5.50% 6.00% September 30, 2024 3.6410 3.5490 3.5580 3.6480 3.7810 4.1750 4.1190
Slide 6: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 21% 18% 16% 16% 17% 21% 26% 24% 24% 23% 75% 75% 40% 42% 38% 39% 36% 50% 50% 74% 79% 76% 76% 77% 25% 25% 46% 42% 42% 44% 43% - - 2Q24 3Q24 4Q24 1Q25 2Q25 2Q24 3Q24 4Q24 1Q25 2Q25 30 Year RMBS¹ MSRs Servic
Slide 7: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED June 30, 2025 MSR Characteristics Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $18,500 UPB $10,490,329 $6,116,021 $16,606,350 $18,027 Avg UPB $240 $233 $237 $18,000 $17,644 WAC 3.48 3.53 3.50 $17,500 $17,304 Net Servicing Fee 0.25 0.25 0.25 $16,99
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% $104,170 $106,017 $114,638 4.2% 38 9.6 8.8 4.5% 220,208 219,701 228,730 5.3% 28 6.4 9.0 5.0% 380,240 376,058 384,969 5.9% 24 2.7 10.0 5.5% 418,790 413,48
Slide 9: RMBS Portfolio Collateral Characteristics
RMBS Portfolio Collateral Characteristics UNAUDITED March 31, 2025 June 30, 2025 RMBS Collateral (ex. TBA): $1,119,441 RMBS Collateral (ex. TBA): $1,152,443 $27,099 $26,195 $54,611 2% $16,473 2% $21,841 $68,247 5% 2% 2% 6% $12,418 1% $92,450 $124,703 8% $125,489 11% $110,213 $12,406 11% $131,977 1%
Slide 10: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 4.5% with a weighted average 3% 3% days remaining to maturity of 26 days 4% 16% 5% 35 REPO relationships established 5% 12% Borrowings with 13 financing counterparties 6% Weighted average “hai
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% 4.18% 0.9 x ≤ 1 Year - - - - 1 > x ≤ 3 Years 183,900 0.76% 4.66% 2.2 1 > x ≤ 3 Years
Slide 12: Appendix
Appendix
Slide 13: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $1,500 $1,441 5.50x $1,356 $1,346 $1,377 $1,301 $227 5.00x $1,250 $234 $227 $225 $234 4.50x $1,000 4.00x $750 5.25x 5.26x 5.26x 3.50x 5.22x $1,214 $1,152 4.85x $1,067 $1,122 $1,119 $500 3.00x $250 2.50x - 2.00x 2Q24 3Q24 4Q24
Slide 14: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.10 $0.16 $0.15 $0.15 $0.15 $0.15 $0.15 24% $0.14 22% $0.05 $0.04 $0.12 20% - ($0.02) $0.10 ($0.05) 18% ($0.05) ($0.08) $0.08 16% ($0.18) $0.06 ($0.10) 14% $0.04 ($0.15
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 $15,764 $7,862 - ($7,791) ($15,486) Pro forma NAV as of June 30, 2025 $248,177 $240,275 $232,413 $224,622 $21
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 $1,193 ($1,812) ($558) - ($496) ($1,252) $685 Pro forma NAV as of June 30, 2
Slide 17: NAV Snapshot
NAV Snapshot UNAUDITED Net Asset Value Changes in the Quarter $14.0 Income & Gain (Loss) $12.0 $11.5 Operating Expenses $10.0 Taxes & $8.0 Other Dividends Common $6.0 ($5.1) ATM $4.0 ($1.9) Issuances $8.9 $2.8 ($1.4) $2.0 ($1.3) - ($2.5) ($2.0) ($4.0) ($6.0) ($5.4) ($8.0) Increase Decrease Total Not
Slide 18: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets June 30, 2025 December 31, 2024 Assets RMBS, at fair value (including pledged assets of $1,133,184 and $1,103,622, respectively) $ 1,152,443 $ 1,122,420 Investments in Servicing Related Assets, at fair value (including pledged assets of $224,601 an
Slide 19: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended June 30, 2025 March 31, 2025 Income Interest income $ 14,813 $ 14,801 Interest expense 12,172 12,635 Net interest income 2,641 2,166 Servicing fee income 10,933 10,973 Servicing costs 1,952 2,545 Net servicing income 8,9
Slide 20: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended June 30, 2025 March 31, 2025 Net income (loss) $ 1,561 $ (6,992) Other comprehensive income: Unrealized gain on RMBS, available-for-sale, net 320 6,850 Net other comprehensive income 320 6,850 Comprehens
Slide 21: Earnings Available for Distribution
Earnings Available for Distribution UNAUDITED Earnings Available for Distribution Three Months Ended June 30, 2025 March 31, 2025 Net Income (Loss) $ 1,561 $ (6,992) + Realized loss on RMBS, net 2,053 3,992 + Realized loss (gain) on derivatives, net¹ (9,576) 2,782 + Unrealized gain on RMBS, measured
Slide 22: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Information Interest income $ 26 $ 14,787 $ - $ 14,813 Interest expense 322 11,850 - 12,172 Net interest income (expense) (296) 2,937 - 2,641 Servicing fee income 10,933 - - 10,933 Servicing costs 1,
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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