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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)

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, 2024 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 ...

Company Overview - Cherry Hill Mortgage Investment Corporation (CHMI) is currently experiencing significant attention from investors due to high implied volatility in its options market, particularly the Aug 16, 2024 $7.5 Call option [1][2] - The company holds a Zacks Rank of 4 (Sell) within the REIT and Equity Trust industry, which is positioned in the bottom 18% of the Zacks Industry Rank [3] Analyst Sentiment - Over the past 30 days, there have been no increases in earnings estimates for the current quarter from analysts, with one analyst revising the estimate downward, leading to a decrease in the Zacks Consensus Estimate from 18 cents per share to 15 cents [3] Market Expectations - The high implied volatility suggests that options traders are anticipating a significant price movement for Cherry Hill Mortgage shares, which could indicate an upcoming event that may lead to a substantial rally or sell-off [2][5] - Options traders often seek to capitalize on high implied volatility by selling premium, aiming for the underlying stock to not move as much as initially expected by expiration [5]

Wirestock/iStock via Getty Images Cherry Hill Mortgage Investment Corporation's Series A 8.2% preferred shares (NYSE:CHMI.PR.A) have performed in line with the iShares Preferred and Income Securities ETF (P Cherry Hill Series A preferred shares vs PFF in 2024 (Seeking Alpha) Company overview | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |--------|--------|--------|-------------------|-------|--------|-------|-------|-------|---------------|-------|-------| | $1,500 | $1,349 | | A ...

Perawit Boonchu Recently, I've found mREITs across the board to be very cheap, as rising interest rates have crushed the stock prices of many like Cherry Hill Mortgage Investment (NYSE:CHMI). However, I believe we are now seeing the bottom for mREITs and Cherry Hill stood out as a solid performer selling at a modest discount to book value with dividends that seem well-covered. Investors who like mREITs should look to Cherry Hill as a source of opportunity due to its focus on residential mortgages, strong ba ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q1 2024 Earnings Conference Call May 6, 2024 5:00 PM ET Company Participants Peter Gustav - Investor Relations Jay Lown - President and CEO Julian Evans - Chief Investment Officer Michael Hutchby - Chief Financial Officer Ray Slater - Senior Vice President and MSR Portfolio Manager Conference Call Participants Mikhail Goberman - Citizens JMP Matt Howlett - B. Riley Securities Operator Good day and thank you for standing by. Welcome to the Cherry Hill M ...

GAAP net income of $0.32 per share4 EAD of $0.13 per share4, 5 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 5.00 5.50 | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |-------------------|-------------------------|-----------------------------|-------------|---------|---------------------------------------------|---------|---------|---------|---------| | Characteristics | March 31, 2024 \nFNMA | MSR Characteristics \nFHLMC | \nTotal | $21,600 | Cherry Hill Historical MSR UPB ($ millions) | | | ...