Cherry Hill Mortgage Investment Corporation · NYSE:CHMI
Cherry Hill Mortgage Investment — Q1 2021 Earnings Presentation
22 slides from Cherry Hill Mortgage Investment's earnings presentation, May 10, 2021
Slide 1: Investor Presentation First Quarter 2021
Investor Presentation First 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: First Quarter 2021
% CHMI Cuerry Hitt MorTGAGE INVESTMENT CORPORATION First Quarter 2021
Slide 4: First Quarter 2021 Highlights
First Quarter 2021 Highlights UNAUDITED Financial Results $10.83 book value per common share1 0.5% total quarterly economic loss3 3.0% decrease, net of 1Q21 dividend $0.21 core earnings per share4 $0.27 dividend per share declared and paid2 Portfolio Update 3.4x leverage ratio for aggregate portfo
Slide 5: Portfolio Metrics
Portfolio Metrics UNAUDITED Asset Investment Composition (ex. Cash) Equity Composition 100% 100% 11% 10% 9% 10% 14% 1%1% 1% 0% 16% 2% 4% 1% - 27% 25% 26% 24% 75% 18% 18% 75% 35% 41% 40% 50% 50% 43% 45% 85% 90% 89% 68% 68% 25% 25% 48% 30% 33% 36% 29% - - 1Q20 2Q20 3Q20 4Q20 1Q21 1Q20 2Q20 3Q20 4Q20 1
Slide 6: MSR Portfolio Overview
MSR Portfolio Overview UNAUDITED March 31, 2021 MSR Characteristics Cherry Hill Historical MSR UPB ($ millions) Characteristics FNMA FHLMC Total $35,000 UPB ($MM) 12,821,998,696 8,892,911,029 21,714,909,725 $29,977 $30,000 Avg UPB ($'000) 225,775 236,627 230,097 $24,127 $25,000 $22,060 $21,641 $21,7
Slide 7: RMBS Portfolio Overview
RMBS Portfolio Overview UNAUDITED RMBS Portfolio Characteristics 30 Year RMBS (79% of Total) Coupon FMV Book Value Par Amount WAC WALA 1 Mo. CPR LT CPR¹ ≤ 2.5% $292,833 $299,621 $284,278 3.3% 7 6.7 9.9 3.0% 267,263 266,697 253,721 3.8% 11 21.7 13.2 3.5% 227,202 217,713 210,961 4.2% 28 32.6 15.0 4.0%
Slide 8: RMBS Portfolio with Prepayment Protection
RMBS Portfolio with Prepayment Protection UNAUDITED December 31, 2020 March 31, 2021 RMBS Collateral (ex. TBA): $1,228,251 RMBS Collateral (ex. TBA): $1,014,249 $66,335 $51,706 $40,532 $35,421 $48,507 $29,874 5% 4% 4% 3% 5% 3% $117,897 $89,411 10% 9% $112,219 $102,855 $332,694 9% 10% 27% $323,277 $1
Slide 9: Financing Summary
Financing Summary UNAUDITED Repurchase Agreement Counterparty Utilization1 Commentary Average REPO cost was 0.17% with a weighted 3% 4% 11% average days remaining to maturity of 28 days 5% 6% 11% 31 REPO relationships established 6% Borrowings with 14 financing counterparties 6% 11% Weighted average
Slide 10: 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 $244,400 0.21% 0.13% 1.7 x ≤ 3 Years ‐ ‐ ‐ ‐ 3 > x ≤ 5 Years 315,000 0.59% 0.17% 4.0 3 > x ≤ 5 Years ‐
Slide 11: Appendix
% CHMI Cuerry Hitt MorTGAGE INVESTMENT CORPORATION Appendix
Slide 12: Historical Portfolio Overview
Historical Portfolio Overview UNAUDITED Asset Composition Company Leverage $2,000 $1,822 6.0x $1,725 $1,649 $223 $177 $163 $1,402 4.5x $174 $1,231 $217 $1,000 3.0x 5.2x $1,599 $1,548 $1,486 4.6x 4.6x 4.0x $1,228 3.4x $1,014 1.5x - - 1Q20 2Q20 3Q20 4Q20 1Q21 1Q20 2Q20 3Q20 4Q20 1Q21 RMBS¹ MSRs RMBS N
Slide 13: Historical Performance Metrics
Historical Performance Metrics UNAUDITED Comprehensive Income (Loss) per Common Share Dividends per Common Share & Dividend Yield $0.50 $0.45 30% $0.40 - $0.03 ($0.04) $0.40 ($0.31) ($0.31) 25% ($0.50) $0.35 ($1.00) $0.30 $0.27 $0.27 $0.27 $0.27 20% ($1.50) $0.25 ($3.48) 15% ($2.00) $0.20 ($2.50) $0
Slide 14: 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 $23,090 $11,742 ‐ ($13,493) ($28,007) Proforma NAV as of March 31, 2021 $330,670 $319,322 $
Slide 15: Forbearance Update as of April 27, 2021
Forbearance Update as of April 27, 2021 UNAUDITED Forbearance Trend by Week 3,500 3,000 2,500 2,000 1,500 1,000 500 - 3/16/20 3/23/20 3/30/20 4/6/20 4/13/20 4/20/20 4/27/20 5/4/20 5/11/20 5/18/20 5/25/20 6/1/20 6/8/20 6/15/20 6/22/20 6/29/20 7/6/20 7/13/20 7/20/20 7/27/20 8/3/20 8/10/20 8/17/20 8/24
Slide 16: Balance Sheet
Balance Sheet UNAUDITED Consolidated Balance Sheets March 31, 2021 December 31, 2020 Assets RMBS, available‐for‐sale, at fair value (including pledged assets of $925,620 and $1,164,416, respectively) $ 1,014,249 $ 1,228,251 Investments in Servicing Related Assets, at fair value (including pledged as
Slide 17: Income Statement
Income Statement UNAUDITED Consolidated Statements of Income Three Months Ended March 31, 2021 2020 Income Interest income $ 5,985 $ 20,249 Interest expense 112 12,291 Net interest income 5,873 7,958 Servicing fee income 13,540 19,519 Servicing costs 3,082 5,840 Net servicing income 10,458 13,679 Ot
Slide 18: Comprehensive Income
Comprehensive Income UNAUDITED Consolidated Statement of Comprehensive Income Three Months Ended March 31, 2021 2020 Net income (loss) $ 21,228 $ (48,836) Other comprehensive income (loss): Net unrealized gain (loss) on RMBS (17,255) (25,174) Reclassification of net realized gain (loss) on RMBS incl
Slide 19: Core Earnings
Core Earnings UNAUDITED Core Earnings Three Months Ended March 31, 2021 2020 Net Income (Loss) $ 21,228 $ (48,836) Other comprehensive income (loss): + Realized loss (gain) on RMBS, net (2,094) 17,543 + Realized loss (gain) on derivatives, net 4,741 18,756 + Realized loss (gain) on acquired assets,
Slide 20: Segment Results
Segment Results UNAUDITED Results of Operations Servicing Related Assets RMBS All Other Total Income Statement Three Months Ended March 31, 2021 Interest income $ 120 $ 5,865 $ ‐ $ 5,985 Interest expense (1,188) 1,300 ‐ 112 Net interest income 1,308 4,565 ‐ 5,873 Servicing fee income 13,540 ‐ ‐ 13,5
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 more • LT – Long Term • Age (mths) or Loan Age (mths) – Weighted average number of months • LTD Cash Flows – Actual life t
Slide 22: Contact: Investor Relations
Contact: Investor Relations Phone: (877) 870-7005 investorrelations@chmireit.com
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