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) | | | ...

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)