Thank you for standing by. My name is Cheryl, and I will be your conference operator today. At this time, I would like to welcome everyone to the Cherry Hill Mortgage Investment Corporation Q2 2022 Conference Call. All lines have been placed on mute to prevent any background noise. After the speaker's remarks, there will be a question- and- answer session. If you would like to ask a question during this time, simply press Star followed by the number 1 on your telephone keypad. If you would like to withdraw your question, again, press Star 1. Thank you. Garrett Edson, you may begin your conference. We'd like to thank you for joining us today for Cherry Hill Mortgage Investment Corporation's Q2 2022 Conference Call. In addition to this call, we have filed a press release that was distributed earlier this afternoon and posted to the Investor Relations section of our website at www.chmireit.com. On today's call, management's prepared remarks and answers to your questions may contain forward-looking statements that are subject to risks and uncertainties that could cause actual results to differ from those discussed today. Examples of forward-looking statements include those related to interest income, financial guidance, IRR, future expected cash flows, as well as prepayment and recapture rates, delinquencies and non-GAAP financial measures such as earnings available for distribution, or EAD, and comprehensive income. Forward-looking statements represent management's current estimates, and Cherry Hill assumes no obligation to update any forward-looking statements in the future. We encourage listeners to review the more detailed discussions related to these forward-looking statements contained in the company's filings with the SEC and the definitions contained in the financial presentations available on the company's website. Today's conference call is hosted by Jay Lown, President and CEO, Julian Evans, the Chief Investment Officer, and Michael Hutchby, the Chief Financial Officer. Now I will turn the call over to Jay. Thanks, Garrett, and welcome to today's call. The entire mortgage REIT sector was impacted by numerous macro and geopolitical concerns in the Q2. In addition, the Fed turned aggressively hawkish to combat inflation as anticipated, and hiked rates twice during the quarter, 50 basis points in May and 75 basis points in June. Last week, we navigated yet another 75 basis point hike. We continue to believe the Fed will remain aggressive with respect to tightening monetary policy in the near term, given their focus on bringing inflation down towards their target levels. In response, the U.S. ten-year Treasury rose to 3.5% by mid-June, and we were positioned well for the higher rate environment. However, recession fears gripped markets towards the end of June, leading to a rally in rates that continued through July. This, coupled with mortgage spreads widening during the quarter, most meaningfully at the end of June, negatively impacted our book value for the quarter. Ultimately, the U.S. 10-year Treasury finished the quarter at 3.02%, 68 basis points above its closing level at March 31. Our portfolio strategy has remained intact, pairing MSR with Agency MBS. We are constructive on agency mortgage spreads given the significant widening this year and believe our positioning there has had a positive impact on performance year to date. We continue to actively adjust our investment portfolio to protect the business and remain less levered relative to historic norms in this dynamic macro environment to preserve book value. Julian will provide more details on our efforts shortly. For the quarter, improving prepayment speeds continue to aid our earnings available for distribution, or EAD, a non-GAAP financial measure. For the Q2, we generated a GAAP net loss applicable to common stockholders of $17.6 million or $0.92 per diluted share, and we generated EAD of $5.2 million or $0.28 per share, exceeding our quarterly common dividend level of $0.27 per share. On an annualized basis, our dividend yield is hovering in the mid-teens based on the recent average of our closing price of our common stock. Importantly, EAD is just one of several factors we consider in setting our dividend policy. Book value per common share finished at $6.73 as of June 30. As a reminder, our current book value performance per common share is a function of preferred stock making up a significant portion of our overall equity profile. On a net asset value basis, which doesn't account for the difference in common or preferred equity, our performance in the quarter was more effective, with NAV down approximately 4% quarter-over-quarter before taking into account any common stock issuances pursuant to our ATM program. We believe our NAV performance demonstrates that the actions we took during the first half of the year, along with our strategy of pairing RMBS with Agency MSRs, contributed to mitigating risk and moderating the full impact of spread widening in Agency RMBS. That said, we remain committed to stabilizing and growing our NAV and book value as we move ahead. We continue to believe the best approach to adding to our MSR portfolio is remaining selective given the macro environment, the competition and robust pricing. During the Q2, we acquired approximately $950 million UPB in MSRs via flow and bulk purchases. As we've said before, we continue to believe the strategy of marrying MSRs with agency RMBS provides for attractive risk-adjusted returns and aids in protecting the portfolio from the full extent of current coupon spread widening. At the end of the quarter, leverage was 3.4x lower than the prior quarter as we remain mindful of the heightened market volatility in our current environment. We ended the quarter with $62 million of unrestricted cash on the balance sheet, maintaining a solid liquidity profile. Our recapture efforts remain solid, with a 12.1% recapture rate on our MSRs in the quarter despite the rise in mortgage rates. That said, recapture rates should continue to decline at these higher levels, though prepayment speeds net of recapture should continue to remain low. Looking ahead, we will continue to closely monitor MBS spreads and at the appropriate time, we will look to raise our leverage toward more normalized levels. Our proactive decision to de-risk the portfolio and sell securities helped mitigate the impacts of the rise in rates and spread widening during the first half of 2022. We remain positioned for a bias towards further Fed tightening of monetary policy and a higher rate environment for the foreseeable future as the economy tackles the highest inflation it has seen in over 40 years. In the meantime, we are keeping a firm hand on our balance sheet and when we see attractive investment opportunities, we will continue to selectively invest. With that, I will turn the call over to Julian, who will cover more details regarding our investment portfolio and its performance over the Q2. Thank you, Jay. As Jay noted, the Q2 was marked by a rapid rise in interest rates as the Fed worked to combat escalating inflation levels, including executing the first 75 basis point hike in nearly 30 years. The quarter also marked the start of the Fed outlining a plan and working to reduce its balance sheet. Throughout the quarter, we positioned our portfolio for a rising rate environment as the U.S. 10-year rate rose to nearly 3.5 by the middle of June. Just as quickly, U.S. 10-year fell in the final two weeks of the quarter and continued to move lower in July, despite the Fed hiking the federal funds rate another 75 basis points for a second consecutive month. The market continues to attempt to front run the Fed, and for now seems to believe 3.5 is the ceiling for Fed funds. Until inflation appears to be tamed, the Fed will likely need to continue hiking rates, which may lead to a hard landing as the Fed tries to precariously balance curbing inflation without sinking the economy. At quarter end, our MSR portfolio had a UPB of approximately $21 billion, and a market value of approximately $264 million. During the quarter, we purchased approximately $950 million UPB of new MSRs through our bulk and flow programs. At the end of the Q2, the MSR portfolio represented approximately 40% of our equity capital and approximately 24% of our investable assets excluding cash. Meanwhile, our RMBS portfolio accounted for approximately 40% of our equity. As a percentage of investable assets, the RMBS portfolio represented approximately 76% excluding cash at quarter end. During the quarter, we continued to experience CPR improvements in both our MSR and RMBS portfolios. Our MSR portfolio's net average CPR was approximately 10% for the Q2, down from approximately 13% net CPR in the previous quarter. The decline was mainly driven by the continued rapid rise in interest rates and the change in mortgage production coupons, which drove slower prepayment speeds in the quarter. The portfolio's recapture rate was lower at 12% versus 20% in the Q1, which is expected as interest rates rose, making the incentive to refinance less. Going forward, we should continue to expect a lower recapture rate, but stable or improving net CPRs given the elevated levels of interest rates. The RMBS portfolio's prepayment speeds exhibited similar themes. The portfolio's weighted average three-month CPR reduced to approximately 7% for the Q2, compared to approximately 11% in the Q1. As rates moved higher, mortgage securities became less refinanceable. As of today, the majority of the mortgage universe is out of the money in terms of refinancing. We would expect prepayments to remain low as long as rates stay at these levels or move higher. As of June 30th, the RMBS portfolio, inclusive of TBA, stood at approximately $831 million, compared to $941 million at the previous quarter end. The portfolio reduction was driven by the selling of securities, rising interest rates, as well as mortgage spread widening. Quarter-over-quarter, the size of the RMBS portfolio was reduced to lower basis risk and to protect book value as interest rates rose. In addition to reducing the size of the RMBS portfolio, we changed the portfolio's composition, moving into higher coupons, reducing spread duration for the portfolio. In addition, we took the opportunity to improve yields for the portfolio in the quarter. At the end of the Q2, the 30-year securities position represented 93% of our RMBS portfolio, a similar percentage to the end of the Q1. Shorter duration securities made up 7% of the portfolio at quarter end. For the Q2, we posted a 3.46 RMBS net interest spread versus a 3.06 net interest spread reported for the Q1, driven by higher yields as we repositioned the portfolio coupled with a combination of better prepayment speeds. The spread was also aided by lower net interest expenses due to our payer swaps as three-month LIBOR and SOFR reset to higher levels, which minimized the effects of higher repo costs. At quarter end, the portfolio leverage stood approximately 3.4 times at the aggregate level, and the portfolio was managed with a negative duration gap. Looking forward, we remain cautious, and we expect the investment markets to remain volatile and operate with limited liquidity. The Fed verbally remains committed to bringing inflation down from a 40-year high. Last week, the Fed raised the Fed funds rate, and we expect them to raise the Fed funds rate further in fiscal year 2022. Despite its efforts, inflation remains at elevated levels. Over the next several weeks, a battle in the markets will be waged between the Fed's commitment to inflation fighting and an economic slowdown, possible recession. Current markets are implying that the Fed will be able to handle inflation, but give way to a pending recession in 2023 and start the process of easing monetary policy. The investment markets are attempting to front run or anticipating a Fed pivot, assuming the Fed will either moderate the size or the pace of the Fed's funds increases as well as never reach the upper bound of its range. We expect the economy to slow, but that the Fed should remain committed to lowering inflation as inflation remains solidly above its target of 2%. I will now turn the call over to Mike for our Q2 financial discussion. Thank you, Julian. Our GAAP net loss applicable to common stockholders for the Q2 was $17.6 million or $0.92 per weighted average diluted share outstanding during the quarter. While comprehensive loss attributable to common stockholders, which includes the mark to market of our held-for-sale RMBS, was $5 million or $0.26 per weighted average diluted share. Our earnings available for distribution attributable to common stockholders were $5.2 million or $0.28 per share. Our book value for common share as of June 30th was $6.73, compared to a book value of $7.27 as of March 31st, 2022. We use a variety of derivative instruments to mitigate the effects of increases in interest rates on a portion of our future repurchase borrowings. At the end of the Q2, we held interest rate swaps, TBAs, and Treasury futures, all of which had a combined notional amount of $1.3 billion. You can see more details with respect to our hedging strategy in our 10-Q as well as in our Q2 presentation. For GAAP purposes, we've not elected to apply hedge accounting for our interest rate derivatives, and as a result, we record the change in estimated fair value as a component of the net gain or loss on interest rate derivatives. Operating expenses were $3.1 million for the quarter. On June 17th, 2022, our board of directors declared a dividend of $0.27 per common share for the Q2 of 2022, which was paid in cash on July 26th, 2022. We also declared a dividend of $0.5125 per share on our 8.2% Series A Cumulative Redeemable Preferred Stock and a dividend of $0.515625 per share on our 8.25% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, both of which were paid on July 15th, 2022. At this time, we will open up the call for questions. Operator? To ask a question, please press Star 1. Your first question is from Henry Coffey of Wedbush. Please go ahead. Your line is open. Yeah, good afternoon, and thank you for taking my question. How do market conditions today compare to where they were at the end of June when we saw all these marks? I mean, have things calmed down a little bit? Have spreads narrowed? Are they widening? What is the general. How do we compare today from June 30th? Hi, Henry. This is Julian. If it's just in terms of like mortgage spreads, it's been a volatile couple days since, you know, well, I guess since the end of June, they've tightened in pretty reasonably. I would say maybe 15-20 basis points tightening in to the end of July. Post-July, we're fluctuating around. Yesterday were wider, today they're tighter, call it relatively flat for the start of August here. But from a net spread- Are we still? Go ahead. I'm sorry. I'm sorry, keep going. From a spread perspective, RMBS is tighter from the end of June. Should we expect to see positive fair value marks coming through or more of what we've seen in the last two quarters? Are you talking about company-wide, Henry, or you're more just talking about RMBS? Both. I mean, obviously we've had a couple of other REITs report, so we understand what's going on, so. Sure. Mike, you wanna give Henry a Yeah. Through July 31st, we see book value per share up about 2%. That is, of course, excluding any accrual for a dividend as the board has not yet met to approve a dividend for the quarter. All right. Thank you. Your next question is from Mikhail Goberman of JMP Securities. Please go ahead. Your line is open. Hi. Good afternoon, gentlemen. Hope everybody is well. Quick two-parter from me. Could you guys talk maybe for a little bit about how you see the Agency RMBS versus MSR pair off trade working from a capital allocation standpoint going forward? Also, is there any appetite to maybe take up leverage from this point on? Thanks. Sure. To the first question, which I think was how do we think about the allocation of capital relative to the percentage of equity to each strategy. I think you know one of the things that we've done is you know we've taken down leverage on the RMBS side throughout the year just given our view on where spreads could go and some of the volatility in the space as rates backed up what I think we would call meaningfully through the quarter. During that process speeds for the MSR portfolio you know have remained low. The desire to grow that portfolio versus maintain its size, I would tell you that we have chosen to more maintain the size of the portfolio and the percentage of equity in each asset class. I think primarily one because of what I would call just, you know, the MSR market being a little bit on the rich side today relative to where we think the value is in terms of the newer production. In our view that we think that spreads should normalize on the RMBS side, and we would look to increase our activities on that side of the house. Got it. Thank you for that. As it relates to the leverage question, you know, I think we have a view that spreads are starting to normalize. I think you've heard other people say the same, you know, and we've seen some people raise capital with the intention of deploying capital into the agency space. You know, we are constructive on the RMBS space today. We think that there's value there, but we are very mindful of the volatility day-to-day in the market relative to all things, geopolitical, macroeconomic, and anything related to what the Fed may or may not say on any given day. Thanks, Jay. Sure. Your next question is from Matthew Howlett of B. Riley. Please go ahead. Your line is open. Oh, hey, Jay. Thanks for taking my question. All right. On MSR valuations, I mean, at this point, I mean, do MSR values, can they keep going up or do they just sort of have one, they only kinda go one way from here? What's the, you know, a lot of the servicers talk about escrows. I'm assuming you get the escrows on the MSRs. I mean, is that gonna have an impact if, you know, federal funds goes, continues going high, going higher? I'll take the last part first. Escrows are a component of the valuation, and clearly as rates rise, that becomes a larger part of the valuation. We are very focused on that relative to, you know, how we think about the MSR valuation in the aggregate. I would say that escrows have become- That could have a big impact. They become. Could have an impact. A more meaningful impact to the valuation, you know, versus rates at, you know, versus ten-year 50 basis points short, or Fed funds at zero. Yes, you know, as rates rise, those become a larger portion of the valuation of the asset class. What, the first part of your question is probably a little bit more involved because that really depends on the collateral composition of the portfolio. If your portfolio is largely lower coupon MSRs, then, you know, I think clearly what we've seen, as rates rise, the benefit and the correlation to the two assets sort of, you know, stabilizes and it becomes less correlated. You know, I think as you add more MSRs that are more current coupon, those assets clearly can, you know, rise and fall just, you know, purely based on being more in the money. Does that answer your question somewhat? Our portfolio today is somewhat barbelled. We have, you know, a portion of the portfolio at, let's just say, 3.25% and below, and a portion of the portfolio that we probably see at 3.75% and above. There really wasn't a lot for us in the 3.25%-3.75%. You know, from that perspective, you know, there is room for the portfolio to grow in value, but again, not so much in the lower coupons. Gotcha. No, that's very helpful. Then I heard your comments about, you know, that the market's still volatile and you wanna keep some dry powder. Yeah. How much of this, I mean, I didn't hear you make any comments in terms of the Fed. Do you feel, do you believe the Fed will start selling MBS? I mean, they've sort of been slow to start running it off. I mean, how much is that gonna have an impact? Do you think that we could go a lot wider? Is that what you're waiting for if they do start selling? Yeah. You know, that's a really good question. I think, you know, broadly speaking, I think our performance during the quarter was better than a lot of agency guys, in part because we divested of a lot of the lower coupon MBS throughout the quarter, you know, early on in anticipation of a potential, you know, spread widening more heavily in the lower coupon stack. I think others may have held on and they you know, got hit in the Q2 and got a bigger benefit in the Q3. We definitely repositioned ourselves more out of the lower coupon stack, part of the coupon stack because of a fear that if the Fed does start to sell, they are the primary holder of this stuff and could materially impact spreads on the lower coupon MBS. While we don't have a you know a strong view either way that they're going to sell or just let it run off, our view was that we weren't really interested in managing that risk. And hence, I think you see a slightly more stable profile relative to the book value in that side of the house because of that. Do you think that accurately describes it, Julian? Yeah, I think so. No, that makes. You know, it's definitely smart repositioning. The book held up, you know, a lot better than peers. I guess the last comment is on, like you said, you know, Cherry Hill will get this big. Because you have a little bit more preferred, you're gonna get this big snapback in book. I think you said 50 basis points in basis tightening. The book could go to, like, 8 or 9 back to $8-$9. At the same time, you probably really like these wide spreads. You don't really wanna see the basis tighten. You just think about getting, you know, high returns, high cash flows using low leverage and just, you know, let you know. Sort of just enjoy that part of it instead of just sort of, you know, waiting for the spreads to tighten? I mean, sort of, do you feel like this is now a time to really begin growing again given where spreads are and how well you're positioned for, you know, the rate environment? I would say that. You know, clearly we're at wides for a lot of coupons spread wise. You know, I think that is it's not as easy to just say that on a more broad level because of who owns, you know, certain coupons and where we think, you know, a more historical norm is for the spreads, you know, on that part of the coupon stack. I would say that, you know, we do expect to tick up leverage at some point, and we feel good about having taken it down thus far and are looking for good opportunities to grow the RMBS portfolio as we feel things sort of get to a point that's more normalized from a historical level. Julian, do you have anything you wanna add to that? Yeah. I think the main thing is you're looking for some stability in rates. I mean, every day, we've moved probably 0.5 point-1 point. Right which equates to 6 basis points to 12 basis points a day, you know. I think what we're looking for is a little bit of stability, and I don't think that's truly played out in the markets. What we've seen, at least in the start of the Q3, is you've had lower coupon mortgages outperform given the flattening or kind of the continued inverted-ness of the curve that's taken place, and higher coupons have actually lagged in this spread tightening. I think in general, we can get some stability in rates. We take up the leverage, we put more money to work. I think that we've gotta get more stability out of the Fed. The Fed is obviously this week stated they've got very much committed to raising interest rates or Fed funds rate to getting them to a level that's much more restrictive in the economy. I think this goes back to the last paragraph that I've kinda talked about, which is at the end of the day, you know, there's going to be this fight over the next couple months, and it comes down to, is there going to be a recession or are we going to have a soft landing and the Fed is going to be able to achieve what it wants to do on the Fed funds rate side? Gotcha. Well, look, I mean, returns are, you know, just phenomenal for the leverage you're currently using. You know, to think that they could get better is something that's, you know, really eye-opening. I appreciate the patience and, you know, thanks for your comments. Thanks, Matthew. We have completed the allotted time for questions. I will now turn the call over to Jay Lown for closing remarks. Thanks everyone for joining us on our Q2 2022 call, and we look forward to updating you in a couple months for our Q3 results. Have a great evening. This concludes today's conference call. Thank you for your participation. You may now disconnect.