Cherry Hill Mortgage Investment Corporation Q1 FY2025 earnings call

• First quarter 2025 was volatile with rates pushed lower in March then spiked on tariff fears. GAAP net loss applicable to common stockholders was $0.29 per diluted share. Book value per common share was $3.58 vs $3.82 at end of December. • Completed first full quarter as internally managed mortgage REIT, operating expenses declined due to elimination of management fee. • Monitoring macro environment and tariff situation closely, stressing portfolio for scenarios, planning to deploy capital into Agency RMBS and select MSRs while maintaining liquidity and prudent leverage.

The MSR portfolio at quarter-end had a UPB of $17 billion and a market value of approximately $227 million. The MSR and related net assets represented approximately 44% of equity capital and approximately 24% of investable assets excluding cash. The RMBS portfolio accounted for approximately 39% of equity capital and 76% of investable assets excluding cash. Prepayment speeds for MSR and RMBS portfolios remained relatively steady despite rate changes in the first quarter.

• EAD expected to be lower going forward as larger hedge matured and will no longer contribute income. • Monitoring macro environment and tariff deadline closely, planning to deploy capital into Agency RMBS and select MSRs with strong risk-adjusted return profiles.

• Uncertainty from global political agendas and domestic economic data causing rate volatility. • Fears of broader economic recession and stagflation due to tariff announcements. • Volatility likely to continue until macro policy certainty is achieved.

Q: What would it take to allocate more to the RMBS portfolio?

A: Primarily, selling a portion of the MSR in favor of MBS as they have been reinvesting income/amortization into MBS.

Q: View on GSE reform being priced into the market?

A: Too early to tell, market hasn't priced in detailed plans on GSE reform and government guarantee.

Q: Book value update quarter-to-date in 2Q?

A: NAV down about 3.7% at end of April, with book value per share around 7% before Q2 dividend approval.

Q: Swap portfolio roll-off in 1Q and when remaining 15 million notional rolls off?

A: About 250 million payer swaps rolled off in 1Q, remaining 15 million notional in less than one year bucket is about 0.9 years left and rolls off in first half of 2026.

Q: Effect of Rocket Cooper deal on MSR pricing and supply?

A: Volumes have been lower, buying impact won't be substantially different than before, no substantial changes in pricing dynamics seen yet.

Q: How much of EAD in 1Q was due to internalization expenses?

A: About $0.02 in first quarter from G&A savings due to internalization.

Q: Reason EAD expected to trend lower going forward?

A: Due to large swaps that matured in mid-March and no longer contribute income.