Cherry Hill Mortgage Investment (CHMI) - 2020 Q2 - Quarterly Report

Fair Value and Portfolio Performance - The Company reported a fair value of $1,496,084,000 for its RMBS portfolio as of June 30, 2020[387]. - As of December 31, 2019, the RMBS portfolio was valued at $2,651,237,000[389]. - The RMBS total return was reported at (0.23)% for the period, with dollar returns of $(6,210) for the same[389]. - A 20% decrease in the discount rate could lead to a fair value increase of $9,721,000[381]. Interest Rate Risk - A 25 basis point increase in interest rates is expected to result in a total return of 0.23% on the RMBS portfolio[387]. - The estimated fair value change for a 50 basis point increase in interest rates is projected to be $5,250,000[387]. - The Company anticipates a decline in net interest spread and net interest margin during periods of rising interest rates[377]. - The fair value of servicing related assets is highly sensitive to interest rate changes, with a potential decrease in value if rates decline[376]. - The Company expects to utilize additional MSR financing and various funding arrangements to manage interest rate risk[376]. - The Company may use hedging instruments to mitigate interest rate risk, including interest rate swap agreements and treasury futures[376]. Credit Risk and Asset Quality - The Company is subject to risks related to the credit quality of its assets and changes in interest rates, which could materially affect its financial condition[375]. - The company anticipates low credit risk with its Agency RMBS portfolio, but acknowledges potential credit risk from investments in CMOs and MSRs[397]. Liquidity and Financing - The liquidity risk associated with servicing related assets may hinder the ability to sell such assets in response to economic changes[395]. - The company expects to continue financing RMBS with repurchase agreements and MSRs with bank loans secured by those MSRs[394]. - The company's exposure to counterparties under repurchase agreements did not exceed 5% of the company's equity as of June 30, 2020[391]. Internal Controls and Reporting - There have been no changes in the company's internal control over financial reporting that materially affected its effectiveness during the last fiscal quarter[400]. - The company's disclosure controls and procedures are deemed effective as of the end of the reporting period[399].