Slides
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Investor PresentationThird Quarter 2025
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Legal Disclaimer 2 FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning of the Private SecuritiesLitigation Reform Act of 1995, including without limitation, references to: potential or expected future cash flows; estimated or expected returns, sometimes referred toas initial IRR, updated IRR, expected IRR, or current-to-maturity IRR; potential discount rates; potential future investments; expected yields; potential or impliedinvestment multiples; potential or projected future cash flows; and expected CRR, CDR, loss severities, loss rates and delinquencies. These statements are based onmanagement's current expectations and beliefs and are subject to a number of risks, trends and uncertainties that could cause actual results to differ materially fromthose described in the forward-looking statements, many of which are beyond our control. Cherry Hill Mortgage Investment Corporation (the “Company”) can give noassurance that its expectations will be attained. Accordingly, you should not place undue reliance on any forward-looking statements contained in this presentation. Risksand uncertainties emerge from time to time, and it is not possible for the Company to predict or assess the impact of every factor that may cause its actual results todiffer from those contained in any forward-looking statements. For a description of factors that may cause actual results or performance to differ from the forward-looking statements in this presentation, please review the information under the heading “Item 1A. Risk Factors” in the Company’s Annual Report on Form 10-K for theyear ended December 31, 2024, and in other documents filed by the Company with the SEC. The Company’s forward-looking statements speak only as of the date of thispresentation. The Company expressly disclaims any obligation to release publicly any updates or revisions to any forward-looking statements contained herein to reflectany change in the Company's expectations with regard thereto or change in events, conditions or circumstances on which any forward-looking statement is based.CAUTIONARY NOTE REGARDING EXPECTED RETURNS AND EXPECTED YIELDS. Expected returns and expected yields are forward-looking statements subject to the todisclosure appearing above and are presented for illustrative purposes only and are estimates of the annualized effective rate of return that we presently expect to beearned over the expected average life of an investment (i.e., the expected IRR), after giving effect, in the case of returns, to existing leverage and existing hedging costs,and calculated on a weighted average basis. Expected returns and expected yields reflect our estimates of an investment’s coupon, amortization of premium or discount,and costs and fees, as well as our assumptions regarding prepayments, defaults and loan losses, among other things. In the case of Servicing Related Assets, theseassumptions include, but are not limited to, recapture rates, prepayment rates and delinquency rates. Income recognized by the Company in future periods may besignificantly less than the income that would have been recognized if an expected return or expected yield were actually realized, and the estimates we use to calculateexpected returns and expected yields could differ materially from actual results. Statements about expected returns and expected yields in this presentation are forward-looking statements. You should carefully read the cautionary statement above under the caption “Forward-looking Statements,” which directly applies to our discussionof expected returns and expected yields.PAST PERFORMANCE. Past performance is not a reliable indicator of future results and should not be relied upon for any reason.ABBREVIATIONS AND OTHER TERMS. See “Abbreviations and Other Terms” in the Appendix for the meaning of abbreviations and terms made in this presentation.
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Third Quarter 2025
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UNAUDITED 4 Third Quarter 2025 HighlightsFinancial Results $3.36book value per common share10.6% increase, net of quarterly dividend $0.10 dividend per share declared and paid23.6% total quarterly economic gain3GAAP net income of $0.05 per share4 EAD of $0.09per share4, 5Portfolio Update5.3x leverage ratio for aggregate portfolio2.9% net interest spread for RMBS6.1% CPR for RMBS65.9%net CPR for MSRs6Note: Figures presented are rounded. As of September 30, 2025, unless noted otherwise.1.Based on 36,739,538 common shares outstanding at September 30, 2025. 2.Third Quarter 2025 $0.10 dividend was paid in cash on October 31, 2025 to stockholders of record on September 30, 2025.3.Total economic gain for the quarter ended September 30, 2025 is defined as the increase in book value from June 30, 2025 to September 30, 2025 of $0.02, plus the dividend declared of $0.10 per share, divided by June 30, 2025 book value of $3.34 per share.4.Based on 36,148,929 fully diluted weighted average common shares outstanding during the three-month period ended September 30, 2025. 5.EAD is a non-GAAP measure and a reconciliation to net income (loss) appears in the Appendix on page 21.6.Weighted average CPR for the three-month period ended September 30, 2025.Business UpdatePositive momentum with respect to Real Genius strategic partnership
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UNAUDITEDMortgage Dollar Price ChangesU.S. Treasuries - Yield Changes 30 Year MBS 15 Year MBS2yr 3yr 5yr 7yr 10yr 20yr 30yr 3.50% 4.00% 4.50% 5.00% 5.50% 6.00% 6.50% 4.00% 4.50% 5.00% 5.50% 6.00% December 31, 2024 4.2420 4.2730 4.3820 4.4790 4.5690 4.8580 4.7810 $88.438 $91.383 $94.023 $96.430 $98.570 $100.383 $102.031 $96.078 $97.781 $99.523 $100.422 $101.586March 31, 2025 3.8830 3.8740 3.9500 4.0730 4.2050 4.5990 4.5710 $90.242 $93.133 $95.688 $97.961 $99.977 $101.430 $103.016 $97.453 $99.086 $100.508 $101.586 $102.797June 30, 2025 3.7190 3.6890 3.7970 3.9900 4.2280 4.7740 4.7740 $90.063 $93.031 $95.688 $98.031 $100.000 $101.625 $103.250 $97.844 $99.406 $100.719 $101.813 $102.844September 30, 2025 3.6080 3.6190 3.7410 3.9290 4.1500 4.7030 4.7310 $91.375 $94.250 $97.031 $99.188 $100.844 $102.188 $103.344 $98.344 $99.875 $101.063 $102.219 $103.2814Q24 Change 0.6010 0.7240 0.8240 0.8310 0.7880 0.6830 0.6620 ($4.797) ($4.727) ($4.328) ($3.500) ($2.594) ($1.828) ($1.102) ($3.258) ($2.609) ($1.836) ($1.820) ($1.422)1Q25 Change (0.3590) (0.3990) (0.4320) (0.4060) (0.3640) (0.2590) (0.2100) $1.805 $1.750 $1.664 $1.531 $1.406 $1.047 $0.984 $1.375 $1.305 $0.984 $1.164 $1.2112Q25 Change (0.1640) (0.1850) (0.1530) (0.0830) 0.0230 0.1750 0.2030 ($0.180) ($0.102) - $0.070 $0.023 $0.195 $0.234 $0.391 $0.320 $0.211 $0.227 $0.0473Q25 Change (0.1110) (0.0700) (0.0560) (0.0610) (0.0780) (0.0710) (0.0430) $1.313 $1.219 $1.344 $1.156 $0.844 $0.563 $0.094 $0.500 $0.469 $0.344 $0.406 $0.437-1.002.003.004.005.006.00-50100150200250Basis Spread10 Year TreasuryMortgage Basis Spread2vs. 10 Year Treasury5 Mortgage Landscape Note: Figures presented are rounded. Dollars in thousands. As of September 30, 2025, unless noted otherwise. 1. US treasuries source: Bloomberg; mortgage prices and changes source: Citigroup.2. Source: Bloomberg. FNMA 30 Year current coupon vs. 10 year Treasury. Market Trends1
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UNAUDITED 42% 46% 44% 43% 41% 42% 38% 39% 36% 39% 16% 16% 17% 21% 20% -25%50%75%100%3Q24 4Q24 1Q25 2Q25 3Q25 Servicing Related Assets²RMBS³All Other⁴ 5.5% 4.7% 4.1% 6.0% 5.9% 4.0%5.0%6.0%7.0%8.0%-3%6%9%3Q24 4Q24 1Q25 2Q25 3Q25 CHMI Conv. (LHS)Bank Rate 30 Year Index (RHS)⁶ 5.4% 5.7% 5.8% 6.1% 6.1% 6.3% 6.0% 6.6% 7.2% 7.9% -3%6%9%3Q24 4Q24 1Q25 2Q25 3Q25 CHMIFannie Mae Agg.⁵ 79% 76% 76% 77% 78% 21% 24% 24% 23% 22% -25%50%75%100%3Q24 4Q24 1Q25 2Q25 3Q25 30 Year RMBS¹MSRsQuarterly RMBS CPR PerformanceQuarterly MSR Net CPR Performance6 Portfolio Metrics Note: Figures presented are rounded. Dollars in thousands. As of September 30, 2025, unless noted otherwise. 1. Includes open net TBAs.2. Comprised of MSRs and other related assets.3. Comprised of RMBS and other related assets and liabilities.4. Comprised of non-invested assets and liabilities, primarily cash.5. Source: Fannie Mae Monthly Flash Prepayment Report.6. Source: Bloomberg ILM3NAVG index. Asset Investment Composition (ex. Cash)Equity Composition
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UNAUDITED $17,644 $17,304 $16,997 $16,606 $16,230 $15,500$16,000$16,500$17,000$17,500$18,0003Q24 4Q24 1Q25 2Q25 3Q25Characteristics FNMA FHLMC TotalUPB $10,256,491 $5,973,962 $16,230,454Avg UPB $238 $231 $235WAC 3.48 3.52 3.50Net Servicing Fee 0.25 0.25 0.25WAM (Mths) 285 288 286WALA (Mths) 60 61 61Original FICO 754 758 755Original LTV 76.0 77.2 76.5ARM % 0.0% 0.1% 0.1%60+ DQ 1.1% 0.9% 1.0%September 30, 2025 MSR CharacteristicsHistorical MSR UPB ($ millions) 7 MSR Portfolio Overview Note: Figures presented are rounded. Dollars in thousands, unless noted otherwise. As of September 30, 2025, unless noted otherwise. CommentaryInvestments in MSRs totaled $218.7 million related to approximately $16.2 billion in UPB of underlying Fannie Mae and Freddie Mac loans as of September 30, 20255.36 multiple on servicing strip of 25.2 basis pointsRecapture rate on conventional MSRs was 0.3% in the quarter
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UNAUDITED 30 Year RMBSCoupon FMV Book Value Par Amount GWAC WALA 1 Mo. CPR LT CPR30 Year Total $781,539 $760,189 $781,032 5.8% 25.39 6.5 11.030 Year Open Net TBAsCoupon FMV Book Value Par Amount≤ 4.0% ($2,583) ($2,902) ($2,000)4.5% ($102,853) ($102,277) ($106,000)5.0% ($213,088) ($212,958) ($214,800)5.5% ($223,704) ($223,681) ($221,800)6.0% $71,316 $71,348 $69,825≥ 6.5% $60,973 $61,087 $59,000Open Net TBAs Total ($409,939) ($409,383) ($415,775) 30 Year Spec PoolsCoupon FMV Book Value Par Amount GWAC WALA 1 Mo. CPRLT CPR¹≤ 4.0% $102,739 $103,144 $111,413 4.2% 41 6.8 9.04.5% 219,305 215,500 224,405 5.3% 31 6.2 9.55.0% 414,696 405,955 414,594 5.9% 24 10.6 10.65.5% 416,287 407,153 409,128 6.4% 21 2.9 12.56.0% 38,451 37,820 37,267 6.9% 11 0.2 13.1Spec Pools Total $1,191,478 $1,169,572 $1,196,807 5.8% 25 6.5 11.0Spec Pool Characteristics 8 RMBS Portfolio Overview Note: Figures presented are rounded. Dollars in thousands. As of September 30, 2025, unless noted otherwise. CPR values presented are annualized.1. LT CPR is produced using Yieldbook’s third party prepayment model. Open Net TBA CharacteristicsAll RMBS Characteristics
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UNAUDITED ≤ 150K Max Pools≤ 175K Max Pools≤ 200K Max Pools≤ 225K Max Pools≤ 250K Max Pools≤ 300K Max PoolsGeographic Stories¹LTVFICOInvestorOther RMBS9 RMBS Portfolio Collateral Characteristics Note: Figures noted are rounded. As of September 30, 2025, unless noted otherwise. Dollars in thousands. 1. Geographic stories are single state pools such as NY or PR. June 30, 2025RMBS Collateral (ex. TBA): $1,152,443September 30, 2025RMBS Collateral (ex. TBA): $1,191,478$26,195 2%$21,841 2%$125,489 11%$205,896 18%$308,705 27%$120,406 10%$128,843 11%$12,406 1%$110,213 10%$92,450 8%$25,764 2%$21,509 2%$124,143 10%$204,291 17%$330,675 28%$119,744 10%$142,519 12%$17,658 2%$12,473 1%$109,328 9%$83,375 7%
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UNAUDITED REPOWARemaining DaysOriginal DaysRemaining MaturityOutstandingPercentageRateto Maturityto MaturityLess than one month$597,75754.0%4.3%2335One to three months509,38446.0%4.3%3241Total / WA$1,107,141100.0%4.3%2738 15%14%12%10%6%6%6%6%5%5%5%4%3%3%Repurchase Agreement Counterparty Utilization1 10 Financing Summary Repurchase Agreement Characteristics Commentary Note: Figures noted are rounded. As of September 30, 2025, unless noted otherwise. Dollars in thousands. 1. Reflects the percentage by dollar amount per counterparty of outstanding borrowings for our RMBS portfolio. Average REPO cost was 4.3% with a weighted average days remaining to maturity of 27 daysBorrowings with 14 financing counterpartiesWeighted average “haircut” of 4.4%
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UNAUDITEDTreasury FuturesMaturityLong NotionalShort NotionalNetFair Value5 years $180,400 - $180,400 $64810 years¹ - ($157,900) ($157,900) ($2,321)Total $180,400 ($157,900) $22,500 ($1,673)Receiver SwapsYrs. To MaturityNotionalWA Pay RateWA Receive WA Yrs. to Mat.x ≤ 1 Year - - - -1 > x ≤ 3 Years 76,000 4.24% 3.88% 2.43 > x ≤ 5 Years 40,000 4.50% 2.54% 3.55 > x ≤ 7 Years - - - -7 > x ≤ 10 Years- - - -Total/WA $116,000 4.33% 3.42% 2.8Payer SwapsYrs. To MaturityNotionalWA Pay RateWA Receive WA Yrs. to Mat.x ≤ 1 Year $115,000 2.80% 4.24% 0.61 > x ≤ 3 Years 341,900 0.65% 4.47% 2.43 > x ≤ 5 Years 76,100 0.82% 4.45% 4.65 > x ≤ 7 Years 118,500 1.56% 4.42% 6.17 > x ≤ 10 Years61,200 3.44% 4.24% 8.3Total/WA $712,700 1.41% 4.40% 3.5SwapsTreasury Futures 11 Hedging Summary Commentary3.0 years weighted average duration on Payer swaps2.6 years weighted average duration on Receiver swapsNote: Figures presented are rounded. Dollars in thousands. As of September 30, 2025, unless noted otherwise.1. Includes 10-year Ultra futures and Long Bond futures contracts.
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Appendix
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UNAUDITED 5.25x 5.26x 5.22x 5.26x 5.33x 2.00x2.50x3.00x3.50x4.00x4.50x5.00x5.50x3Q24 4Q24 1Q25 2Q25 3Q25 $1,214 $1,122 $1,119 $1,152 $1,191 $227 $234 $227 $225 $219 $1,441 $1,356 $1,346 $1,377 $1,410 -$250$500$750$1,000$1,250$1,5003Q24 4Q24 1Q25 2Q25 3Q25 RMBS¹MSRs 62% 63% 58% 57% 58% -25%50%75%100%3Q24 4Q24 1Q25 2Q25 3Q25 5.13% 4.93% 5.54% 5.14% 5.69% (1.91%)(2.03%)(1.99%)(2.53%)(2.82%)3.22% 2.90% 3.55% 2.61% 2.87% (4.0%)(3.0%)(2.0%)(1.0%)-1.0%2.0%3.0%4.0%5.0%6.0%7.0%3Q24 4Q24 1Q25 2Q25 3Q25 WA Asset YieldWA Interest ExpenseNet Interest Spread Asset CompositionCompany Leverage 13 Historical Portfolio Overview Note: Figures presented are rounded. Dollars in millions. As of September 30, 2025, unless noted otherwise. 1. Excludes TBAs.2. RMBS hedge ratio represents net notional value of RMBS-related payer and receiver swaps relative to outstanding repurchase agreement borrowings.RMBS Net Interest SpreadRMBS Hedge Ratio2
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UNAUDITED $4.02 $3.82 $3.58 $3.34 $3.36 (4%)(2%)-2%4%6%$3.00$3.50$4.00$4.503Q24 4Q24 1Q25 2Q25 3Q25 Book Value per Common Share (LHS)Total Return¹ (RHS) $0.04 ($0.05)($0.08)($0.02)$0.12 ($0.10)($0.05)-$0.05$0.10$0.153Q24 4Q24 1Q25 2Q25 3Q25 $0.15 $0.15 $0.15 $0.15 $0.10 10%12%14%16%18%20%22%24%-$0.02$0.04$0.06$0.08$0.10$0.12$0.14$0.163Q24 4Q24 1Q25 2Q25 3Q25 Common Dividend (LHS)Dividend Yield (RHS)Comprehensive Income (Loss) per Common ShareDividends per Common Share & Dividend Yield 14 Historical Performance Metrics Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise. 1. Total quarterly return (loss) on book value is defined as the change in book value per common share (“BVPS”) from the prior quarter to the current quarter, plus the dividend declared in the prior quarter, divided by the prior quarter BVPS.Book Value & Total Quarterly Return (Loss)
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UNAUDITED $3.86 $3.61 $3.36 $3.12 $2.87 $2.50$2.75$3.00$3.25$3.50$3.75$4.00 -50 bps -25 bps No Change +25 bps +50 bps -50 bps-25 bpsNo Change+25 bps+50 bpsBasis Risk SensitivityEstimated Change in NAV $18,409 $9,153 - ($9,023) ($17,899)Pro forma NAV as of September 30, 2025 $253,868 $244,612 $235,459 $226,436 $217,560Pro forma percentage change in NAV 7.8% 3.9% - (3.8%) (7.6%)Pro forma BV per Common Share as of September 30, 2025 $3.86 $3.61 $3.36 $3.12 $2.87Pro forma percentage change in BV per Common Share 14.9% 7.4% - (7.3%) (14.5%)RMBS and MSR Spread (“Basis Risk”) Sensitivity on Current Portfolio 15 Basis Risk Sensitivity1 Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise. 1. Spread sensitivities are derived from a model that is dependent on inputs and assumptions provided by third parties as well as by our investment team and, accordingly, actual results could differ materially from these estimates. Rates are floored at zero percent. Basis Risk Sensitivity
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UNAUDITED2yr -25, 10yr 02yr 0, 10yr -25-25 bpsNo Change+25 bps2yr +25, 10yr 02yr 0, 10yr +25Interest Rate SensitivityEstimated Change in NAV $1,146 ($1,458) ($284) - ($891) ($1,184) $234Pro forma NAV as of September 30, 2025 $236,605 $234,001 $235,175 $235,459 $234,568 $234,275 $235,693Pro forma percentage change in NAV 0.5% (0.6%) (0.1%) - (0.4%) (0.5%) 0.1%Pro forma BV per Common Share as of September 30, 2025 $3.39 $3.32 $3.35 $3.36 $3.34 $3.33 $3.37Pro forma percentage change in BV per Common Share 0.9% (1.2%) (0.2%) - (0.7%) (1.0%) 0.2% $3.39 $3.32 $3.35 $3.36 $3.34 $3.33 $3.37 $3.00$3.25$3.50$3.75 2yr -25, 10yr 0 2yr 0, 10yr -25 -25 bps No Change +25 bps 2yr +25, 10yr 0 2yr 0, 10yr +25 Interest Rate Sensitivity on Current Portfolio 16 Interest Rate Sensitivity1 Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise. 1. Interest rate sensitivities are derived from a model that is dependent on inputs and assumptions provided by third parties as well as by our investment team and, accordingly, actual results could differ materially from these estimates. Interest Rate Sensitivity
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UNAUDITED 17 NAV Snapshot Note: Figures presented are rounded. Dollars in millions, except per share figures. As of September 30, 2025, unless noted otherwise. 1. Interest Rate Impact comprised of Net interest income (expense) plus Net servicing income plus Other income (loss) plus Unrealized loss on RMBS, available-for-sale, net minus Spread, Vol. & Other Impact.2. Spread, Vol. & Other Impact refers to the estimated total realized and unrealized gains and losses attributed to factors other than changes in the yield curve (e.g. changes in OAS, volatility) as implied utilizing Yieldbook’s third party prepayment model.3. Taxes & Other comprised of Provision for corporate business taxes plus Comprehensive (income) loss attributable to noncontrolling interests in Operating Partnership plus other miscellaneous income and expenses. Net Asset Value Changes in the Quarter$4.0 $7.1 ($2.2)($1.6)($0.1)($2.5)($3.7)$1.9 $3.0 -$2.0 $4.0 $6.0 $8.0 $10.0 $12.0 IncreaseDecreaseTotalDividendsCommonATMIssuancesIncome & Gain (Loss)Operating ExpensesTaxes & Other
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UNAUDITEDSeptember 30, 2025 December 31, 2024AssetsRMBS, at fair value (including pledged assets of $1,153,261 and $1,103,622, respectively)$1,191,478 $1,122,420 Investments in Servicing Related Assets, at fair value (including pledged assets of $218,688 and $233,658, respectively)218,688 233,658 Cash and cash equivalents55,447 46,313 Restricted cash9,204 24,446 Derivative assets15,314 30,048 Receivables and other assets31,356 34,290 Total Assets$1,521,487 $1,491,175 Liabilities and Stockholders’ EquityLiabilitiesRepurchase agreements$1,107,141 $1,077,257 Derivative liabilities3,866 3,869 Notes payable147,359 151,226 Dividends payable5,950 7,011 Payables for unsettled trades15,087 - Accrued expenses and other liabilities6,625 18,190 Total Liabilities$1,286,028 $1,257,553 Stockholders’ EquityPreferred stock, par value $0.01 per share, 100,000,000 shares authorized:8.20% Series A Cumulative Redeemable Preferred stock, 2,781,635 shares issued and outstanding as of September 30, 2025 and December 31, 2024, $69,541 liquidation preference as of September 30, 2025 and December 31, 2024$67,311 $67,311 8.25% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred stock, 1,604,103 shares issued and outstanding as of September 30, 2025 and December 31, 2024, $40,103 liquidation preference as of September 30, 2025 and 38,553 38,553 Common stock, $0.01 par value per share, 500,000,000 shares authorized and 36,739,538 shares issued and outstanding as of September 30, 2025 and 500,000,000 shares authorized and 31,625,073 shares issued and outstanding as of 373 322 Additional paid-in capital396,362 381,069 Accumulated Deficit(271,979)(249,643)Accumulated other comprehensive income (loss)2,509 (7,270)Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity$233,129 $230,342 Non-controlling interests in Operating Partnership2,330 3,280 Total Stockholders’ Equity$235,459 $233,622 Total Liabilities and Stockholders’ Equity$1,521,487 $1,491,175 Consolidated Balance Sheets 18 Balance Sheet Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise.
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UNAUDITEDThree Months Ended September 30, 2025 June 30, 2025IncomeInterest income$15,643 $14,813 Interest expense12,343 12,172 Net interest income3,300 2,641 Servicing fee income10,764 10,933 Servicing costs2,297 1,952 Net servicing income8,467 8,981 Other income (loss)Realized loss on RMBS, net- (2,053)Realized gain (loss) on derivatives, net(10,496)14,838 Realized gain on acquired assets, net2 - Unrealized gain on RMBS, measured at fair value through earnings, net10,730 3,508 Unrealized gain (loss) on derivatives, net2,482 (19,147)Unrealized loss on investments in Servicing Related Assets(5,912)(2,731)Total Income$8,573 $6,037 ExpensesGeneral and administrative expense2,154 1,947 Compensation and benefits1,620 1,408 Total Expenses$3,774 $3,355 Income Before Income Taxes4,799 2,682 Provision for corporate business taxes284 1,121 Net Income$4,515 $1,561 Net income allocated to noncontrolling interests in Operating Partnership(83)(34)Dividends on preferred stock(2,477)(2,462)Net Income (Loss) Applicable to Common Stockholders$1,955 $(935)Net Income (Loss) Per Share of Common StockBasic$0.05 $(0.03)Diluted$0.05 $(0.03)Weighted Average Number of Shares of Common Stock OutstandingBasic36,134,92533,199,712Diluted36,148,92933,199,712 Consolidated Statements of Income 19 Income Statement Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise.
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UNAUDITEDThree Months Ended September 30, 2025 June 30, 2025Net income $ 4,515 $ 1,561Other comprehensive income:Unrealized gain on RMBS, available-for-sale, net2,561 320Net other comprehensive income 2,561 320Comprehensive income $ 7,076 $ 1,881Comprehensive income attributable to noncontrolling interests in Operating Partnership (119) (35)Dividends on preferred stock (2,477) (2,462)Comprehensive income (loss) attributable to common stockholders $ 4,480 $ (616)Comprehensive Income (Loss) Per Share of Common StockBasic$0.12 $(0.02)Diluted$0.12 $(0.02)Weighted Average Number of Shares of Common Stock OutstandingBasic36,134,92533,199,712Diluted36,148,92933,199,712 Consolidated Statement of Comprehensive Income 20 Comprehensive Income Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise.
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UNAUDITEDThree Months Ended September 30, 2025 June 30, 2025Net Income $ 4,515 $ 1,561+ Realized loss on RMBS, net- 2,053+ Realized loss (gain) on derivatives, net¹15,843 (9,576)+ Realized gain on acquired assets, net(2) -+ Unrealized gain on RMBS, measured at fair value through earnings, net(10,730) (3,508)+ Unrealized loss (gain) on derivatives, net(2,482) 19,147+ Unrealized gain on investments in MSRs, net of estimated MSR amortization(2,080) (5,473)+ Tax expense on realized and unrealized gain on MSRs801 1,607Total EAD: $ 5,865 $ 5,811EAD attributable to noncontrolling interests in Operating Partnership (84) (102)Dividends on preferred stock (2,477) (2,462)EAD Attributable to Common Stockholders $ 3,304 $ 3,247EAD Attributable to Common Stockholders, per Diluted Share $ 0.09 $ 0.10GAAP Net Income (Loss) Per Share of Common Stock, per Diluted Share$0.05 $ (0.03) Earnings Available for Distribution 21 Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise. Earnings available for distribution (“EAD”) is a non-GAAP financial measure that we define as GAAP net income (loss), excluding realized gain (loss) on RMBS, unrealized gain (loss) on RMBS measured at fair value through earnings, realized and unrealized gain (loss) on derivatives, realized gain (loss) on acquired assets, realized and unrealized gain (loss) on investments in MSRs (net of any estimated MSR amortization) and any tax expense (benefit) on realized and unrealized gain (loss) on MSRs. MSR amortization refers to the portion of the change in fair value of the MSR that is primarily due to the realization of cashflows, runoff resulting from prepayments and an adjustment for any gain or loss on the capital used to purchase the MSR. EAD also includes interest rate swap periodic interest income (expense) and drop income on TBA dollar roll transactions, which are included in “Realized gain (loss) on derivatives, net” on the consolidated statements of income (loss). EAD is adjusted to exclude outstanding LTIP-OP Units in our Operating Partnership and dividends paid on our preferred stock.EAD is provided for purposes of potential comparability to other issuers that invest in residential mortgage-related assets. We believe providing investors with EAD, in addition to related GAAP financial measures, may provide investors some insight into our ongoing operational performance. However, the concept of EAD does have significant limitations, including the exclusion of realized and unrealized gains (losses), and given the apparent lack of a consistent methodology among issuers for defining EAD, it may not be comparable to similarly titled measures of other issuers, which define EAD differently from us and each other. As a result, EAD should not be considered a substitute for our GAAP net income (loss) or as a measure of our liquidity. While EAD is one indicia of the Company’s earnings capacity, it is not the only factor considered in setting a dividend and is not the same as REIT taxable income which is calculated in accordance with the rules of the IRS.1. Excludes drop income on TBA dollar rolls of $589 thousand and interest rate swap periodic interest income of $4.8 million for the three-month period ended September 30, 2025.Excludes drop income on TBA dollar rolls of $650 thousand and interest rate swap periodic interest income of $4.6 million for the three-month period ended June 30, 2025. Earnings Available for Distribution
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UNAUDITEDServicing Related Assets RMBS All Other TotalIncome InformationInterest income$54$15,589$-$15,643Interest expense(21)12,364-12,343Net interest income753,225-3,300Servicing fee income10,764--10,764Servicing costs2,297--2,297Net servicing income8,467--8,467Other income (expense)¹ (5,470) 2,276 - (3,194)Other operating expenses² (887) (665) (2,222) (3,774)Provision for corporate business taxes(284)--(284)Net other comprehensive income -2,561-2,561Comprehensive income (loss) $ 1,901 $ 7,397 $ (2,222) $ 7,076Balance Sheet InformationSeptember 30, 2025Investments$218,688$1,191,478$-$1,410,166Other assets26,32429,41155,586111,321Total assets245,0121,220,88955,5861,521,487Debt147,3591,107,141-1,254,500Other liabilities2,49721,3007,73131,528Total liabilities149,8561,128,4417,7311,286,028Net Assets $ 95,156 $ 92,448 $ 47,855 $ 235,459 Results of Operations 22 Segment Results Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of September 30, 2025, unless noted otherwise. Certain prior period amounts have been reclassified to conform to current period presentation.1. Includes realized and unrealized gains (losses) on Servicing Related Assets, RMBS and derivatives.2. Includes general and administrative expenses, and compensation and benefits.
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UNAUDITEDThis presentation may include the below abbreviations, which have the following meanings 23 Abbreviations and Other Terms •30+ DQ – Percentage of loans that are delinquent by 30 days or more •Age (mths) or Loan Age (mths)– Weighted average number of months loans are outstanding •Carrying Value – represents Cost Basis plus adjustment for mark to market•Cost Basis – Initial investment less return of capital received life to date •CDR – Constant Default Rate •CLTV– ratio of current loan balance to estimated current asset value. •COUP– coupon or interest rate•CPR – Constant Prepayment Rate, expressed as the sum of the CDR and CRR•CRR – Constant Repayment Rate •EAD –Earnings Available for Distribution•FHLMC – Freddie Mac / Federal Home Loan Mortgage Corporation •FMV – Fair Mark Value•FNMA – Fannie Mae / Federal National Mortgage Association •FICO – A borrower’s credit metric generated by the credit scoring model created by the Fair Isaac Corporation •Flow Arrangements – contractual recurring agreements, often monthly or quarterly, to purchase servicing of newly originated or highly delinquent loans •GNMA – Ginnie Mae / Government National Mortgage Association •Gross CPR– Gross CPR is CPR prior to factoring in recapture •Gross CRR– Gross CRR is CRR prior to factoring in recapture •HPA – Home price appreciation•LT – Long Term•LTD Cash Flows – Actual life to date cash flow collected from the investment as of the end of the current month •LTD – Life to Date•NAV– Net Asset Value represents the net value of assets less liabilities•Net CPR– CPR after taking into account recapture activity•OCI – Other comprehensive income •Projected Future Cash Flows – Future cash flow expected per the current market valuation •Recapture Rate – Percentage of voluntarily prepaid loans that are refinanced by recapture partner•Total Cash Flow – Sum of all LTD cash flows and all projected future cash flows•Uncollected Payments – Percentage of loans that missed their most recent payment •UPB – Unpaid Principal Balance •Updated IRR – Internal rate of return calculated based on the cash flow received to date through the current month and the expected future cash flow based on our original underwriting assumptions. •U/W LTD – Underwritten life-to-date •WA/WAVG – Weighted Average •WAL – Weighted Average Life to Maturity •WALA – Weighted Average Loan Age•WAC – Weighted Average Coupon
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Contact: Investor RelationsPhone: (877) 870-7005investorrelations@chmireit.com