C H E R R Y H I L L L MORTGAGE INVESTMENT CORPORATION Investor Presentation Second Quarter 2022 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 ...

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, 2022 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 ...

Financial Data and Key Metrics Changes - For Q1 2022, the company reported GAAP net income applicable to common stockholders of $25.6 million, or $1.40 per share, and earnings available for distribution (EAD) of $6.2 million, or $0.34 per share, exceeding the quarterly dividend level of $0.27 per share [9][32] - The book value per common share decreased to $7.27 as of March 31, down from $8.56 at the end of the previous quarter [33] - The annualized dividend yield was reported at 16% based on the recent average closing price of the common stock [10] Business Line Data and Key Metrics Changes - The MSR portfolio had a UPB of $20.4 billion and a market value of approximately $246 million at the end of the quarter [21] - The MSR portfolio represented approximately 45% of equity capital and 21% of investable assets, while the RMBS portfolio accounted for approximately 40% of equity and 79% of investable assets [22] - The net CPR for the MSR portfolio averaged approximately 15% for Q1, down from approximately 19% in the previous quarter, driven by rising interest rates [23] Market Data and Key Metrics Changes - The US 10-year treasury finished the quarter at 2.34%, an increase of 83 basis points from year-end [7] - The RMBS portfolio's weighted average three-month CPR reduced to approximately 11% in Q1, compared to approximately 12% in the fourth quarter [25] - The RMBS portfolio, inclusive of TBA, stood at approximately $940 million at the end of Q1, down from $1.4 billion at the previous quarter end [26] Company Strategy and Development Direction - The company is actively adjusting its investment portfolio in response to the Fed's anticipated rate hikes and balance sheet reduction [8] - The strategy of pairing RMBS with agency MSRs is believed to provide attractive risk-adjusted returns and mitigate the impact of current coupon spread widening [15] - The company aims to stabilize and grow its NAV and book value while remaining disciplined in investing in MSRs due to rising rates and competition [14] Management's Comments on Operating Environment and Future Outlook - Management noted that the first quarter was eventful due to significant market changes, including inflation and geopolitical tensions [6] - The Fed's tightening measures are expected to stabilize the mortgage basis later in the year, with plans to raise leverage back to historical levels when opportunities arise [17] - Management expressed confidence in the ability to maintain dividend levels if the Fed's tightening cycle remains stable [65] Other Important Information - The company ended the quarter with $52 million of unrestricted cash, maintaining a solid liquidity profile [16] - Operating expenses for the quarter were reported at $3.5 million [36] Q&A Session Summary Question: What contributed to the slight increase in book value in April? - Management attributed the performance to coupon positioning, effective hedging strategies, and an increase in the value of MSRs [38][40] Question: How much spread widening is still possible in MBS? - Management indicated that if the Fed continues to raise rates, there could be an additional 15 to 20 basis points of widening in mortgages [43] Question: What is the current status of the DTA level? - The DTA level decreased to approximately $16 million at the end of Q1 [45] Question: How aggressive is the company willing to be in acquiring MSRs? - Management expressed interest in acquiring servicing assets but does not plan to significantly increase the MSR portfolio at this time [53] Question: What is the outlook for net CPR on MSRs? - Management suggested that gross CPR could be in the mid-singles, with recapture rates expected to decline [60] Question: How does the company view the current mortgage industry? - Management noted that origination volumes are down, and companies are focused on cutting costs and margins [70]

C H E R R Y H I L L MORTGAGE INVESTMENT CORPORATION Investor Presentation First Quarter 2022 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 cu ...

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, 2022 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) Maryla ...

C H E R R Y H I L L MORTGAGE INVESTMENT CORPORATION Investor Presentation Fourth Quarter 2021 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 c ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q4 2021 Earnings Conference Call March 15, 2022 5:00 PM ET Company Participants Garrett Edson - ICR Jay Lown - President, CEO Julian Evans - Chief Investment Officer Mike Hutchby - CFO Conference Call Participants Mikhail Goberman - JMP Securities Operator Greetings. Welcome to the Charry Hill Mortgage Investment Corporation Fourth Quarter 2021 Earnings Call. At this time all participants are in a listen-only mode. A question-and-answer session will ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2021 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) Maryland 46-1315605 (State or other ju ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q3 2021 Earnings Conference Call November 9, 2021 5:00 PM ET Company Participants Garrett Edson – Managing Director-ICR Jay Lown – President and Chief Executive Officer Julian Evans – Chief Investment Officer Michael Hutchby – Chief Financial Officer Raymond Slater – MSR Portfolio Manager Conference Call Participants Henry Coffey – Wedbush Operator Welcome to the Cherry Hill Mortgage Investment Corporation Third Quarter 2021 Earnings Call. At this time ...

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, 2021 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) Ma ...