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]

C H E R R Y H I L L L MORTGAGE INVESTMENT CORPORATION Third Quarter 2023 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 IR ...

[FORWARD-LOOKING INFORMATION](index=5&type=section&id=FORWARD-LOOKING%20INFORMATION) This section outlines forward-looking statements, highlighting their inherent risks and uncertainties that could cause actual results to differ materially - Forward-looking statements are identified by words such as 'believe', 'expect', 'anticipate', 'estimate', 'plan', 'continue', 'intend', 'should', 'could', 'would', 'may', 'potential' or their negatives - Actual results may differ materially from forward-looking statements due to substantial risks and uncertainties, many of which are difficult to predict and beyond the company's control - Key risk factors include general volatility of capital markets, accelerating inflationary trends, changes in investment objectives, availability of capital, ability to manage subsidiaries, dependence on external Manager, increased default rates, impact of pandemics, changes in interest rates/spreads/prepayment rates, and REIT qualification requirements [PART I. FINANCIAL INFORMATION](index=7&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) [Item 1. Consolidated Financial Statements](index=7&type=section&id=Item%201.%20Consolidated%20Financial%20Statements) This section presents the company's core financial statements and notes, detailing financial position, performance, equity, and cash flows [Consolidated Balance Sheets](index=7&type=section&id=Consolidated%20Balance%20Sheets) The Consolidated Balance Sheets detail financial position, with assets and liabilities increasing due to RMBS and repurchase agreements Assets (in thousands) | Asset Category | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | RMBS, at fair value | $1,054,251 | $931,431 | | Investments in Servicing Related Assets, at fair value | $264,906 | $279,739 | | Cash and cash equivalents | $53,021 | $57,320 | | Derivative assets | $26,504 | $45,533 | | **Total Assets** | **$1,441,513** | **$1,408,825** | Liabilities (in thousands) | Liability Category | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Repurchase agreements | $979,907 | $825,962 | | Derivative liabilities | $7,472 | $24,718 | | Notes payable | $174,968 | $183,888 | | **Total Liabilities** | **$1,178,944** | **$1,143,309** | Stockholders' Equity (

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q2 2023 Earnings Conference Call August 3, 2023 5:00 PM ET Company Participants Garrett Edson - Investor Relations Jay Lown - President and Chief Executive Officer Julian Evans - Chief Investment Officer Michael Hutchby - Chief Financial Officer Conference Call Participants Mikhail Goberman - JMP Securities Matthew Howlett - B.Riley Operator Ladies and gentlemen, thank you for standing by. Welcome to the Cherry Hill Mortgage Investment Corporation Seco ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q1 2023 Earnings Conference Call May 8, 2023 5:00 PM ET Company Participants Garrett Edson - ICR Jeffrey Lown - President, Chief Executive Officer & Director Julian Evans - Chief Information Officer Michael Hutchby - Chief Financial Officer, Treasurer, Secretary & Head, Investor Relations Conference Call Participants Mikhail Goberman - JMP Securities Matthew Howlett - B. Riley Securities Operator Good day, and thank you all for standing by. Welcome to ...

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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 ...