| --- | --- | --- | --- | --- | |---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-------|-----------|-------|-----------| | | | | | | | March 31, 2023 and 100,000,000 shares authorized and 2,781,635 shares issued and outstanding as of December 31, 20 ...

Financial Data and Key Metrics Changes - For the fourth quarter, the company reported a GAAP net loss applicable to common stockholders of $34.5 million or $1.59 per diluted share, while earnings available for distribution (EAD) were $5.3 million or $0.24 per share [4][9] - The book value per common share as of December 31, 2022, was $6.06, a slight increase from $6.05 as of September 30, 2022 [9][56] - Financial leverage improved modestly to 3.8 times, reflecting a disciplined approach to capital deployment [5][8] Business Line Data and Key Metrics Changes - The RMBS portfolio, including TBAs, decreased to approximately $646 million from $759 million in the previous quarter, with a focus on higher coupon mortgages [25][44] - The RMBS net interest spread increased to 3.77% from 3.49% in the third quarter, driven by wider mortgage spreads and higher yield levels [80] - The portfolio's recapture rate was lower at approximately 2% compared to approximately 7% in the third quarter, influenced by rising mortgage rates [7][95] Market Data and Key Metrics Changes - The investment markets experienced heightened volatility and a weakening equity market, influenced by the Fed's actions to reduce inflation [3][6] - The market is currently expecting a terminal Fed's fund rate level between 5.25% and 5.75%, which has implications for future investment strategies [24][21] Company Strategy and Development Direction - The company aims to maintain a conservative and proactive approach to portfolio management, focusing on protecting book value and being opportunistic in capital deployment [57][76] - A thoughtful hedging strategy is employed to mitigate risks associated with interest rate increases, with a focus on maintaining liquidity and leverage profiles [61][76] Management's Comments on Operating Environment and Future Outlook - Management expressed confidence in the portfolio's performance despite economic challenges, noting that prepayment speeds remain low due to high mortgage rates [59][93] - The company anticipates continued market volatility until there is clarity on the Fed's terminal rate, which will influence future investment decisions [60][57] Other Important Information - The company declared a dividend of $0.27 per common share for the fourth quarter, reflecting ongoing evaluations of earnings power and market conditions [82][84] - The MSR portfolio had a UPB of $21.7 billion and a market value of approximately $280 million, representing a significant portion of the company's equity capital [79] Q&A Session Summary Question: Could you expand on the viability of the dividend and sustainable core earnings? - Management indicated that the Board continuously evaluates the strength of the dividend relative to earnings power and market requirements [84] Question: How do you characterize the risk profile of the company today? - Management noted that leverage is low compared to historical levels and emphasized the importance of clarity from the Fed regarding interest rates for future leverage decisions [32][14] Question: How do you view the trade-off between agency RMBS and MSRs in the current interest rate environment? - Management acknowledged the potential for reallocating more towards agency RMBS if interest rates rise significantly, while also considering the performance of servicing assets [64][68]

Investor Presentation Legal Disclaimer CAUTIONARY NOTE REGARDING EXPECTED RETURNS AND EXPECTED YIELDS. Expected returns and expected yields are presented for illustrative purposes only and are estimates of the annualized effective rate of return that we presently expect to be earned over the expected average life of an investment (i.e., IRR), after giving effect, in the case of returns, to existing leverage and existing hedging costs, and calculated on a weighted average basis. Expected returns and expected ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q3 2022 Results Conference Call November 2, 2022 5:00 PM ET Company Participants Garrett Edson - Managing Director, ICR Jay Lown - President and CEO Julian Evans - Chief Investment Officer Michael Hutchby - Chief Financial Officer Conference Call Participants Henry Coffey - Wedbush Mikhail Goberman - JMP Securities Operator Good day, and thank you for standing by. Welcome to the Cherry Hill Mortgage Investment Corp Third Quarter 2022 Earnings Conferenc ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from ________to ________ Commission file number 001-36099 CHERRY HILL MORTGAGE INVESTMENT CORPORATION (Exact name of registrant as specified in its charter) Ma ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q2 2022 Earnings Conference Call August 3, 2022 5:00 PM ET Company Participants Garrett Edson - Managing Director, ICR Jay Lown - President & Chief Executive Officer Julian Evans - Chief Investment Officer Michael Hutchby - Chief Financial Officer Conference Call Participants Henry Coffey - Wedbush Mikhail Goberman - JMP Securities Matthew Howlett - B. Riley Operator Thank you for standing by. My name is Cheryl, and I will be your conference operator t ...

C H E R R Y H I L L L MORTGAGE INVESTMENT CORPORATION Investor Presentation Second Quarter 2022 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, lifetime IRR, life-to-date IRR or ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from ________to ________ Commission file number 001-36099 CHERRY HILL MORTGAGE INVESTMENT CORPORATION (Exact name of registrant as specified in its charter) Marylan ...

Financial Data and Key Metrics Changes - For Q1 2022, the company reported GAAP net income applicable to common stockholders of $25.6 million, or $1.40 per share, and earnings available for distribution (EAD) of $6.2 million, or $0.34 per share, exceeding the quarterly dividend level of $0.27 per share [9][32] - The book value per common share decreased to $7.27 as of March 31, down from $8.56 at the end of the previous quarter [33] - The annualized dividend yield was reported at 16% based on the recent average closing price of the common stock [10] Business Line Data and Key Metrics Changes - The MSR portfolio had a UPB of $20.4 billion and a market value of approximately $246 million at the end of the quarter [21] - The MSR portfolio represented approximately 45% of equity capital and 21% of investable assets, while the RMBS portfolio accounted for approximately 40% of equity and 79% of investable assets [22] - The net CPR for the MSR portfolio averaged approximately 15% for Q1, down from approximately 19% in the previous quarter, driven by rising interest rates [23] Market Data and Key Metrics Changes - The US 10-year treasury finished the quarter at 2.34%, an increase of 83 basis points from year-end [7] - The RMBS portfolio's weighted average three-month CPR reduced to approximately 11% in Q1, compared to approximately 12% in the fourth quarter [25] - The RMBS portfolio, inclusive of TBA, stood at approximately $940 million at the end of Q1, down from $1.4 billion at the previous quarter end [26] Company Strategy and Development Direction - The company is actively adjusting its investment portfolio in response to the Fed's anticipated rate hikes and balance sheet reduction [8] - The strategy of pairing RMBS with agency MSRs is believed to provide attractive risk-adjusted returns and mitigate the impact of current coupon spread widening [15] - The company aims to stabilize and grow its NAV and book value while remaining disciplined in investing in MSRs due to rising rates and competition [14] Management's Comments on Operating Environment and Future Outlook - Management noted that the first quarter was eventful due to significant market changes, including inflation and geopolitical tensions [6] - The Fed's tightening measures are expected to stabilize the mortgage basis later in the year, with plans to raise leverage back to historical levels when opportunities arise [17] - Management expressed confidence in the ability to maintain dividend levels if the Fed's tightening cycle remains stable [65] Other Important Information - The company ended the quarter with $52 million of unrestricted cash, maintaining a solid liquidity profile [16] - Operating expenses for the quarter were reported at $3.5 million [36] Q&A Session Summary Question: What contributed to the slight increase in book value in April? - Management attributed the performance to coupon positioning, effective hedging strategies, and an increase in the value of MSRs [38][40] Question: How much spread widening is still possible in MBS? - Management indicated that if the Fed continues to raise rates, there could be an additional 15 to 20 basis points of widening in mortgages [43] Question: What is the current status of the DTA level? - The DTA level decreased to approximately $16 million at the end of Q1 [45] Question: How aggressive is the company willing to be in acquiring MSRs? - Management expressed interest in acquiring servicing assets but does not plan to significantly increase the MSR portfolio at this time [53] Question: What is the outlook for net CPR on MSRs? - Management suggested that gross CPR could be in the mid-singles, with recapture rates expected to decline [60] Question: How does the company view the current mortgage industry? - Management noted that origination volumes are down, and companies are focused on cutting costs and margins [70]

C H E R R Y H I L L MORTGAGE INVESTMENT CORPORATION Investor Presentation First Quarter 2022 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, lifetime IRR, life-to-date IRR or cu ...