Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q4 2020 Earnings Conference Call March 9, 2021 5:00 PM ET Company Participants Rory Rumore - Vice President, ICR Jay Lown - President and Chief Executive Officer Michael Hutchby - Chief Financial Officer Julian Evans - Chief Investment Officer Conference Call Participants Kevin Barker - Piper Sandler Henry Coffey - Wedbush Steve Delaney - JMP Securities Eric Hagen - BTIG Operator Greetings and welcome to the Cherry Hill Mortgage Investment Corporation ...

Investor Presentation Third Quarter 2020 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 current-to-maturity IRR, potential discount rates, pot ...

Financial Data and Key Metrics Changes - For Q3 2020, the company reported core income of $0.48 per share, significantly above the distribution level, with a current dividend yield of approximately 11% [8] - The GAAP net loss applicable to common stockholders was $3.2 million, or $0.19 per share, while the comprehensive loss was $5.3 million, or $0.31 per share [19] - Book value per common share decreased to $11.74 as of September 30, down from a revised $12.32 as of June 30, primarily due to a recalculation of the deferred tax asset [19][11] Business Line Data and Key Metrics Changes - The servicing-related investments comprised full MSRs with a UPB of $22 billion and a market value of approximately $163 million, representing about 29% of equity capital [15] - The RMBS portfolio accounted for approximately 45% of equity, with RMBS representing about 90% of investable assets excluding cash [15] - The average conventional MSR CPR was approximately 41% for Q3, while the RMBS portfolio posted a weighted average three-month CPR of approximately 14% [15] Market Data and Key Metrics Changes - Active forbearance rates improved to just shy of 6% by the end of October, with about 20% of borrowers having made all payments due [10] - The company maintained lower leverage on its aggregate portfolio, ending the quarter at 4.6 times leverage [8] Company Strategy and Development Direction - The company continues to prioritize liquidity and focus on core RMBS and MSR portfolio strategies, aiming to navigate the current environment and capitalize on selected investment opportunities [8][12] - The strategy of investing in MBS combined with MSRs remains intact, with a focus on acquiring new MSR assets at attractive levels [9] Management's Comments on Operating Environment and Future Outlook - Management expressed cautious optimism regarding the economic recovery and the potential impact of a COVID vaccine on interest rates [7][12] - The company plans to maintain a strong cash position to meet servicing advances and navigate higher prepay speeds in the investment portfolio [8][36] Other Important Information - The company declared a dividend of $0.27 per common share for Q3 2020, paid on October 27, 2020 [21] - The company identified an error in the calculation of its deferred tax asset, which required adjustments but did not impact core earnings or dividend sustainability [11][19] Q&A Session Summary Question: Impact of market changes on payment speeds and MSR values - Management believes a credible vaccine could significantly impact rates, and the election results may also trigger a higher rate environment [24] Question: Details on the deferred tax asset write-down - The write-down was approximately one-third performance-related and two-thirds related to the deferred tax asset [30] Question: Acquisition details of MSRs - The company acquired $1.1 billion of MSRs during Q3, with a focus on making smart sourcing decisions [34][35] Question: Future size of the MSR portfolio - The goal is to stem the amount of new acquisitions while being open to compelling opportunities [41] Question: Coupon preferences for new agency investments - The company has been buying 2% and 2.5% coupons, with expected returns in the low to mid-teens [43]

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, 2020 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) N/ ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q2 2020 Earnings Conference Call August 10, 2020 5:00 PM ET Company Participants Rory Rumore - Investor Relations, Vice President at ICR Jay Lown - President & Chief Executive Officer Julian Evans - Chief Investment Officer Michael Hutchby - Chief Financial Officer Conference Call Participants Mike Smyth - B. Riley FBR Steve DeLaney - JMP Securities Kevin Barker - Piper Sandler Henry Coffey - Wedbush Operator Greetings. Welcome to the Cherry Hill Mortg ...

Investor Presentation Second Quarter 2020 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 current‐to‐maturity IRR, potential discount rates, po ...

Fair Value and Portfolio Performance - The Company reported a fair value of $1,496,084,000 for its RMBS portfolio as of June 30, 2020[387]. - As of December 31, 2019, the RMBS portfolio was valued at $2,651,237,000[389]. - The RMBS total return was reported at (0.23)% for the period, with dollar returns of $(6,210) for the same[389]. - A 20% decrease in the discount rate could lead to a fair value increase of $9,721,000[381]. Interest Rate Risk - A 25 basis point increase in interest rates is expected to result in a total return of 0.23% on the RMBS portfolio[387]. - The estimated fair value change for a 50 basis point increase in interest rates is projected to be $5,250,000[387]. - The Company anticipates a decline in net interest spread and net interest margin during periods of rising interest rates[377]. - The fair value of servicing related assets is highly sensitive to interest rate changes, with a potential decrease in value if rates decline[376]. - The Company expects to utilize additional MSR financing and various funding arrangements to manage interest rate risk[376]. - The Company may use hedging instruments to mitigate interest rate risk, including interest rate swap agreements and treasury futures[376]. Credit Risk and Asset Quality - The Company is subject to risks related to the credit quality of its assets and changes in interest rates, which could materially affect its financial condition[375]. - The company anticipates low credit risk with its Agency RMBS portfolio, but acknowledges potential credit risk from investments in CMOs and MSRs[397]. Liquidity and Financing - The liquidity risk associated with servicing related assets may hinder the ability to sell such assets in response to economic changes[395]. - The company expects to continue financing RMBS with repurchase agreements and MSRs with bank loans secured by those MSRs[394]. - The company's exposure to counterparties under repurchase agreements did not exceed 5% of the company's equity as of June 30, 2020[391]. Internal Controls and Reporting - There have been no changes in the company's internal control over financial reporting that materially affected its effectiveness during the last fiscal quarter[400]. - The company's disclosure controls and procedures are deemed effective as of the end of the reporting period[399].

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 March 31, 2020 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) N/A (F ...

TABLE OF CONTENTS CHMI CHMI-PRA New York Stock Exchange New York Stock Exchange UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K Maryland 46-1315605 (State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.) 1451 Route 34, Suite 303 Farmingdale, New Jersey 07727 (Address of principal executive offices) (Zip Code) (877) 870 – 7005 (Registrant's telephone number, including area code) Securities registered pursuant to Section 12(b) of th ...

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, 2019 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) N/ ...