Cherry Hill Mortgage Investment Corporation First Quarter 2024 Results [First Quarter 2024 Highlights](index=1&type=section&id=First%20Quarter%202024%20Highlights) Cherry Hill reported positive GAAP net income and EAD, declared a common dividend, and maintained book value with moderate leverage Q1 2024 Key Financial Metrics | Metric | Value | | :--- | :--- | | GAAP Net Income to Common Stockholders | $9.7 million | | GAAP EPS (diluted) | $0.32 | | Earnings Available for Distribution (EAD) | $4.0 million | | EAD per Diluted Share | $0.13 | | Common Book Value per Share | $4.49 | | Declared Common Dividend per Share | $0.15 | | Aggregate Portfolio Leverage | 4.5x | | Unrestricted Cash | $47.5 million | - The company repurchased approximately **372,000 shares** of its 8.250% Series B Preferred Stock for **$9.3 million** as of May 3, 2024, with **$41.2 million** remaining in the repurchase program[14](index=14&type=chunk) - The CEO noted that the investment portfolio's positioning helped offset the impact of widening spreads and higher interest rates during the quarter[1](index=1&type=chunk) [Operating and Financial Results](index=1&type=section&id=Operating%20and%20Financial%20Results) Q1 2024 GAAP net income was driven by net servicing income and derivative gains, partially offset by unrealized losses on RMBS and servicing assets Consolidated Statements of Income (Unaudited, in thousands, except per share amounts) | Account | Q1 2024 | Q4 2023 | | :--- | :--- | :--- | | **Total Income (Loss)** | **$16,348** | **($30,893)** | | Total Expenses | $3,589 | $3,472 | | **Net Income (Loss)** | **$12,056** | **($33,644)** | | Net Income (Loss) Applicable to Common Stockholders | $9,666 | ($35,480) | | **Diluted EPS** | **$0.32** | **($1.29)** | Consolidated Statements of Comprehensive Income (Unaudited, in thousands) | Account | Q1 2024 | Q4 2023 | | :--- | :--- | :--- | | Net Income (Loss) | $12,056 | ($33,644) | | Unrealized gain (loss) on RMBS, available-for-sale, net | ($6,596) | $29,527 | | **Comprehensive income (loss)** | **$5,460** | **($4,117)** | | Comprehensive income (loss) attributable to common stockholders | $3,199 | ($6,504) | - GAAP book value was **$4.49** per diluted share as of March 31, 2024, net of the first quarter dividend[18](index=18&type=chunk) [Portfolio Highlights](index=3&type=section&id=Portfolio%20Highlights) The company's portfolio included **$19.6 billion MSRs** and **$1.1 billion RMBS**, with hedging strategies utilizing swaps, TBAs, and Treasury futures - The MSR portfolio's unpaid principal balance was **$19.6 billion** with a carrying value of **$250.4 million** at quarter-end[17](index=17&type=chunk) - The RMBS portfolio had a book value of approximately **$1.1 billion**, a carrying value of **$1.0 billion**, a weighted average coupon of **4.71%**, and a weighted average maturity of **28 years**[31](index=31&type=chunk) - The company held interest rate swaps (**$1.1B notional**), TBAs ((**$418.2M notional**)), and Treasury futures (**$256.6M notional**) to hedge against duration and interest rate risk[9](index=9&type=chunk) [Dividends](index=4&type=section&id=Dividends) The Board declared a **$0.15 quarterly common dividend** and also paid dividends for Series A and Series B preferred stock - A quarterly dividend of **$0.15** per share of common stock was declared on March 14, 2024, and paid on April 30, 2024[19](index=19&type=chunk) - Quarterly dividends were also declared for preferred stock: **$0.5125** per share for **8.20% Series A** and **$0.515625** per share for **8.250% Series B**, both paid on April 15, 2024[19](index=19&type=chunk) [Earnings Available for Distribution (EAD)](index=4&type=section&id=Earnings%20Available%20for%20Distribution%20%28EAD%29) The company reported **$4.0 million EAD** for Q1 2024, a non-GAAP measure providing insight into ongoing operational performance - EAD is a non-GAAP measure defined as GAAP net income excluding various realized and unrealized gains/losses on RMBS, derivatives, and MSRs, and is not a substitute for GAAP net income[25](index=25&type=chunk)[20](index=20&type=chunk) Reconciliation of Net Income to EAD (Unaudited, in thousands, except per share amounts) | Account | Q1 2024 | Q4 2023 | | :--- | :--- | :--- | | Net Income (Loss) | $12,056 | ($33,644) | | Adjustments (Net) | ($5,632) | $40,763 | | **Total EAD** | **$6,424** | **$7,119** | | EAD Attributable to Common Stockholders | $3,992 | $4,529 | | **EAD Per Diluted Share** | **$0.13** | **$0.17** | | GAAP Net Income (Loss) Per Diluted Share | $0.32 | ($1.29) | [Additional Information and Forward-Looking Statements](index=5&type=section&id=Additional%20Information%20and%20Forward-Looking%20Statements) The company provided details for a conference call and webcast, with additional information available in SEC filings and an investor presentation - An investor presentation with supplemental information for Q1 2024 is available on the Investor Relations section of the company's website[11](index=11&type=chunk) - A conference call and webcast were scheduled for May 6, 2024, at 5:00 pm Eastern Time to discuss the results[34](index=34&type=chunk)[22](index=22&type=chunk) - The report includes forward-looking statements concerning the company's strategies and opportunities, which are not guarantees of future performance and are subject to risks outlined in SEC filings[12](index=12&type=chunk)

12 Derivative transactions include swaps, swaptions, U.S. treasury futures and "to-be-announced" securities ("TBAs"). A TBA contract is an agreement to purchase or sell, for future delivery, an Agency RMBS with a specified issuer, term and coupon. Swaps and swaptions are entered into by the Company solely for interest rate risk management purposes. TBAs and U.S. treasury futures are used to manage duration risk as well as basis risk and pricing risk on the Company's financing facilities for MSRs. The decisi ...

FARMINGDALE, N.J.--(BUSINESS WIRE)--Cherry Hill Mortgage Investment Corporation (NYSE: CHMI) today announced that its Board of Directors declared a dividend of $0.15 per share on the Company’s common stock for the first quarter of 2024. The dividend will be payable in cash on April 30, 2024 to holders of the common stock of record as of the close of business on March 28, 2024. Additionally, Cherry Hill announced that its Board of Directors has declared a dividend of $0.5125 per share on the Company’s 8.20% ...

C H E R R Y H I L L L MORTGAGE INVESTMENT CORPORATION Fourth Quarter 2023 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 b ...

Financial Data and Key Metrics Changes - For the fourth quarter, the company reported a GAAP net loss applicable to common stockholders of $35.5 million or $1.29 per diluted share, while earnings available for distribution (EAD) were $4.5 million or $0.17 per share, covering the quarterly distribution [6][12] - The book value per common share decreased to $4.53 as of December 31, down 9.2% from $4.99 as of September 30, primarily due to portfolio positioning and lower MSR marks [20][12] - Financial leverage slightly reduced to 4.2 times, maintaining a solid liquidity profile with $53 million of unrestricted cash on the balance sheet [21][12] Business Line Data and Key Metrics Changes - The RMBS portfolio's weighted average three-month CPR was approximately 4.9%, up from 4.4% in the previous quarter, with the portfolio standing at approximately $655 million compared to $583 million previously [24] - The MSR portfolio's net CPR averaged approximately 4.2% for the fourth quarter, down from 5.6% in the previous quarter, with a low recapture rate of about 1% [23] Market Data and Key Metrics Changes - The company noted that the majority of the mortgage universe remains out of the money regarding refinancing, expecting prepayments to stay low unless interest rates are cut later in the year [37] - The market environment has seen a shift with the Fed signaling potential rate cuts in 2024, impacting mortgage spreads and interest rates [5][18] Company Strategy and Development Direction - The company aims to manage its portfolio thoughtfully while shifting its capital structure to enhance shareholder value through improved performance and earnings [11][21] - A strategy to create a more stable equity profile is a top priority, with actions taken to repurchase Series B preferred shares to reduce preferred dividends [34] Management's Comments on Operating Environment and Future Outlook - Management expressed that volatility is expected to remain elevated in the near term, with macro growth and inflation significantly impacting Fed decisions [11] - The company is closely monitoring the Fed and economic indicators to adjust its portfolio as necessary, believing its strategy of pairing MSRs with Agency RMBS is appropriate for the current environment [19][36] Other Important Information - Operating expenses for the quarter were reported at $3.5 million, and dividends were declared for both common and preferred shares [26] - The company raised $11.8 million through its aftermarket common share program, utilizing over $6 million to repurchase Series B preferred shares [34] Q&A Session Summary Question: What are the thoughts on appetite for leverage going forward? - Management indicated that they will adjust leverage over time, noting the current market volatility and attractive RMBS spreads, while anticipating the Fed may ease later in the year [28] Question: Any update on book value thus far in the first quarter? - The book value per share as of February 29 was reported to be flat compared to year-end, prior to any first-quarter dividend accrual [29] Question: Thoughts on potential MSR sales from NYCB? - Management did not provide specific insights but mentioned that discussions with Flagstar have been high-level and macro in nature [31]

FARMINGDALE, NJ – March 7, 2024 — Cherry Hill Mortgage Investment Corporation (NYSE: CHMI) ("Cherry Hill" or the "Company") today reported results for the fourth quarter and full year 2023. Cherry Hill reported GAAP net loss applicable to common stockholders for the fourth quarter of 2023 of $35.5 million, or $1.29 per basic and diluted weighted average common share outstanding. Reported GAAP net loss was determined based primarily on the following: $0.4 million of net interest expense, $9.7 million of net ...

PART I [Business](index=9&type=section&id=Item%201.%20Business) CHMI is an externally managed residential real estate finance REIT investing in RMBS and Servicing Related Assets for stockholder returns - The company's primary business is acquiring, investing in, and managing residential mortgage assets, specifically Servicing Related Assets and RMBS, with the goal of generating yields and returns for stockholders[10](index=10&type=chunk) - CHMI is externally managed by Cherry Hill Mortgage Management, LLC, which is responsible for investment strategies and day-to-day operations. The company itself has no employees, except for three leased employees at its subsidiary, Aurora[13](index=13&type=chunk) - The company operates in a manner to maintain its qualification as a REIT, which requires distributing at least **90%** of its REIT taxable income to stockholders annually[10](index=10&type=chunk)[480](index=480&type=chunk) - CHMI's business is organized into three segments: (i) investments in RMBS; (ii) investments in Servicing Related Assets; and (iii) 'All Other'[10](index=10&type=chunk) - The company utilizes leverage, primarily through repurchase agreements, to finance its RMBS portfolio. As of December 31, 2023, it had repurchase agreements with **35 counterparties**[44](index=44&type=chunk) [Risk Factors](index=16&type=section&id=Item%201A.%20Risk%20Factors) The company faces market, operational, and structural risks including interest rate volatility, prepayment speeds, third-party dependency, and REIT compliance - Business risks include dependency on third-party mortgage servicers, sensitivity of Servicing Related Asset values to interest rate changes, and the impact of prepayment rates on asset performance[28](index=28&type=chunk)[51](index=51&type=chunk)[55](index=55&type=chunk) - The company uses leverage, which magnifies both gains and losses. A sudden drop in financed asset values could lead to margin calls and force liquidation of assets at unfavorable prices[61](index=61&type=chunk)[492](index=492&type=chunk) - Risks related to the external management structure include dependence on the Manager and its key personnel, potential conflicts of interest with the Manager and its affiliates (like Freedom Mortgage), and a management fee that is payable regardless of portfolio performance[69](index=69&type=chunk)[94](index=94&type=chunk)[97](index=97&type=chunk) - Failure to maintain REIT qualification would subject the company to corporate income tax, substantially reducing cash available for distributions. This involves complex tests regarding income sources, asset diversification, and distribution levels[143](index=143&type=chunk)[167](index=167&type=chunk) - The company's Series B Preferred Stock dividend rate will transition from a fixed rate to a floating rate based on a successor to LIBOR (anticipated to be CME Term SOFR) from **April 15, 2024**, which introduces uncertainty and potential volatility[162](index=162&type=chunk) [Unresolved Staff Comments](index=42&type=section&id=Item%201B.%20Unresolved%20Staff%20Comments) The company has no unresolved staff comments from the Securities and Exchange Commission - As of the report date, there were no unresolved comments from the SEC staff[204](index=204&type=chunk) [Cybersecurity](index=42&type=section&id=Item%201C.%20Cybersecurity) The company maintains a NIST-based cybersecurity program, overseen by the CFO, with no material threats reported to date - The company's information security program is designed to protect sensitive data and is informed by the NIST Cybersecurity Framework and regulations like the Gramm-Leach-Bliley Act[205](index=205&type=chunk) - The Chief Financial Officer (CFO) has day-to-day oversight of the cybersecurity program and is responsible for ensuring the board of directors is updated on the company's risk profile[205](index=205&type=chunk)[207](index=207&type=chunk) - To date, no risks from cybersecurity threats have materially affected or are reasonably likely to materially affect the company[207](index=207&type=chunk) [Properties](index=43&type=section&id=Item%202.%20Properties) The company operates from office space provided by its Manager in Farmingdale, New Jersey, and New York, New York - The company operates from two locations provided by its Manager: 1451 Route 34, Suite 303, Farmingdale, New Jersey 07727 and 1270 Avenue of the Americas, Suite 920, New York, New York 10020[207](index=207&type=chunk) [Legal Proceedings](index=43&type=section&id=Item%203.%20Legal%20Proceedings) As of December 31, 2023, the company is not aware of any material legal or regulatory claims or proceedings - The company is not aware of any material legal or regulatory claims as of **December 31, 2023**[207](index=207&type=chunk) [Mine Safety Disclosures](index=43&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) This section is not applicable to the company - Not applicable[207](index=207&type=chunk) PART II [Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities](index=44&type=section&id=Item%205.%20Market%20for%20Registrant%27s%20Common%20Equity%2C%20Related%20Stockholder%20Matters%20and%20Issuer%20Purchases%20of%20Equity%20Securities) CHMI common stock trades on NYSE, with reduced quarterly dividends in 2023 and underperforming key indices over five years - The company's common stock has been listed on the NYSE under the symbol '**CHMI**' since **October 4, 2013**[209](index=209&type=chunk) Dividends Declared per Common Share | Period | Declaration Date | Record Date | Payment Date | Amount per Share | | :--- | :--- | :--- | :--- | :--- | | **2023** | | | | | | Q4 | 12/8/2023 | 12/29/2023 | 1/31/2024 | $0.15 | | Q3 | 9/14/2023 | 9/29/2023 | 10/31/2023 | $0.15 | | Q2 | 6/15/2023 | 6/30/2023 | 7/31/2023 | $0.15 | | Q1 | 3/16/2023 | 3/31/2023 | 4/25/2023 | $0.27 | | **2022** | | | | | | Q4 | 12/16/2022 | 12/30/2022 | 1/31/2023 | $0.27 | | Q3 | 9/15/2022 | 9/30/2022 | 10/25/2022 | $0.27 | | Q2 | 6/17/2022 | 6/30/2022 | 7/26/2022 | $0.27 | | Q1 | 3/11/2022 | 3/31/2022 | 4/26/2022 | $0.27 | Cumulative Total Stockholder Return Performance (assumes $100 invested on Dec 31, 2018) | Index | Dec 31, 2019 | Dec 31, 2020 | Dec 31, 2021 | Dec 30, 2022 | Dec 29, 2023 | | :--- | :--- | :--- | :--- | :--- | :--- | | **CHMI** | $93.27 | $67.61 | $68.70 | $57.29 | $46.48 | | **Russell 2000** | $125.52 | $150.58 | $172.90 | $137.56 | $160.85 | | **S&P U.S. BMI Mortgage REITs** | $119.61 | $94.68 | $108.65 | $80.83 | $93.30 | | **S&P 500** | $131.49 | $155.68 | $200.37 | $164.08 | $207.21 | - In **June 2023**, stockholders approved the **2023 Equity Incentive Plan**, which replaced the expired 2013 Plan, for granting equity-based compensation such as stock awards and LTIP-OP Units[214](index=214&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations](index=48&type=section&id=Item%207.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) The company reported a **$35.5 million net loss in 2023** driven by higher interest expense and unrealized losses, with EAD decreasing to **$0.70 per share** Comparison of Operations (in thousands) | Metric | 2023 | 2022 | | :--- | :--- | :--- | | Net Interest Income (Expense) | $(1,657) | $12,079 | | Net Servicing Income | $42,179 | $41,593 | | Total Income (Loss) | $(21,202) | $40,193 | | Total Expenses | $13,730 | $12,934 | | Net Income (Loss) | $(35,455) | $22,189 | | Net Income (Loss) Applicable to Common Stockholders | $(44,647) | $11,886 | - Interest expense increased by **$34.0 million** year-over-year to **$51.6 million**, primarily due to a rise in financing rates on all assets, particularly RMBS financing costs[237](index=237&type=chunk) - The company recorded an unrealized loss of **$25.9 million** on its Servicing Related Assets in 2023, compared to a gain of **$23.0 million** in 2022, mainly due to changes in valuation inputs and assumptions[286](index=286&type=chunk) Earnings Available for Distribution (EAD) Reconciliation (in thousands) | Metric | 2023 | 2022 | | :--- | :--- | :--- | | Net Income (Loss) | $(35,455) | $22,189 | | Adjustments (Net) | $64,268 | $10,147 | | **Total EAD** | **$28,813** | **$32,336** | | EAD Attributable to Common Stockholders | $18,423 | $21,827 | | **EAD per Diluted Share** | **$0.70** | **$1.10** | - As of **December 31, 2023**, the company had approximately **$903.5 million** in outstanding repurchase agreement borrowings and **$170.5 million** outstanding under its MSR financing facilities[270](index=270&type=chunk)[298](index=298&type=chunk) [Quantitative and Qualitative Disclosures about Market Risk](index=68&type=section&id=Item%207A.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) The company's primary market risk is interest rate volatility, affecting asset values and net interest income, mitigated by derivatives - The company's primary market risk is interest rate risk, which impacts its assets, liabilities, and net interest income. It uses derivatives like interest rate swaps and U.S. treasury futures to hedge this exposure[335](index=335&type=chunk) MSR Fair Value Sensitivity as of Dec 31, 2023 | Scenario | Change in Fair Value (%) | | :--- | :--- | | Discount Rate Shift -20% | +10% | | Discount Rate Shift +20% | -8% | | Prepayment Rate Shift -20% | +5% | | Prepayment Rate Shift +20% | -5% | RMBS Portfolio Fair Value Sensitivity as of Dec 31, 2023 | Interest Rate Shift | Change in Fair Value ($ thousands) | Change in Fair Value (%) | | :--- | :--- | :--- | | -0.75% | +$3,806 | +0.51% | | +0.75% | -$6,658 | -0.89% | - The company faces funding risk as it relies on short-term repurchase agreements to finance its RMBS portfolio. Weakness in financial markets could make lenders unwilling or unable to provide financing[313](index=313&type=chunk) [Consolidated Financial Statements and Supplementary Data](index=73&type=section&id=Item%208.%20Consolidated%20Financial%20Statements%20and%20Supplementary%20Data) This section presents the company's audited consolidated financial statements for 2023, including balance sheets, income statements, and detailed notes on accounting policies and portfolios [Consolidated Balance Sheets](index=75&type=section&id=Consolidated%20Balance%20Sheets) As of **December 31, 2023**, total assets were **$1.39 billion**, liabilities **$1.13 billion**, and equity **$258.4 million**, with key RMBS and Servicing Related Assets Consolidated Balance Sheet Summary (in thousands) | Account | Dec 31, 2023 | Dec 31, 2022 | | :--- | :--- | :--- | | Total RMBS, at fair value | $1,012,130 | $931,431 | | Total Investments in Servicing Related Assets, at fair value | $253,629 | $279,739 | | **Total Assets** | **$1,392,992** | **$1,408,825** | | Repurchase agreements | $903,489 | $825,962 | | Notes payable | $169,314 | $183,888 | | **Total Liabilities** | **$1,134,617** | **$1,143,309** | | **Total Stockholders' Equity** | **$258,375** | **$265,516** | [Consolidated Statements of Income (Loss)](index=76&type=section&id=Consolidated%20Statements%20of%20Income%20%28Loss%29) For 2023, the company reported a **$35.5 million net loss**, a reversal from 2022, driven by net interest expense and unrealized losses, resulting in **($1.70) diluted EPS** Key Income Statement Data (in thousands, except per share data) | Metric | 2023 | 2022 | 2021 | | :--- | :--- | :--- | :--- | | Net Interest Income (Expense) | $(1,657) | $12,079 | $9,188 | | Net Servicing Income | $42,179 | $41,593 | $40,533 | | **Net Income (Loss)** | **$(35,455)** | **$22,189** | **$12,530** | | Net Income (Loss) Applicable to Common Stockholders | $(44,647) | $11,886 | $2,430 | | **Diluted EPS** | **$(1.70)** | **$0.60** | **$0.14** | [Notes to Consolidated Financial Statements](index=80&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) The notes detail segment reporting, RMBS and MSR portfolios, equity structure, related party transactions, derivatives, and REIT tax status - The company's business is conducted through three segments: investments in RMBS, investments in Servicing Related Assets, and 'All Other'. In 2023, the RMBS segment had a net loss of **$33.0 million**, while the Servicing Related Assets segment had a net income of **$8.4 million**[129](index=129&type=chunk)[131](index=131&type=chunk) - As of **December 31, 2023**, the RMBS portfolio had a carrying value of **$1.01 billion** with a weighted average yield of **4.77%**. The MSR portfolio had a carrying value of **$253.6 million** on an unpaid principal balance of **$20.0 billion**[108](index=108&type=chunk)[112](index=112&type=chunk) - The company utilizes an at-the-market (ATM) program for its common stock, raising approximately **$31.5 million** in gross proceeds during 2023. It also has share repurchase programs for both common and preferred stock, though no shares were repurchased in 2023[149](index=149&type=chunk)[369](index=369&type=chunk)[400](index=400&type=chunk) - For tax year 2023, **95%** of the common stock dividend was classified as ordinary income and **5%** as return of capital. **100%** of preferred stock dividends were classified as ordinary income[527](index=527&type=chunk)[542](index=542&type=chunk) [Controls and Procedures](index=116&type=section&id=Item%209A.%20Controls%20and%20Procedures) Management, including CEO and CFO, concluded disclosure controls and internal control over financial reporting were effective as of **December 31, 2023** - The company's CEO and CFO concluded that disclosure controls and procedures were effective as of the end of the period[528](index=528&type=chunk) - Management concluded that the company's internal control over financial reporting was effective as of **December 31, 2023**, based on the COSO framework[528](index=528&type=chunk) - The independent registered public accounting firm, Ernst & Young LLP, issued an unqualified opinion on the effectiveness of the company's internal control over financial reporting as of **December 31, 2023**[528](index=528&type=chunk)[545](index=545&type=chunk) [Other Information](index=118&type=section&id=Item%209B.%20Other%20Information) There is no other information to report in this section - None[531](index=531&type=chunk) PART III [Directors, Executive Officers and Corporate Governance](index=118&type=section&id=Item%2010.%20Directors%2C%20Executive%20Officers%20and%20Corporate%20Governance) Information for this item is incorporated by reference from the company's upcoming 2024 Definitive Proxy Statement - Information is incorporated by reference from the company's upcoming Proxy Statement[517](index=517&type=chunk) [Executive Compensation](index=119&type=section&id=Item%2011.%20Executive%20Compensation) Information for this item is incorporated by reference from the company's upcoming 2024 Definitive Proxy Statement - Information is incorporated by reference from the company's upcoming Proxy Statement[548](index=548&type=chunk) [Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters](index=119&type=section&id=Item%2012.%20Security%20Ownership%20of%20Certain%20Beneficial%20Owners%20and%20Management%20and%20Related%20Stockholder%20Matters) Information for this item is incorporated by reference from the company's upcoming 2024 Definitive Proxy Statement - Information is incorporated by reference from the company's upcoming Proxy Statement[515](index=515&type=chunk) [Certain Relationships and Related Transactions, and Director Independence](index=119&type=section&id=Item%2013.%20Certain%20Relationships%20and%20Related%20Transactions%2C%20and%20Director%20Independence) Information for this item is incorporated by reference from the company's upcoming 2024 Definitive Proxy Statement - Information is incorporated by reference from the company's upcoming Proxy Statement[515](index=515&type=chunk) [Principal Accountant Fees and Services](index=119&type=section&id=Item%2014.%20Principal%20Accountant%20Fees%20and%20Services) Information for this item is incorporated by reference from the company's upcoming 2024 Definitive Proxy Statement - Information is incorporated by reference from the company's upcoming Proxy Statement[515](index=515&type=chunk) PART IV [Exhibits and Financial Statement Schedules](index=119&type=section&id=Item%2015.%20Exhibits%20and%20Financial%20Statement%20Schedules) This section lists all financial statements, schedules, and exhibits filed as part of the Form 10-K, with schedules omitted if not applicable - This section lists all documents filed as part of the report, including financial statements and exhibits[549](index=549&type=chunk) [Form 10-K Summary](index=123&type=section&id=Item%2016.%20Form%2010-K%20Summary) This section indicates that no Form 10-K summary is provided in the report - None[552](index=552&type=chunk)

FARMINGDALE, N.J.--(BUSINESS WIRE)--Cherry Hill Mortgage Investment Corporation (NYSE: CHMI) today announced that the Company will release fourth quarter and full year 2023 financial results after the market closes on March 7, 2024. A conference call will be held the same day at 5:00 pm Eastern Time to review the Company’s fourth quarter and full year 2023. Webcast: A live webcast of the conference call will be available in the investor relations section of the Company’s website at www.chmireit.com. To lis ...

FARMINGDALE, N.J.--(BUSINESS WIRE)--Cherry Hill Mortgage Investment Corporation (the “Company” or “CHMI”) (NYSE: CHMI) today announced the estimated Federal income tax treatment of the Company’s 2023 distributions on its common and preferred stock, as described below. Shareholders are encouraged to consult with their personal tax advisors as to their specific tax treatment of the Company’s distributions. Common Stock     Total     Record Payable Distributions Total Ordinary ...

Financial Data and Key Metrics Changes - For the third quarter, the company generated a GAAP net gain applicable to common stockholders of $0.49 per diluted share, with earnings available for distribution (EAD) of $4.4 million or $0.16 per share, exceeding the quarterly distribution [20][42] - Book value per common share finished at $4.99 as of September 30, down 3.9% from June 30, while on a NAV basis, it was down 1.9% relative to June 30 [21][22] - Financial leverage remained consistent at 4.4x, with $45 million of unrestricted cash on the balance sheet, maintaining a solid liquidity profile [25] Business Line Data and Key Metrics Changes - The MSR portfolio had a UPB of $20.3 billion and a market value of approximately $266 million, representing about 45% of equity capital and 31% of investable assets [32] - The RMBS net interest spread was 3.6%, a decrease from the prior quarter due to higher repo costs and larger net interest expenses, partially offset by higher asset yields [33] - Prepayment speeds for the MSR portfolio averaged approximately 5.6% for the third quarter, down from 6.2% in the previous quarter, with a recapture rate of approximately 1% [35] Market Data and Key Metrics Changes - The 10-year treasury yield rose to nearly 4.6%, with agency mortgage spreads widening considerably during the quarter [15][16] - The 10-year crossed the 5% threshold at one point in October, with further widening of mortgage spreads noted [18] Company Strategy and Development Direction - The company is focused on risk management to reduce exposure to mortgage spreads in the near term, selectively deploying capital into agency MBS that present strong risk-adjusted returns [26] - The strategy of pairing MSRs with agency RMBS is viewed as appropriate for the current environment [19] Management's Comments on Operating Environment and Future Outlook - Management noted that the economic environment remains volatile, with macroeconomic data and geopolitical events impacting market conditions [17][30] - The company expects to maintain a conservative approach until there are clear signs of market stabilization [31][39] Other Important Information - The company declared a dividend of $0.15 per common share for the third quarter, paid on October 31, 2023 [46] - The company has not elected to apply hedge accounting for interest rate derivatives, recording changes in estimated fair value as part of net gain or loss [44] Q&A Session Summary Question: Tradeoff between MSRs and agency MBS going forward - Management finds RMBS more attractive than MSR currently, hedging additional dollars with TBAs [49] Question: Update on book value one month into the quarter - Book value per share is down approximately 5% from quarter-end as of October 31 [57] Question: Drivers of EAD or core income going forward - EAD can be increased by taking off some hedges and increasing leverage, while shifting the portfolio to higher yielding assets [63] Question: Willingness to move up coupon - Management is cautious about moving to higher coupons due to concerns about prepayment speeds, preferring to stay around 3.5% to 4% [67] Question: Catalyst for basis to tighten - Management believes that the basis may tighten if there is stabilization by the Fed, but historical context suggests spreads may be wide relative to historical levels [73]