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

Financial Data and Key Metrics Changes - In Q2 2021, the company generated core earnings of $0.28 per share, covering its quarterly dividend [7] - GAAP net loss applicable to common stockholders was $13.8 million or $0.81 per share, while comprehensive loss was $15.8 million or $0.92 per share [24] - Book value per common share decreased to $9.63 as of June 30, 2021, down from $10.83 at the end of Q1 2021 [25] Business Line Data and Key Metrics Changes - The company acquired approximately $1.6 billion of Fannie and Freddie MSRs during the quarter, with the MSR portfolio representing about 43% of equity capital [12][18] - The MSR portfolio averaged approximately 27% net CPR for Q2, down from approximately 35% in the previous quarter, indicating slower prepayment speeds [19] - The RMBS portfolio's weighted average three months CPR improved to approximately 18% compared to approximately 21% in Q1 [19] Market Data and Key Metrics Changes - The mortgage market saw a significant increase in refinancing incentives, with 45% of the market having a 50 basis point incentive to refinance [22] - The company noted that mortgage volumes remained elevated towards the end of Q2, and this trend is expected to continue as interest rates have recently decreased [22] Company Strategy and Development Direction - The company plans to remain positioned for a potential increase in interest rates, aligning with its hybrid strategy of pairing RMBS with MSRs [6][13] - The management emphasized the importance of actively managing the portfolio to take advantage of attractive investment opportunities [13] - The company is focused on maintaining a strong balance sheet while navigating the competitive MSR market [9] Management Comments on Operating Environment and Future Outlook - Management expressed confidence in the near-term sustainability of dividends despite fluctuations in rates and potential impacts on prepayments and asset yields [8] - The company remains constructive on the U.S. economy's recovery from the pandemic, despite concerns regarding the Delta variant [13] - Management believes that the recent rally in rates is not sustainable and anticipates a bounce higher in rates as economic fundamentals remain strong [6] Other Important Information - The company’s leverage increased slightly to 3.6x from 3.4x at the end of the prior quarter [10] - Operating expenses for the quarter were reported at $3.7 million [26] Q&A Session Summary Question: What does the business' earnings potential look like going forward if interest rates remain unchanged? - Management indicated that the MSR portfolio has become more stable, and they expect earnings to persist in the near term despite potential volatility in the MBS portfolio [29][30] Question: Are originators looking to sell more MSRs to compensate for reduced gain on sale spreads? - Management noted that flow deals have historically worked better for the company than bulk deals, and they expect to see more acquisition through flow versus bulk [39] Question: What are the normalized CPRs and multiples on MSRs in a higher rate environment? - Management stated that historically, buyers are at 4x and sellers at 5x for MSRs, and they believe CPRs could reach 10-12 if rates rise above 1.75% [44][45]

[FORM 10-Q](index=1&type=section&id=FORM%2010-Q) This report details Cherry Hill Mortgage Investment Corporation's financial performance and position for the quarter ended June 30, 2021 - Cherry Hill Mortgage Investment Corporation filed its Quarterly Report on Form 10-Q for the period ended June 30, 2021[1](index=1&type=chunk)[2](index=2&type=chunk) - The company's securities (Common Stock, Series A Preferred Stock, Series B Preferred Stock) are listed on the New York Stock Exchange under symbols CHMI, CHMI-PRA, and CHMI-PRB[2](index=2&type=chunk) [GLOSSARY](index=3&type=section&id=GLOSSARY) This section provides definitions for key industry-specific terms used throughout the Quarterly Report on Form 10-Q - The glossary defines key terms used in the Quarterly Report on Form 10-Q, including 'Agency RMBS', 'MSR', 'REIT', 'TBA', and 'TRS', to provide clarity on industry-specific terminology[6](index=6&type=chunk)[9](index=9&type=chunk)[10](index=10&type=chunk) [CAUTIONARY STATEMENT CONCERNING FORWARD-LOOKING INFORMATION](index=5&type=section&id=CAUTIONARY%20STATEMENT%20CONCERNING%20FORWARD-LOOKING%20INFORMATION) This statement highlights the inherent risks and uncertainties associated with forward-looking information presented in the report - The report contains forward-looking statements subject to substantial risks and uncertainties, many of which are difficult to predict and beyond the Company's control[13](index=13&type=chunk) - Key forward-looking subjects include investment objectives, capital raising, financing, leverage, market trends, and the impact of the COVID-19 pandemic[13](index=13&type=chunk)[15](index=15&type=chunk) [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 unaudited consolidated financial statements of Cherry Hill Mortgage Investment Corporation and its subsidiaries for the period ended June 30, 2021, including balance sheets, income statements, comprehensive income statements, changes in stockholders' equity, and cash flow statements, along with detailed notes [Consolidated Balance Sheets](index=7&type=section&id=Consolidated%20Balance%20Sheets) This statement provides a snapshot of the company's assets, liabilities, and equity as of June 30, 2021, and December 31, 2020 Consolidated Balance Sheets (Thousands) | Metric | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Total Assets | $1,334,756 | $1,593,488 | | Total Liabilities | $1,047,708 | $1,280,922 | | Total Stockholders' Equity | $287,048 | $312,566 | | RMBS, available-for-sale, at fair value | $998,799 | $1,228,251 | | Investments in Servicing Related Assets, at fair value | $211,995 | $174,414 | [Consolidated Statements of Income (Loss)](index=8&type=section&id=Consolidated%20Statements%20of%20Income%20(Loss)) This statement details the company's revenues, expenses, and net income or loss for the three and six months ended June 30, 2021 and 2020 Consolidated Statements of Income (Loss) (Thousands) - Three Months Ended | Metric | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | | :------------------------------------------------------- | :------------------------------- | :------------------------------- | | Net Income (Loss) | $(11,613) | $(12,683) | | Net Income (Loss) Applicable to Common Stockholders | $(13,838) | $(14,917) | | Basic EPS | $(0.81) | $(0.88) | | Diluted EPS | $(0.81) | $(0.88) | Consolidated Statements of Income (Loss) (Thousands) - Six Months Ended | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Net Income (Loss) | $9,615 | $(61,519) | | Net Income (Loss) Applicable to Common Stockholders | $4,493 | $(65,302) | | Basic EPS | $0.26 | $(3.90) | | Diluted EPS | $0.26 | $(3.90) | - Interest income for the six months ended June 30, 2021, **decreased to $13,070 thousand** from $30,381 thousand in the prior year[20](index=20&type=chunk) - Net servicing income for the six months ended June 30, 2021, **decreased to $20,134 thousand** from $25,117 thousand in the prior year[20](index=20&type=chunk) [Consolidated Statements of Comprehensive Income (Loss)](index=9&type=section&id=Consolidated%20Statements%20of%20Comprehensive%20Income%20(Loss)) This statement presents the net income or loss and other comprehensive income or loss for the three and six months ended June 30, 2021 and 2020 Consolidated Statements of Comprehensive Income (Loss) (Thousands) - Three Months Ended | Metric | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | | :------------------------------------------------------- | :------------------------------- | :------------------------------- | | Net income (loss) | $(11,613) | $(12,683) | | Other comprehensive income (loss) | $(2,004) | $15,786 | | Comprehensive income (loss) | $(13,617) | $3,103 | Consolidated Statements of Comprehensive Income (Loss) (Thousands) - Six Months Ended | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Net income (loss) | $9,615 | $(61,519) | | Other comprehensive income (loss) | $(21,353) | $8,155 | | Comprehensive income (loss) | $(11,738) | $(53,364) | [Consolidated Statements of Changes in Stockholders' Equity](index=10&type=section&id=Consolidated%20Statements%20of%20Changes%20in%20Stockholders'%20Equity) This statement outlines the changes in the company's equity accounts, including accumulated deficit and other comprehensive income, for the period Consolidated Statements of Changes in Stockholders' Equity (Thousands) | Metric | December 31, 2020 | June 30, 2021 | | :------------------------------------------------------- | :---------------- | :------------ | | Total Stockholders' Equity | $312,566 | $287,048 | | Accumulated Deficit | $(141,980) | $(146,719) | | Accumulated Other Comprehensive Income | $35,594 | $14,241 | - The company issued **20,214 shares of common stock** during the three months ended June 30, 2021, contributing **$52 thousand** to additional paid-in capital[24](index=24&type=chunk) [Consolidated Statements of Cash Flows](index=11&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) This statement summarizes the cash inflows and outflows from operating, investing, and financing activities for the six months ended June 30, 2021 and 2020 Consolidated Statements of Cash Flows (Thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Net cash provided by operating activities | $28,156 | $29,839 | | Net cash provided by investing activities | $158,547 | $1,010,213 | | Net cash used in financing activities | $(252,733) | $(1,003,916) | | Net Increase (Decrease) in Cash, Cash Equivalents and Restricted Cash | $(66,030) | $36,136 | | Cash, Cash Equivalents and Restricted Cash, End of Period | $64,188 | $127,844 | [Notes to Consolidated Financial Statements](index=12&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) This section provides detailed explanations and additional information supporting the consolidated financial statements [Note 1 — Organization and Operations](index=12&type=section&id=Note%201%20%E2%80%94%20Organization%20and%20Operations) This note describes the company's formation, investment focus, REIT election, and external management structure - The Company, Cherry Hill Mortgage Investment Corporation, was organized in Maryland on October 31, 2012, to invest in residential mortgage assets and has elected to be taxed as a **REIT since December 31, 2013**[28](index=28&type=chunk) - The Company is externally managed by Cherry Hill Mortgage Management, LLC (the 'Manager'), which has a Services Agreement with Freedom Mortgage Corporation[28](index=28&type=chunk) - Effective January 1, 2020, the Operating Partnership contributed assets to CHMI Sub-REIT, Inc., which also elected REIT taxation[28](index=28&type=chunk) [Note 2 — Basis of Presentation and Significant Accounting Policies](index=13&type=section&id=Note%202%20%E2%80%94%20Basis%20of%20Presentation%20and%20Significant%20Accounting%20Policies) This note outlines the accounting principles, estimates, and policies used in preparing the financial statements, including fair value measurements and risk exposures - Financial statements are prepared in accordance with U.S. GAAP, requiring significant estimates for fair value of MSRs, RMBS, and derivatives[30](index=30&type=chunk)[31](index=31&type=chunk) - The Company faces credit and market risks, including interest rate changes and prepayment speeds, and is subject to risks related to its REIT status[32](index=32&type=chunk) - RMBS are classified as available-for-sale and carried at fair value, with impairment recognized in earnings if sale is intended or likely[34](index=34&type=chunk) - MSRs are recorded at fair value, with changes recognized in net income; valuation includes unobservable market data inputs[36](index=36&type=chunk) Net Realized and Unrealized Gains (Losses) (Thousands) | Metric | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :------------------------------- | :------------------------------- | :----------------------------- | :----------------------------- | | Net realized gain (loss) on RMBS | $983 | $(1,769) | $3,077 | $(19,312) | | Realized gain (loss) on derivatives, net | $(10,139) | $4,558 | $(14,880) | $(14,198) | | Unrealized gain (loss) on derivatives, net | $3,548 | $(4,581) | $(4,511) | $47,619 | | Unrealized gain (loss) on investments in Servicing Related Assets | $(20,501) | $(17,025) | $1,963 | $(110,878) | | Total | $(26,080) | $(30,712) | $(14,317) | $(108,618) | - The Company is evaluating the effect of ASU 2020-04 (Reference Rate Reform) on its LIBOR-referenced debt facilities[48](index=48&type=chunk) [Note 3 — Segment Reporting](index=19&type=section&id=Note%203%20%E2%80%94%20Segment%20Reporting) This note provides financial information disaggregated by the company's operating segments: Servicing Related Assets, RMBS, and All Other - The Company operates in three segments: Servicing Related Assets, RMBS, and All Other[51](index=51&type=chunk) Segment Net Loss (Income) (Thousands) | Segment | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | | :------------------------------------------------------- | :------------------------------- | :----------------------------- | | Net Loss (Servicing Related Assets) | $(1,459) | $(603) | | Net Loss (RMBS) | $(7,325) | $15,888 | | Net Loss (All Other) | $(2,829) | $(5,670) | | Total Net Loss (Income) | $(11,613) | $9,615 | Segment Investments (Thousands) | Segment | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Investments (Servicing Related Assets) | $211,995 | $174,414 | | Investments (RMBS) | $998,799 | $1,228,251 | | Total Assets | $1,334,756 | $1,593,488 | [Note 4 — Investments in RMBS](index=21&type=section&id=Note%204%20%E2%80%94%20Investments%20in%20RMBS) This note details the company's residential mortgage-backed securities portfolio, including carrying value, yields, and collateral pledged - As of June 30, 2021, the Company's RMBS portfolio consists solely of **Agency RMBS**[53](index=53&type=chunk) RMBS Portfolio Summary (Thousands) | Metric | June 30, 2021 (Thousands) | December 31, 2020 (Thousands) | | :------------------------------------------------------- | :------------------------ | :---------------------------- | | Total Carrying Value | $998,799 | $1,228,251 | | Weighted Average Yield | 2.94% | 3.05% | | Number of Securities | 119 | 135 | - The Company pledged **$933.1 million** of Agency RMBS as collateral for repurchase agreements as of June 30, 2021, down from **$1,164.4 million** at December 31, 2020[61](index=61&type=chunk) - Unrealized losses on RMBS were primarily due to changes in market factors, not credit impairment, and management believes carrying values are recoverable[61](index=61&type=chunk) RMBS Unrealized Loss Positions (Thousands) | RMBS Unrealized Loss Positions | June 30, 2021 | | :------------------------------------------------------- | :------------ | | Original Face Value | $437,608 | | Book Value | $435,577 | | Gross Unrealized Losses | $(3,823) | | Carrying Value | $431,754 | | Number of Securities | 39 | | Weighted Average Yield | 2.60% | [Note 5 — Investments in Servicing Related Assets](index=24&type=section&id=Note%205%20%E2%80%94%20Investments%20in%20Servicing%20Related%20Assets) This note provides information on the company's mortgage servicing rights portfolio, including carrying value, unpaid principal balance, and geographic concentration - Aurora's portfolio of Servicing Related Assets consists of Fannie Mae and Freddie Mac MSRs with an aggregate UPB of approximately **$21.5 billion** as of June 30, 2021[64](index=64&type=chunk) Servicing Related Assets Portfolio Summary (Thousands) | Metric | June 30, 2021 (Thousands) | December 31, 2020 (Thousands) | | :------------------------------------------------------- | :------------------------ | :---------------------------- | | Carrying Value | $211,995 | $174,414 | | Unpaid Principal Balance | $21,523,383 | $21,641,277 | | Weighted Average Coupon | 3.63% | 3.92% | | Weighted Average Maturity (Years) | 26.4 | 26.3 | | Year-to-Date Changes in Fair Value Recorded in Other Income (Loss) | $1,963 | $(141,900) | MSR Geographic Concentration (June 30, 2021) | Geographic Concentration | Percentage of Total Outstanding Unpaid Principal Balance | | :------------------------------------------------------- | :------------------------------------------------------- | | California | 11.9% | | Virginia | 9.5% | | New York | 8.9% | | Maryland | 7.2% | | Texas | 6.1% | | North Carolina | 5.9% | | All other | 50.5% | | Total | 100.0% | [Note 6 — Equity and Earnings per Common Share](index=26&type=section&id=Note%206%20%E2%80%94%20Equity%20and%20Earnings%20per%20Common%20Share) This note details the company's capital structure, including common and preferred stock, share-based compensation, and earnings per share calculations - As of August 9, 2021, there were **17,113,450 outstanding shares of common stock**[2](index=2&type=chunk) - The Company has Series A and Series B Preferred Stock outstanding, which rank senior to common stock for dividends and liquidation[68](index=68&type=chunk)[69](index=69&type=chunk) - No shares were issued under the Common Stock ATM Program or Preferred Series A ATM Program during the three and six-month periods ended June 30, 2021[71](index=71&type=chunk)[72](index=72&type=chunk) - No common stock was repurchased under the share repurchase program during the three and six-month periods ended June 30, 2021[73](index=73&type=chunk) - Share-based compensation expense was **$333 thousand** for Q2 2021 and **$626 thousand** for the six months ended June 30, 2021[81](index=81&type=chunk) - Non-controlling interests in the Operating Partnership held **345,501 LTIP-OP Units**, representing approximately **2.02% of units**, as of June 30, 2021[82](index=82&type=chunk) Net Income (Loss) and EPS (Thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Net income (loss) applicable to common stockholders | $4,493 | $(65,302) | | Basic EPS | $0.26 | $(3.90) | | Diluted EPS | $0.26 | $(3.90) | [Note 7 — Transactions with Related Parties](index=31&type=section&id=Note%207%20%E2%80%94%20Transactions%20with%20Related%20Parties) This note describes agreements and transactions with related entities, including management fees and subservicing arrangements - The Company has a Management Agreement with Cherry Hill Mortgage Management, LLC, which expires on October 22, 2021, with automatic one-year renewals, and pays a management fee of **1.5% per annum of stockholders' equity**[86](index=86&type=chunk) Related Party Fees (Thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Management fees | $3,410 | $3,463 | | Compensation reimbursement | $500 | $476 | | Total | $3,910 | $3,939 | - Aurora has subservicing agreements with Freedom Mortgage and RoundPoint Mortgage Servicing Corporation (a wholly-owned subsidiary of Freedom Mortgage since August 2020)[89](index=89&type=chunk) Loans Refinanced by RoundPoint (Thousands) | Loans Refinanced by RoundPoint | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Number of loans refinanced | 4,926 | 1,443 | | Aggregate unpaid principal balance | $1,240,012 | $377,764 | - Aurora sold its Ginnie Mae MSRs to Freedom Mortgage for approximately **$15.8 million** in June 2020, resulting in a realized loss of **$11.3 million**[93](index=93&type=chunk) [Note 8 — Derivative Instruments](index=34&type=section&id=Note%208%20%E2%80%94%20Derivative%20Instruments) This note outlines the company's use of derivative instruments to manage interest rate and duration risk, including their notional amounts and fair value changes - The Company uses interest rate swaps, swaptions, TBAs, and U.S. Treasury futures to mitigate interest rate and duration risk[94](index=94&type=chunk) Derivative Notional Amounts (Thousands) | Derivative | June 30, 2021 Notional Amount | December 31, 2020 Notional Amount | | :------------------------------------------------------- | :---------------------------- | :------------------------------ | | Interest rate swaps | $1,427,500 | $1,451,900 | | Swaptions | $70,000 | $70,000 | | TBAs, net | $352,900 | $332,000 | | Treasury futures | $67,000 | $110,000 | | Options on treasury futures | $30,000 | $0 | | Total notional amount | $1,947,400 | $1,963,900 | Realized and Unrealized Gains (Losses) on Derivatives (Thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Realized gain (loss) on derivatives, net | $(14,880) | $(14,198) | | Unrealized gain (loss) on derivatives, net | $(4,511) | $47,619 | - The Company presents interest rate swaps, swaptions, and U.S. Treasury futures assets and liabilities on a gross basis, net of variation margin for swaps, while TBA assets and liabilities are presented on a net basis[100](index=100&type=chunk) [Note 9 – Fair Value](index=38&type=section&id=Note%209%20%E2%80%93%20Fair%20Value) This note explains the fair value hierarchy and methodologies used for valuing financial instruments, particularly MSRs and RMBS - Fair value measurements are categorized into a three-level hierarchy: Level 1 (quoted prices in active markets), Level 2 (observable inputs), and Level 3 (unobservable inputs)[105](index=105&type=chunk) - RMBS and derivative instruments are classified as **Level 2** fair value assets/liabilities, while MSRs are classified as **Level 3**[107](index=107&type=chunk)[109](index=109&type=chunk)[110](index=110&type=chunk) - MSRs are valued using discounted cash flow models, relying on unobservable inputs such as prepayment speeds, delinquency levels, costs to service, and discount rates[109](index=109&type=chunk) Level 3 MSRs (Thousands) | Level 3 MSRs | June 30, 2021 | | :------------------------------------------------------- | :------------ | | Balance at December 31, 2020 | $174,414 | | Purchases, sales and principal paydowns | $35,618 | | Changes in Fair Value due to valuation inputs or assumptions | $47,201 | | Other changes in fair value | $(45,238) | | Unrealized gain (loss) included in Net Income | $1,963 | | Balance at June 30, 2021 | $211,995 | MSR Unobservable Input (June 30, 2021) | MSR Unobservable Input | Range | Weighted Average | | :------------------------------------------------------- | :---- | :--------------- | | Constant prepayment speed | 6.9% - 25.0% | 12.7% | | Uncollected payments | 0.3% - 2.5% | 0.7% | | Discount rate | N/A | 7.0% | | Annual cost to service, per loan | N/A | $76 | [Note 10 — Commitments and Contingencies](index=43&type=section&id=Note%2010%20%E2%80%94%20Commitments%20and%20Contingencies) This note discloses the company's contractual obligations, potential legal claims, and other contingent liabilities - The Company has ongoing commitments under its Management Agreement, including management fees[127](index=127&type=chunk) - The Company is subject to potential legal and regulatory claims in the ordinary course of business, with immaterial reserves established[128](index=128&type=chunk) - As of June 30, 2021, and December 31, 2020, the Company had no outstanding commitments to purchase or sell RMBS securities[129](index=129&type=chunk) - Acknowledgment agreements are in place with Fannie Mae and Freddie Mac related to MSR financing facilities[131](index=131&type=chunk) [Note 11 – Repurchase Agreements](index=44&type=section&id=Note%2011%20%E2%80%93%20Repurchase%20Agreements) This note details the company's outstanding borrowings under repurchase agreements, including their terms and rates Repurchase Agreements (Thousands) | Metric | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Outstanding Borrowings | $897,047 | $1,149,978 | | Weighted Average Remaining Maturities | 41 days | 28 days | | Weighted Average Rate | 0.11% | 0.23% | [Note 12 – Notes Payable](index=45&type=section&id=Note%2012%20%E2%80%93%20Notes%20Payable) This note provides information on the company's MSR financing facilities, including outstanding balances and maturity details Notes Payable (Thousands) | Metric | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | MSR Revolver Borrowings | $63,000 | $47,500 | | Fannie Mae MSR Financing Facility Borrowings | $72,000 | $64,000 | | Total Notes Payable | $135,000 | $111,500 | - The MSR Revolver was extended for an additional **364 days** in July 2021[133](index=133&type=chunk) - Aurora is negotiating a replacement facility for the Fannie Mae MSR Financing Facility, which is expected to close before its September 2021 expiration[133](index=133&type=chunk) [Note 13 – Receivables and Other Assets](index=46&type=section&id=Note%2013%20%E2%80%93%20Receivables%20and%20Other%20Assets) This note itemizes the company's various receivables and other assets, such as servicing advances and deferred tax assets Receivables and Other Assets (Thousands) | Metric | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Servicing advances | $14,589 | $18,253 | | Interest receivable | $2,476 | $3,119 | | Deferred tax receivable | $19,762 | $21,523 | | Other receivables | $5,301 | $1,740 | | Total other assets | $42,128 | $44,635 | [Note 14 – Accrued Expenses and Other Liabilities](index=46&type=section&id=Note%2014%20%E2%80%93%20Accrued%20Expenses%20and%20Other%20Liabilities) This note details the company's short-term obligations, including accrued interest and other operating expenses Accrued Expenses and Other Liabilities (Thousands) | Metric | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Accrued interest payable | $723 | $1,008 | | Accrued expenses | $2,765 | $2,737 | | Total accrued expenses and other liabilities | $3,488 | $3,745 | [Note 15 – Income Taxes](index=47&type=section&id=Note%2015%20%E2%80%93%20Income%20Taxes) This note explains the company's REIT tax status and the income tax provisions for its taxable REIT subsidiaries - As a REIT, the Company generally avoids U.S. federal income tax by distributing at least **90% of its taxable income annually**[138](index=138&type=chunk) - Its taxable REIT subsidiaries, CHMI Solutions and Aurora, are subject to federal and state income taxes[138](index=138&type=chunk) Income Tax Information (Thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Provision for (benefit from) Corporate Business Taxes | $1,633 | $(15,432) | | Deferred tax assets | $19,762 | $21,523 | - The Company's net operating losses (NOLs) created after 2017 can be carried forward indefinitely[140](index=140&type=chunk) [Note 16 – Subsequent Events](index=48&type=section&id=Note%2016%20%E2%80%93%20Subsequent%20Events) This note reports on events occurring after the balance sheet date that may require disclosure or adjustment - No additional events requiring disclosure were identified subsequent to June 30, 2021[141](index=141&type=chunk) [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=49&type=section&id=Item%202.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) This section provides management's perspective on the company's financial condition, results of operations, and liquidity for the period ended June 30, 2021. It covers business strategy, recent developments, factors impacting performance, critical accounting policies, and a detailed analysis of financial results and capital resources [General](index=49&type=section&id=General) This section provides an overview of the company's business, investment objectives, and REIT qualification - Cherry Hill Mortgage Investment Corporation is a residential real estate finance company focused on acquiring, investing in, and managing Servicing Related Assets and residential mortgage-backed securities (RMBS)[142](index=142&type=chunk) - The Company's principal objective is to generate attractive current yields and risk-adjusted total returns for stockholders, primarily through dividend distributions[142](index=142&type=chunk) - The Company maintains its REIT qualification and utilizes derivative financial instruments to hedge interest rate risk[142](index=142&type=chunk) - The Sub-REIT, a wholly-owned subsidiary of the Operating Partnership, elected to be taxed as a REIT commencing **December 31, 2020**[144](index=144&type=chunk) [Recent Developments](index=51&type=section&id=Recent%20Developments) This section discusses the impact of the COVID-19 pandemic on the company's operations and its liquidity management strategies - The COVID-19 pandemic continues to cause substantial uncertainty, with extended forbearance programs and foreclosure prohibitions[147](index=147&type=chunk) - As of June 30, 2021, **3.0% of MSR borrowers** were in active forbearance, with **6.8% of those continuing to make payments**[147](index=147&type=chunk) - The Company maintains an elevated level of unrestricted cash due to ongoing economic uncertainty[147](index=147&type=chunk) [Factors Impacting our Operating Results](index=51&type=section&id=Factors%20Impacting%20our%20Operating%20Results) This section analyzes key drivers of operating income, including net interest spread, interest rates, prepayment speeds, and credit quality - Operating income is primarily driven by the net spread between asset income and financing/hedging costs, and the amortization/accretion of premiums/discounts[148](index=148&type=chunk) Average Net Interest Rate Spread | Quarter Ended | Average Asset Yield | Average Cost of Funds | Average Net Interest Rate Spread | | :------------------------------------------------------- | :------------------ | :-------------------- | :------------------------------- | | June 30, 2021 | 2.94% | 0.62% | 2.32% | | March 31, 2021 | 3.04% | 0.53% | 2.52% | | December 31, 2020 | 3.05% | 0.59% | 2.46% | | September 30, 2020 | 3.17% | 0.63% | 2.54% | - Changes in interest rates, prepayment speeds, and credit quality significantly affect asset values and income[148](index=148&type=chunk)[151](index=151&type=chunk)[153](index=153&type=chunk) - The Company uses recapture agreements with subservicers to mitigate prepayment risk on MSRs[153](index=153&type=chunk) - Wider spreads can increase income on new assets but may negatively impact book value and asset prices, potentially requiring additional collateral[154](index=154&type=chunk) [Critical Accounting Policies and Use of Estimates](index=54&type=section&id=Critical%20Accounting%20Policies%20and%20Use%20of%20Estimates) This section highlights the significant judgments and estimates involved in preparing financial statements, particularly for fair value measurements - Financial statements are prepared in accordance with US GAAP, requiring significant judgment and estimates, particularly for fair value measurements[157](index=157&type=chunk) - RMBS are classified as available-for-sale and evaluated quarterly for impairment, with credit losses recognized in earnings[158](index=158&type=chunk) - MSRs are recorded at fair value, with changes recognized in net income, using internally developed models that incorporate both observable and unobservable market data inputs[162](index=162&type=chunk) - Repurchase transactions are treated as collateralized financing, with interest recorded as an expense[165](index=165&type=chunk) [Results of Operations](index=57&type=section&id=Results%20of%20Operations) This section provides a detailed analysis of the company's financial performance, including net income, interest income, and expenses Results of Operations (Thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Net Income (Loss) | $9,615 | $(61,519) | | Interest income | $13,070 | $30,381 | | Interest expense | $561 | $15,716 | | Net interest income | $12,509 | $14,665 | | Net servicing income | $20,134 | $25,117 | | Total Income (Loss) | $18,326 | $(68,836) | | Total Expenses | $7,078 | $8,115 | | Net Income (Loss) Applicable to Common Stockholders | $4,493 | $(65,302) | [Segment Summary Data](index=58&type=section&id=Segment%20Summary%20Data) This section presents a summary of financial results and investment balances across the company's operating segments Segment Net Loss (Income) (Thousands) | Segment | Three Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | | :------------------------------------------------------- | :------------------------------- | :----------------------------- | | Net Loss (Servicing Related Assets) | $(1,459) | $(603) | | Net Loss (RMBS) | $(7,325) | $15,888 | | Net Loss (All Other) | $(2,829) | $(5,670) | | Total Net Loss (Income) | $(11,613) | $9,615 | Segment Investments (Thousands) | Segment | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Investments (Servicing Related Assets) | $211,995 | $174,414 | | Investments (RMBS) | $998,799 | $1,228,251 | | Total Assets | $1,334,756 | $1,593,488 | [Interest income](index=60&type=section&id=Interest%20income) This section analyzes the changes in interest income, primarily influenced by the RMBS portfolio size and yields - Interest income for the six-month period ended June 30, 2021, was **$13.1 million**, a **$17.3 million decrease** from $30.4 million in the prior year, primarily due to the sale of RMBS in 2020[173](index=173&type=chunk) [Interest Expense](index=60&type=section&id=Interest%20Expense) This section examines the fluctuations in interest expense, driven by repurchase agreement borrowings and prevailing interest rates - Interest expense for the six-month period ended June 30, 2021, was **$0.6 million**, a **$15.2 million decrease** from $15.7 million in the prior year, due to fewer repurchase agreement borrowings and lower rates[174](index=174&type=chunk) [Change in Fair Value of Investments in Servicing Related Assets](index=60&type=section&id=Change%20in%20Fair%20Value%20of%20Investments%20in%20Servicing%20Related%20Assets) This section discusses the changes in the fair value of Servicing Related Assets, primarily due to shifts in valuation assumptions - The fair value of Servicing Related Assets **increased by approximately $2.0 million** for the six-month period ended June 30, 2021, compared to a decrease of $110.9 million in the prior year, mainly due to changes in valuation assumptions[175](index=175&type=chunk) [Change in Fair Value of Derivatives](index=60&type=section&id=Change%20in%20Fair%20Value%20of%20Derivatives) This section analyzes the changes in the fair value of derivative instruments, reflecting movements in interest rates and portfolio composition - The fair value of derivatives **decreased by approximately $4.5 million** for the six-month period ended June 30, 2021, compared to an increase of $47.6 million in the prior year, reflecting changes in interest rates and derivative composition[176](index=176&type=chunk) [General and Administrative Expense](index=60&type=section&id=General%20and%20Administrative%20Expense) This section reviews the changes in general and administrative expenses, primarily influenced by professional fees - General and administrative expense **decreased by approximately $1.0 million** for the six-month period ended June 30, 2021, primarily due to lower professional fees related to 2020 market disruptions[177](index=177&type=chunk) [Management Fees to Manager](index=61&type=section&id=Management%20Fees%20to%20Manager) This section details the management fees paid to the external manager, reflecting the contractual agreement - Management fees for the six-month period ended June 30, 2021, decreased slightly by **$29 thousand** compared to the prior year, totaling **$3.91 million**[179](index=179&type=chunk) [Net Income Allocated to Noncontrolling Interests in Operating Partnership](index=61&type=section&id=Net%20Income%20Allocated%20to%20Noncontrolling%20Interests%20in%20Operating%20Partnership) This section explains the allocation of net income or loss to noncontrolling interests, primarily related to LTIP-OP Units - Net income allocated to noncontrolling interests for the six-month period ended June 30, 2021, was a **loss of $(194) thousand**, compared to income of $1,137 thousand in the prior year, due to the issuance of LTIP-OP Units[179](index=179&type=chunk) [Accumulated Other Comprehensive Income (Loss)](index=61&type=section&id=Accumulated%20Other%20Comprehensive%20Income%20(Loss)) This section analyzes the changes in accumulated other comprehensive income or loss, mainly driven by unrealized gains or losses on RMBS - Accumulated other comprehensive income (loss) **decreased from $35,594 thousand** at December 31, 2020, to **$14,241 thousand** at June 30, 2021[179](index=179&type=chunk) - A net unrealized loss of approximately **$21.4 million** on RMBS was recorded in accumulated other comprehensive income (loss) for the six-month period ended June 30, 2021, driven by a **52 basis point increase** in the 10-Year U.S. Treasury rate and credit spread widening[180](index=180&type=chunk) [Non-GAAP Financial Measures](index=62&type=section&id=Non-GAAP%20Financial%20Measures) This section defines and presents non-GAAP financial measures, such as core earnings, to provide additional insights into performance - Core earnings is a non-GAAP financial measure, defined as GAAP net income (loss) excluding realized/unrealized gains/losses on RMBS, MSRs, derivatives, and acquired assets, adjusted for LTIP-OP Units and preferred dividends[181](index=181&type=chunk) Core Earnings (Thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :------------------------------------------------------- | :----------------------------- | :----------------------------- | | Total core earnings | $13,457 | $20,952 | | Core Earnings Attributable to Common Stockholders | $8,257 | $15,645 | | Core Earnings Attributable to Common Stockholders, per Diluted Share | $0.48 | $0.93 | - Core earnings **decreased by approximately $7.4 million** or **$0.45 per average common share** for the six-month period ended June 30, 2021, primarily due to a decrease in the size of the RMBS portfolio[182](index=182&type=chunk) [Our Portfolio](index=63&type=section&id=Our%20Portfolio) This section provides an overview of the company's MSR and RMBS portfolios, including key metrics like UPB, coupons, and yields - Aurora's MSR portfolio had an aggregate UPB of approximately **$21.5 billion** as of June 30, 2021, with a weighted average coupon of **3.63%** and a weighted average maturity of **317 months**[184](index=184&type=chunk)[185](index=185&type=chunk) - The RMBS portfolio had a total carrying value of **$998.8 million** as of June 30, 2021, with a weighted average coupon of **3.07%** and a weighted average yield of **2.94%**[188](index=188&type=chunk) Net Interest Spread (RMBS) | Net Interest Spread (RMBS) | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Weighted Average Asset Yield | 2.89% | 2.49% | | Weighted Average Interest Expense | 0.57% | 0.71% | | Net Interest Spread | 2.32% | 1.78% | [Liquidity and Capital Resources](index=65&type=section&id=Liquidity%20and%20Capital%20Resources) This section discusses the company's sources of liquidity, financing arrangements, cash flow activities, and contractual obligations - Primary liquidity sources include cash from operations, RMBS sales/repayments, and borrowings under repurchase agreements and MSR financing arrangements[191](index=191&type=chunk) - The Company maintains an elevated level of unrestricted cash due to economic uncertainty, with plans to invest more in targeted assets as the economy reopens[191](index=191&type=chunk) Repurchase Agreements (Thousands) | Repurchase Agreements | June 30, 2021 | December 31, 2020 | | :------------------------------------------------------- | :------------ | :---------------- | | Outstanding Borrowings | $897,047 | $1,149,978 | | Weighted Average Haircut | 4.8% | 5.0% | | Weighted Average Term to Maturity | 41 days | 28 days | - MSR financing includes a **$63.0 million MSR Revolver** and a **$72.0 million Fannie Mae MSR Financing Facility** outstanding as of June 30, 2021[199](index=199&type=chunk)[201](index=201&type=chunk) - Operating activities provided **$28.2 million** and investing activities provided **$158.5 million** in cash for the six-month period ended June 30, 2021[202](index=202&type=chunk) - The Company had no off-balance sheet arrangements as of June 30, 2021[206](index=206&type=chunk) Contractual Obligations (Thousands) | Contractual Obligation | Less than 1 year | 1 to 3 years | Total | | :------------------------------------------------------- | :--------------- | :----------- | :---- | | Repurchase agreements (borrowings) | $897,047 | $0 | $897,047 | | Interest on repurchase agreements | $70 | $0 | $70 | | MSR Revolver (borrowings) | $0 | $63,000 | $63,000 | | Interest on MSR Revolver | $2,114 | $150 | $2,264 | | Fannie Mae MSR Financing Facility (borrowings) | $72,000 | $0 | $72,000 | | Interest on Fannie Mae MSR Financing Facility | $875 | $0 | $875 | - The subservicing agreement with Freedom Mortgage for Ginnie Mae loans will terminate upon rehabilitation or liquidation of the loans[213](index=213&type=chunk) - RoundPoint refinanced **4,926 loans** with an aggregate unpaid principal balance of **$1,240,012 thousand** for the six months ended June 30, 2021, under a recapture agreement[217](index=217&type=chunk) [Item 3. Quantitative and Qualitative Disclosures about Market Risk](index=73&type=section&id=Item%203.%20Quantitative%20and%20Qualitative%20Disclosures%20about%20Market%20Risk) This section details the company's exposure to various market risks, including interest rate risk, prepayment risk, counterparty risk, funding risk, liquidity risk, and credit risk, and outlines strategies used to manage these risks [Interest Rate Risk](index=73&type=section&id=Interest%20Rate%20Risk) This section describes the company's exposure to interest rate fluctuations and the use of hedging instruments to mitigate this risk - The Company is exposed to interest rate risk due to its assets and financing obligations, with MSR values being highly sensitive to interest rate changes[220](index=220&type=chunk) - Hedging instruments, such as interest rate swap agreements and U.S. Treasury futures, are used to mitigate interest rate and financing pricing risk[220](index=220&type=chunk) [Interest Rate Effect on Net Interest Income](index=73&type=section&id=Interest%20Rate%20Effect%20on%20Net%20Interest%20Income) This section explains how changes in interest rates impact net interest spread, asset values, and hedging effectiveness - Rising interest rates generally increase borrowing costs faster than yields on fixed-rate RMBS, potentially reducing net interest spread and negatively impacting RMBS market value[221](index=221&type=chunk) - Decreasing interest rates can negatively impact the market value of Servicing Related Assets[221](index=221&type=chunk) - Hedging effectiveness can be reduced if prepayment speeds differ from assumptions[221](index=221&type=chunk) [Interest Rate Cap Risk](index=73&type=section&id=Interest%20Rate%20Cap%20Risk) This section addresses the risk that adjustable-rate RMBS may behave like fixed-rate securities if interest rates exceed cap levels - Adjustable-rate RMBS may behave like fixed-rate securities if interest rates rise above cap levels, potentially deferring interest and reducing cash income[222](index=222&type=chunk) [Prepayment Risk; Extension Risk](index=73&type=section&id=Prepayment%20Risk%3B%20Extension%20Risk) This section details how prepayment speeds and extension risk affect the life and yield of investments, particularly MSRs and RMBS - Prepayment speeds significantly affect the life and yield of investments, particularly MSRs, where faster prepayments can reduce fair value[223](index=223&type=chunk)[225](index=225&type=chunk) MSR Fair Value Changes (Thousands) | MSR Fair Value Changes | Estimated FV (June 30, 2021) | Change in FV | | :------------------------------------------------------- | :--------------------------- | :----------- | | Discount Rate Shift -20% | $225,827 | $13,832 | | Discount Rate Shift +20% | $199,667 | $(12,328) | | Voluntary Prepayment Rate Shift -20% | $241,234 | $29,239 | | Voluntary Prepayment Rate Shift +20% | $187,623 | $(24,372) | | Servicing Cost Shift -20% | $218,673 | $6,678 | | Servicing Cost Shift +20% | $205,317 | $(6,678) | RMBS Fair Value Changes (June 30, 2021, net of swaps) | RMBS Fair Value Changes | RMBS Total Return (%) | RMBS Dollar Return (Thousands) | | :------------------------------------------------------- | :-------------------- | :----------------------------- | | +25 Bps Interest Rate Shift | (0.11)% | $(1,565) | | +150 Bps Interest Rate Shift | (2.50)% | $(34,539) | [Counterparty Risk](index=75&type=section&id=Counterparty%20Risk) This section discusses the risks associated with counterparty defaults in repurchase agreements and the performance of sub-servicers - In repurchase transactions, the Company faces a risk of loss equal to the haircut if a lender defaults; exposure to any counterparty did not exceed **5% of equity** as of June 30, 2021[227](index=227&type=chunk) - Credit risk for interest rate swaps and U.S. Treasury futures is mitigated by exchange clearing[227](index=227&type=chunk) - MSR investments are dependent on the performance of sub-servicers and the ability of sellers to remedy breaches of representations and warranties[230](index=230&type=chunk) [Funding Risk](index=76&type=section&id=Funding%20Risk) This section outlines the risks related to the availability and cost of financing for the company's assets - The Company relies on repurchase agreements for RMBS and bank loans for MSRs, and weakness in financial markets could increase financing costs or reduce availability[231](index=231&type=chunk) [Liquidity Risk](index=76&type=section&id=Liquidity%20Risk) This section addresses the potential difficulty in quickly selling less liquid assets like Servicing Related Assets - Servicing Related Assets and other potential portfolio assets are not publicly traded, leading to lower liquidity and potential difficulty in selling them quickly[232](index=232&type=chunk) [Credit Risk](index=76&type=section&id=Credit%20Risk) This section describes the credit risk exposure from underlying borrowers in MSRs and CMOs, despite low risk in Agency RMBS - While Agency RMBS have relatively low credit risk, investments in MSRs and CMOs expose the Company to the credit risk of underlying borrowers[233](index=233&type=chunk) [Item 4. Controls and Procedures](index=77&type=section&id=Item%204.%20Controls%20and%20Procedures) The company's President and CEO and CFO evaluated the effectiveness of disclosure controls and procedures as of June 30, 2021, concluding they are effective. No material changes in internal control over financial reporting occurred during the quarter [Disclosure Controls and Procedures.](index=77&type=section&id=Disclosure%20Controls%20and%20Procedures.) This section confirms the effectiveness of the company's disclosure controls and procedures as evaluated by executive officers - The Company's disclosure controls and procedures were evaluated by the President and CEO and CFO and deemed **effective** as of June 30, 2021[235](index=235&type=chunk) [Changes in Internal Control Over Financial Reporting.](index=77&type=section&id=Changes%20in%20Internal%20Control%20Over%20Financial%20Reporting.) This section states that no material changes occurred in the company's internal control over financial reporting during the quarter - There were no material changes in the Company's internal control over financial reporting during the most recently completed fiscal quarter[235](index=235&type=chunk) [PART II. OTHER INFORMATION](index=78&type=section&id=PART%20II.%20OTHER%20INFORMATION) [Item 1. Legal Proceedings](index=78&type=section&id=Item%201.%20Legal%20Proceedings) The company is not aware of any material legal or regulatory claims or proceedings as of June 30, 2021 - As of June 30, 2021, the Company is not aware of any material legal or regulatory claims or proceedings[238](index=238&type=chunk) [Item 1A. Risk Factors](index=78&type=section&id=Item%201A.%20Risk%20Factors) This section states that there are no new material risk factors for the current quarter, referring to the Annual Report on Form 10-K for the year ended December 31, 2020 for a comprehensive discussion of risks - No new material risk factors were identified for the current quarter[238](index=238&type=chunk) [Item 2. Unregistered Sales of Equity Securities and Use of Proceeds](index=78&type=section&id=Item%202.%20Unregistered%20Sales%20of%20Equity%20Securities%20and%20Use%20of%20Proceeds) No unregistered sales of equity securities or use of proceeds to report for the period - There were no unregistered sales of equity securities or use of proceeds to report[238](index=238&type=chunk) [Item 3. Defaults Upon Senior Securities](index=78&type=section&id=Item%203.%20Defaults%20Upon%20Senior%20Securities) No defaults upon senior securities to report for the period - There were no defaults upon senior securities to report[238](index=238&type=chunk) [Item 4. Mine Safety Disclosures](index=78&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) This section is not applicable to the company's operations - Mine Safety Disclosures are not applicable to the Company[238](index=238&type=chunk) [Item 5. Other Information](index=78&type=section&id=Item%205.%20Other%20Information) No other information to report for the period - No other information was required to be reported[238](index=238&type=chunk) [Item 6. Exhibits](index=79&type=section&id=Item%206.%20Exhibits) This section lists the exhibits filed with the Form 10-Q, including certifications from executive officers and XBRL-related documents - Exhibits include certifications from the Principal Executive Officer and Principal Financial Officer (31.1, 31.2, 32.1, 32.2)[240](index=240&type=chunk) - XBRL-related documents (Instance Document, Taxonomy Extension Schema, Calculation Linkbase, Definition Linkbase, Label Linkbase, Presentation Linkbase, and Cover Page Interactive Data File) are also filed[240](index=240&type=chunk) [SIGNATURES](index=80&type=section&id=SIGNATURES) This section provides the official signatures of the company's executive officers, certifying the accuracy of the report - The report was signed on **August 9, 2021**, by Jeffrey Lown II, President and Chief Executive Officer, and Michael Hutchby, Chief Financial Officer, Treasurer and Secretary[243](index=243&type=chunk)

Investor Presentation First 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 current‐to‐maturity IRR, potential discount rates, pot ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q1 2021 Earnings Conference Call May 10, 2021 5:00 PM ET Company Participants Rory Rumore - Vice President, ICR Jay Lown - President & Chief Executive Officer Julian Evans - Chief Investment Officer Michael Hutchby - Chief Financial Officer Conference Call Participants Mikhail Goberman - JMP Securities Operator Greetings and welcome to Cherry Hill Mortgage Investment Corporation First Quarter 2021 Earnings Call. At this time, all participants are in a ...

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, 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) Maryla ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 CHMI CHMI-PRA New York Stock Exchange New York Stock Exchange 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, $0.01 par value CHMI-PRB New York Stock Exchange 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, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transiti ...

Investor Presentation Fourth Quarter 2020 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 IRR, potential discount rates, po ...

Cherry Hill Mortgage Investment Corporation (NYSE:CHMI) Q4 2020 Earnings Conference Call March 9, 2021 5:00 PM ET Company Participants Rory Rumore - Vice President, ICR Jay Lown - President and Chief Executive Officer Michael Hutchby - Chief Financial Officer Julian Evans - Chief Investment Officer Conference Call Participants Kevin Barker - Piper Sandler Henry Coffey - Wedbush Steve Delaney - JMP Securities Eric Hagen - BTIG Operator Greetings and welcome to the Cherry Hill Mortgage Investment Corporation ...

Investor Presentation Third Quarter 2020 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 IRR, potential discount rates, pot ...