C H E R R Y H I L L L MORTGAGE INVESTMENT CORPORATION Investor Presentation Third Quarter 2024 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 expected returns, sometimes referred to as initial IRR, updated IRR, expected IRR, or current-to-maturity IRR; pote ...

Financial Data and Key Metrics Changes - For Q3 2024, the company reported a GAAP net loss applicable to common stockholders of $14.8 million or $0.49 per diluted share, while comprehensive income attributable to common stockholders was $1.3 million or $0.04 per diluted share [28] - Earnings available for distribution (EAD) were $2.5 million or $0.08 per share, impacted by approximately $0.045 per share of expenses related to a special committee [10][29] - Book value per common share decreased to $4.02 from $4.15 as of June 30, with approximately $0.06 of the change attributed to special committee and ATM issuance [12][29] - Financial leverage rose to 5.3 times, maintaining a solid liquidity profile with $50 million of unrestricted cash on the balance sheet [13] Business Line Data and Key Metrics Changes - The mortgage servicing rights (MSR) portfolio had an unpaid principal balance (UPB) of $17.6 billion and a market value of approximately $227 million, representing about 42% of equity capital [21] - The residential mortgage-backed securities (RMBS) portfolio accounted for approximately 42% of equity capital, with a total value of approximately $866 million, up from $674 million in the previous quarter [21][25] - Prepayment speeds for the MSR portfolio averaged approximately 5.5%, while the RMBS portfolio's weighted average three-month CPR increased to approximately 5.4% from 4.6% in the second quarter [22][25] Market Data and Key Metrics Changes - The U.S. 10-year Treasury yield ended the quarter at 3.78%, down 62 basis points quarter-over-quarter, as the market anticipated significant rate cuts [7] - The interest rate curve steepened, with lower coupon 30-year mortgages performing best during the quarter [19] Company Strategy and Development Direction - The company plans to continue pairing MSRs with agency RMBS and is focused on deploying capital into agency RMBS, which presents a strong risk-adjusted return profile [14] - The management is closely monitoring the macroeconomic environment and political developments, particularly the impact of a potential second Trump presidency on the economy and inflation [8] Management's Comments on Operating Environment and Future Outlook - Management expressed that while the macroeconomic environment remains volatile, they expect to gain confidence that volatility will moderate as they approach 2025 [8] - The company anticipates that the potential for at least one more rate cut in 2024 will influence their portfolio management strategies [20] Other Important Information - Operating expenses for the quarter were $5.1 million, which included $1.4 million of special committee-related expenses [31] - The company declared a dividend of $0.15 per common share for Q3 2024, paid on October 31 [31] Q&A Session Summary Question: Trade-off between agency MBS and MSR - Management indicated that while short-dated rates are expected to move lower, MBS still presents a better return profile than MSRs on a levered basis [35][36] Question: Leverage increase potential - Management noted that while leverage increased to 5.3, they are cautious about extending it further due to recent market volatility and margin calls [38][39] Question: Book value performance in Q4 - Management estimated a decline of about 4% to 5% in book value per share as of the previous Friday, before any fourth-quarter dividend accrual [40] Question: EAD outlook - Management agreed that as short-dated rates fall, the MSR portfolio should benefit, leading to a potential increase in EAD over time [45] Question: Future of internalization process - Management refrained from providing details on the timing of the internalization process, stating they are not prepared to discuss it [57]

Financial Performance - GAAP net loss applicable to common stockholders for Q3 2024 was $14.8 million, or $0.49 per share[2] - Earnings available for distribution (EAD) attributable to common stockholders for Q3 2024 were $2.5 million, or $0.08 per diluted share[4] - Common book value per share was $4.02 as of September 30, 2024[2] - Declared regular common dividend of $0.15 per share, resulting in an annualized common dividend yield of 18.6%[2] Portfolio Information - The unpaid principal balance for the MSR portfolio was $17.6 billion, with a carrying value of $226.8 million[8] - The RMBS portfolio had a book value of approximately $1.2 billion, with a weighted average coupon of 4.81%[9] - Net interest spread for the RMBS portfolio was 3.22%[8] - Net unrealized gain on the RMBS portfolio classified as available-for-sale was approximately $16.4 million[6] - The company held interest rate swaps with a notional amount of $1.2 billion as of September 30, 2024[10] Company Overview - Cherry Hill Mortgage Investment Corporation is a real estate finance company focused on acquiring, investing in, and managing residential mortgage assets in the United States[19] Future Outlook and Strategy - The company aims to achieve cost savings by becoming an internally managed company and expanding its market opportunities[20] - Cherry Hill is focused on generating sustainable and attractive risk-adjusted returns for its stockholders[20] - Forward-looking statements regarding long-term growth opportunities and strategies are included in the press release[20] Conference Call and Investor Relations - The company will discuss its financial condition and results of operations for the third quarter of 2024 during a conference call scheduled for 5:00 pm Eastern Time[17] - The company has a conference ID of 9439976 for participants dialing into the call[19] - A live webcast of the conference call will be available on the company's investor relations website for one year following the call[18] - Additional financial information can be found in the Annual Report on Form 10-Q for the quarter ended September 30, 2024, filed with the SEC on November 12, 2024[16] - An investor presentation with supplemental information regarding the company's business and financial condition will be available on its website[16] - The company encourages participation in the live conference call and provides a dedicated contact for investor relations[21]

Financial Performance - The company reported a net loss of $12,444 thousand for the three months ended September 30, 2024, compared to a net income of $15,885 thousand for the same period in 2023[14]. - Net income for the three months ended September 30, 2024, was a loss of $12,444 million, compared to a profit of $15,885 million for the same period in 2023[16]. - Comprehensive income for the nine months ended September 30, 2024, was $6,466 million, compared to a loss of $4,779 million in the same period last year[16]. - The company experienced a net loss of $1,040 million attributable to common stockholders for the nine months ended September 30, 2024, compared to a loss of $12,079 million in the same period of 2023[16]. - The company reported a net income of $15.885 million for the quarter ending June 30, 2023, compared to a net loss of $19.322 million for the previous quarter[17]. - For the nine months ended September 30, 2024, the company reported a net income of $396,000, a significant decrease from a net income of $10,421,000 for the same period in 2023[39]. - The company reported a net loss of $12,444,000 for the three months ended September 30, 2024, compared to a net income of $15,885,000 for the same period in 2023[39]. - The company reported a total of 80 RMBS securities with a weighted average coupon of 4.64% as of December 31, 2023[43]. Assets and Liabilities - Total assets increased to $1,551,389 thousand as of September 30, 2024, compared to $1,392,992 thousand as of December 31, 2023, representing a growth of approximately 11.4%[12]. - Total liabilities increased to $1,311,693 thousand as of September 30, 2024, from $1,134,617 thousand as of December 31, 2023, marking an increase of approximately 15.6%[12]. - The company’s accumulated deficit increased to $(253,944) thousand as of September 30, 2024, compared to $(233,161) thousand as of December 31, 2023[12]. - Net assets increased to $239,696,000 as of September 30, 2024, from $258,375,000 as of December 31, 2023[40]. - The company reported total liabilities of $4,749,000 as of September 30, 2024[90]. Income and Expenses - Net interest income for the three months ended September 30, 2024, was $109 thousand, a decrease from a net interest expense of $473 thousand for the same period in 2023[14]. - Interest income for the three-month period ended September 30, 2024, was $14.3 million, an increase of $650,000 from $12.864 million in the same period of 2023[39]. - Interest expense for the three months ended September 30, 2024, was $14.218 million, compared to $13.337 million for the same period in 2023, reflecting an increase of approximately 6.6%[39]. - General and administrative expense for the nine months ended September 30, 2024, was $8,623 million, compared to $5,144 million for the same period in 2023[132]. - The company recognized share-based compensation expense of $230,809 for the three-month period ended September 30, 2024, compared to $169,059 for the same period in 2023, indicating a year-over-year increase of approximately 36.4%[62]. Investments and Market Risks - The company is subject to significant credit and market risks associated with its investments in RMBS and derivatives, which could impact future performance[22]. - The fair value of RMBS investments was determined to be $28.3 million for purchases made during the nine-month period ended September 30, 2024[24]. - The company’s investments in RMBS consist solely of Agency RMBS as of September 30, 2024[40]. - The company has elected the fair value option for its investments in MSRs, recording valuation adjustments quarterly to reflect changes in fair value[127]. - The fair value of the company's RMBS portfolio as of September 30, 2024, is estimated at 930,979 thousand dollars, with a potential change of 3,644 thousand dollars (0.39%) under a 0.25% interest rate increase scenario[176]. Stockholder Equity and Dividends - Preferred stock dividends amounted to $2,594 thousand for the three months ended September 30, 2024, compared to $2,462 thousand in the same period last year[14]. - The company declared an additional cash dividend of $0.0096 per share for the second quarter Series B Preferred Stock, paid on October 15, 2024[54]. - The Series A Preferred Stock has a cumulative cash dividend rate of 8.20% per annum, equivalent to $2.05 per annum per share[53]. - The company has a Common Stock ATM Program with an aggregate offering price increased to $150.0 million, with approximately $49.3 million remaining as of September 30, 2024[55]. Management and Operational Changes - The company plans to internalize management and terminate the existing Management Agreement, which is expected to enhance operational efficiency[19]. - The management fee paid to the Manager is 1.5% per annum of the company's stockholders' equity, with the Management Agreement set to expire on October 22, 2025, and automatically renew unless terminated[65]. - A termination fee of approximately $18.4 million is due following the company's announcement to internalize management[165]. Regulatory and Taxation Matters - The company has elected to be taxed as a REIT, which allows it to avoid federal income taxes as long as it distributes its taxable income to stockholders[19]. - The provision for Corporate Business Taxes for the three months ended September 30, 2024, was $285,000, a decrease from $1.276 million in the same period of the previous year[110]. - The effective tax rate for the three months ended September 30, 2024, was 21.0%[111]. Future Outlook and Strategic Plans - The company expects to meet its long-term liquidity requirements through cash on hand and potential additional borrowings[154]. - The company anticipates that a rise in interest rates could negatively impact the market value of its assets, excluding servicing-related assets[171]. - The company actively manages risks related to credit quality, interest rates, liquidity, and prepayment speeds to provide attractive risk-adjusted returns[169].

Group 1 - The article discusses a preferred share from Cherry Hill Mortgage Investment (CHMI) and mentions that a public article will be released when Q3 2024 results are available [1] - The Q2 2024 assessment has already been posted on Seeking Alpha, indicating ongoing analysis and updates on the company's performance [1] Group 2 - There is no specific investment recommendation or advice provided in the article, emphasizing that past performance does not guarantee future results [2] - The article highlights that the views expressed may not reflect those of Seeking Alpha as a whole, indicating a diversity of opinions among analysts [2]

You can get access to everything we have to offer right now. Try our service and decide for yourself. I'll be going over a preferred share from Cherry Hill Mortgage ( CHMI ). For investors interested in the common stock, we recently had an article come out on Seeking Alpha about their Q2 2024 performance . Analyst's Disclosure: I/we have no stock, option or similar derivative position in any of the companies mentioned, and no plans to initiate any such positions within the next 72 hours. I wrote this articl ...

You can get access to everything we have to offer right now. Try our service and decide for yourself. Analyst's Disclosure: I/we have no stock, option or similar derivative position in any of the companies mentioned, and no plans to initiate any such positions within the next 72 hours. I wrote this article myself, and it expresses my own opinions. I am not receiving compensation for it (other than from Seeking Alpha). I have no business relationship with any company whose stock is mentioned in this article. ...

Financial Data and Key Metrics Changes - The company reported a GAAP net loss applicable to common stockholders of $1.9 million or $0.06 per diluted share for Q2 2024, while comprehensive loss attributable to common stockholders was $5.5 million or $0.18 per diluted share [16] - Earnings available for distribution (EAD) were $2.3 million or $0.08 per share, impacted by $1.7 million in expenses related to the Special Committee's efforts [6][16] - Book value per common share decreased to $4.15 from $4.49 as of March 31, 2024 [7][16] - Net asset value (NAV) declined by approximately $12.4 million or 5% relative to March 31, 2024 [8] Business Line Data and Key Metrics Changes - The mortgage servicing rights (MSR) portfolio had a UPB of $18 billion and a market value of approximately $234 million at quarter-end [11] - The company strategically sold over $1 billion of UPB and low loan balance MSRs to improve portfolio efficiency and reduce servicing costs [7][12] - The RMBS portfolio accounted for approximately 40% of equity capital, with a weighted average 3-month CPR of approximately 4.6% [12][14] Market Data and Key Metrics Changes - The Federal Reserve maintained a hawkish stance initially, but shifted to a dovish tone as economic data softened, leading to expectations of rate cuts starting in September [4][11] - The company noted that prepayment speeds for both MSR and RMBS portfolios remained steady, with the MSR portfolio's net CPR averaging approximately 5.5% for the quarter [12][13] Company Strategy and Development Direction - The company plans to internalize management to reduce expenses, enhance earnings, and better align management with the investment community [5][6] - The strategy involves pairing MSR with Agency RMBS to take advantage of the steepening yield curve [5] - The company is focused on opportunistically repurchasing Class B preferred shares to stabilize its equity profile [8] Management Comments on Operating Environment and Future Outlook - Management expressed optimism about the economy's resilience but acknowledged the potential for cooling economic conditions [5] - The company is closely monitoring economic indicators and the Fed's actions, anticipating a normalization of the macro environment [11] - Management expects prepayments to rise as interest rates decline, with a potential increase in refinancing activities [14] Other Important Information - The company ended the quarter with $52 million of unrestricted cash, maintaining a solid liquidity profile [8] - Financial leverage at the end of the quarter rose to 4.9x, reflecting prudent leverage given market volatility [8][15] Q&A Session Summary Question: Will the $0.06 expenses related to the Special Committee continue? - Management indicated that some expenses related to the committee's efforts are anticipated in the current quarter [19] Question: How will the interplay between Agency MBS and MSRs change in a lower rate environment? - Management sees RMBS as a favorable investment currently, with expected cash flows likely directed towards RMBS [20] Question: What is the current status of book value? - Management noted that book value remained flat at the end of July, prior to any third-quarter dividend accrual [24] Question: Can you elaborate on the internalization process? - Management stated that the internalization aims to improve operational efficiency and flexibility in responding to market changes [28] Question: What are the expectations for Fed rate cuts? - Management anticipates the Fed may implement around 6 rate cuts by the end of 2025, depending on economic conditions [34]

C H E R R Y H I L L MORTCAGE INVESTMENT CORPORATION Investor Presentation Second Quarter 2024 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 expected returns, sometimes referred to as initial IRR, updated IRR, expected IRR, or current-to-maturity IRR; poten ...

[Cherry Hill Mortgage Investment Corporation Q2 2024 Earnings Release](index=1&type=section&id=Cherry%20Hill%20Mortgage%20Investment%20Corporation%20Q2%202024%20Earnings%20Release) [Second Quarter 2024 and Other Recent Highlights](index=1&type=section&id=Second%20Quarter%202024%20and%20Other%20Recent%20Highlights) The company reported a Q2 2024 GAAP net loss and advanced its plan to internalize management - In July 2024, the Board of Directors approved the **internalization of the company's management**, a move aimed at reducing expenses and improving alignment with stockholders[2](index=2&type=chunk) - The company has repurchased **$9.4 million** of its 8.250% Series B Preferred Stock as of August 7, 2024, with **$40.6 million** remaining under the repurchase program[2](index=2&type=chunk) Q2 2024 Key Financial Metrics | Metric | Value | | :--- | :--- | | GAAP Net Loss per Share | $0.06 | | Earnings Available for Distribution (EAD) per Diluted Share | $0.08 | | Common Book Value per Share (as of June 30, 2024) | $4.15 | | Regular Common Dividend per Share | $0.15 | | Aggregate Portfolio Leverage | 4.9x | | Unrestricted Cash (as of June 30, 2024) | $52.4 million | [Management Commentary](index=1&type=section&id=Management%20Commentary) Management highlighted proactive portfolio management through a significant MSR sale and expressed optimism about the upcoming management internalization - The company sold approximately **$1.2 billion UPB** of low-balance MSRs in Q2 to enhance portfolio efficiency and reduce servicing costs[3](index=3&type=chunk) - Management anticipates that the planned internalization will **reduce corporate expenses** and further align the company's interests with those of its stockholders[3](index=3&type=chunk) [Financial Performance](index=1&type=section&id=Financial%20Performance) The company reported a Q2 2024 GAAP net loss of $1.9 million, driven by unrealized losses on investments and increased special committee-related expenses [Consolidated Statements of Income (Loss)](index=1&type=section&id=Consolidated%20Statements%20of%20Income%20(Loss)) The company's GAAP net loss was $1.9 million in Q2 2024, a reversal from a $9.7 million net income in Q1 2024 due to market-driven valuation changes Condensed Consolidated Statements of Income (Loss) (in thousands, except per share amounts) | Description | Q2 2024 | Q1 2024 | | :--- | :--- | :--- | | Net Servicing Income | $8,894 | $10,257 | | Realized Gain on Derivatives, net | $9,430 | $6,252 | | Unrealized Loss on RMBS, net | ($4,440) | ($8,321) | | Unrealized (Loss) Gain on Derivatives, net | ($3,042) | $12,324 | | Total Expenses | $5,131 | $3,589 | | **Net (Loss) Income Applicable to Common Stockholders** | **($1,864)** | **$9,666** | | **Diluted (Loss) Income Per Share** | **($0.06)** | **$0.32** | [Consolidated Statements of Comprehensive Income (Loss)](index=3&type=section&id=Consolidated%20Statements%20of%20Comprehensive%20Income%20(Loss)) A comprehensive loss of $5.5 million was recorded, primarily from a $3.7 million unrealized loss on its available-for-sale RMBS portfolio Consolidated Statements of Comprehensive Income (Loss) (in thousands) | Description | Q2 2024 | Q1 2024 | | :--- | :--- | :--- | | Net Income | $784 | $12,056 | | Unrealized loss on RMBS, available-for-sale, net | ($3,734) | ($6,596) | | **Comprehensive (Loss) Income** | **($2,950)** | **$5,460** | | **Comprehensive (Loss) Income Attributable to Common Stockholders** | **($5,522)** | **$3,199** | [Portfolio and Risk Management](index=3&type=section&id=Portfolio%20and%20Risk%20Management) The company maintained an aggregate portfolio leverage of 4.9x and managed interest rate risk using a mix of swaps, TBAs, and Treasury futures - The company's GAAP book value per diluted share was **$4.15** as of June 30, 2024[9](index=9&type=chunk) Portfolio Composition as of June 30, 2024 | Portfolio | Metric | Value | | :--- | :--- | :--- | | MSR | Unpaid Principal Balance (UPB) | $18.0 billion | | MSR | Carrying Value | $234.3 million | | RMBS | Book/Carrying Value | $1.1 billion | | RMBS | Net Interest Spread | 3.23% | Hedging Instruments (Notional Amounts) as of June 30, 2024 | Instrument | Notional Amount | | :--- | :--- | | Interest Rate Swaps | $1.1 billion | | TBAs (Short Position) | ($427.0) million | | Treasury Futures | $232.4 million | [Shareholder Returns](index=4&type=section&id=Shareholder%20Returns) The company declared a quarterly common dividend of $0.15 per share, alongside preferred stock dividends for both Series A and Series B Q2 2024 Declared Dividends | Stock Series | Dividend Per Share | Record Date | Payment Date | | :--- | :--- | :--- | :--- | | Common Stock | $0.15 | June 28, 2024 | July 31, 2024 | | 8.20% Series A Preferred | $0.5125 | June 28, 2024 | July 15, 2024 | | 8.250% Series B Preferred | $0.6995 | June 28, 2024 | July 15, 2024 | [Non-GAAP Financial Measures: Earnings Available for Distribution (EAD)](index=1&type=section&id=Non-GAAP%20Financial%20Measures%3A%20Earnings%20Available%20for%20Distribution%20(EAD)) EAD, a non-GAAP metric, was $0.08 per diluted share for Q2 2024, adjusting GAAP net income for certain non-cash and unrealized items - EAD is a non-GAAP measure used to provide insight into ongoing operational performance by excluding various realized and unrealized gains/losses on RMBS, derivatives, and MSRs[11](index=11&type=chunk)[12](index=12&type=chunk) Reconciliation of Net Income to EAD (in thousands, except per share amounts) | Description | Q2 2024 | Q1 2024 | | :--- | :--- | :--- | | Net Income | $784 | $12,056 | | Adjustments (Net) | $4,170 | ($5,632) | | **Total EAD** | **$4,954** | **$6,424** | | **EAD Attributable to Common Stockholders** | **$2,299** | **$3,992** | | **EAD Per Diluted Share** | **$0.08** | **$0.13** | [Company Information and Events](index=5&type=section&id=Company%20Information%20and%20Events) The company provides additional financial details in its Form 10-Q and hosted a conference call on August 8, 2024, to discuss results - Additional information is available in the company's **Form 10-Q** for the quarter ended June 30, 2024, and in an investor presentation posted to the Investor Relations section of its website[14](index=14&type=chunk) - Management hosted a conference call and webcast to discuss the quarterly results on **August 8, 2024**, at 5:00 pm Eastern Time[15](index=15&type=chunk) [Forward-Looking Statements](index=6&type=section&id=Forward-Looking%20Statements) The report includes forward-looking statements concerning company strategy and the benefits of management internalization, subject to known risks - Forward-looking statements include those related to the completion and benefits of the **management internalization**, potential cost savings, and the ability to generate attractive risk-adjusted returns[17](index=17&type=chunk)