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CHERRYHILL MORTGAGE INVESTMENT CORPORATION Investor Presentation Second Quarter 2026
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Legal Disclaimer 2 FORWARD-LOOKING STATEMENTS. This presentation contains “forward-looking statements” within the meaning of the safe harbor provisions of the United States PrivateSecurities Litigation Reform Act of 1995 and other federal securities laws. Forward-looking statements include all statements and assumptions in this presentation that do notdirectly and exclusively relate to historical facts, including, without limitation, statements regarding the proposed transaction between Cherry Hill Mortgage InvestmentCorporation (“Cherry Hill” or the “Company”) and TPG Mortgage Investment Trust, Inc. (“MITT”); the expected structure, timing and completion of the proposed transaction; theexpected stock and cash consideration payable to Cherry Hill common stockholders; the expected treatment of Cherry Hill preferred stock; the anticipated benefits of theproposed transaction; expected accretion, synergies, operating efficiencies, liquidity, scale, portfolio composition, leverage, earnings, book value, dividends, tax treatment,governance and ownership of the combined company; expected approvals and closing conditions; and the Company’s and MITT’s respective business strategies, marketopportunities, investment portfolios, financial condition and results of operations. Forward-looking statements are often identified by words such as “anticipates,” “believes,”“estimates,” “expects,” “may,” “could,” “should,” “forecast,” “goal,” “intends,” “objective,” “plans,” “projects,” “strategy,” “target,” “will” and similar words and terms orvariations of such.These forward-looking statements are based on current intentions, expectations, beliefs, projections, estimates and assumptions of management and are not guarantees of futureperformance. Actual results could differ materially from those described in or implied by forward-looking statements as a result of numerous assumptions, risks, uncertainties andother factors, many of which are outside the control of the Company and MITT. Important factors that could cause actual results to differ materially include, among others: therisk that the proposed transaction may not be completed on the proposed terms, on the anticipated timeline or at all; the failure to obtain, on a timely basis or otherwise, therequired approvals of Cherry Hill’s and MITT’s stockholders; the failure to satisfy other closing conditions, including regulatory approvals and the effectiveness of the registrationstatement on Form S-4; the occurrence of any event, change or other circumstance that could give rise to termination of the merger agreement, including circumstances requiringthe payment of a termination fee; the possibility that competing offers or acquisition proposals may be made; risks related to management distraction from ongoing businessoperations; the amount of costs, fees and expenses related to the proposed transaction; the risk of stockholder litigation in connection with the proposed transaction; risks thatthe proposed transaction may not qualify as a tax-free reorganization for U.S. federal income tax purposes; the effect of the announcement or pendency of the proposedtransaction on the Company’s or MITT’s ability to retain key personnel and maintain relationships with counterparties, lenders, servicers, vendors and other business partners;risks that the anticipated benefits of the proposed transaction, including expected accretion, synergies, operating efficiencies, liquidity, scale and growth opportunities, may notbe realized or may take longer to realize than expected; risks related to the integration of the Company’s and MITT’s businesses and portfolios; changes in interest rates, creditspreads, prepayment rates, default rates, market volatility and general economic, financial, real estate and mortgage market conditions; risks related to the Company’s and MITT’sability to maintain qualification as real estate investment trusts; and other risks described in the Company’s and MITT’s filings with the Securities and Exchange Commission (the“SEC”), including the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2025, as such risks may be updated or supplemented from time to time.Readers are cautioned not to place undue reliance on forward-looking statements, which speak only as of the date they are made. The Company does not undertake anyobligation to update or release any revisions to any forward-looking statement, or to report any events or circumstances after the date of this presentation, except as required bylaw.
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Legal Disclaimer 3 CAUTIONARY NOTE REGARDING EXPECTED RETURNS AND EXPECTED YIELDS. Expected returns and expected yields are forward-looking statements subject to the to disclosureappearing above and are presented for illustrative purposes only and are estimates of the annualized effective rate of return that we presently expect to be earned over theexpected 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 aweighted 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 asour assumptions regarding prepayments, defaults and loan losses, among other things. In the case of Servicing Related Assets, these assumptions include, but are not limited to,recapture rates, prepayment rates and delinquency rates. Income recognized by the Company in future periods may be significantly less than the income that would have beenrecognized if an expected return or expected yield were actually realized, and the estimates we use to calculate expected returns and expected yields could differ materially fromactual results. Statements about expected returns and expected yields in this presentation are forward-looking statements. You should carefully read the cautionary statementabove under the caption “Forward-looking Statements,” which directly applies to our discussion of expected returns and expected yields.NON-GAAP FINANCIAL MEASURES. This presentation includes financial measures that are not calculated in accordance with generally accepted accounting principles (“GAAP”).These measures are provided as supplemental information and should not be considered a substitute for GAAP financial measures. The Company’s definitions of such measuresmay not be comparable to similarly titled measures used by other companies. A reconciliation to the most directly comparable GAAP measure is included in the Appendix to thispresentation.THIRD-PARTY DATA. This presentation may contain statistics and other data that have been obtained or compiled from information made available by third-party service providersand other external sources. The Company has not independently verified such statistics or data. Certain estimates, sensitivities and other information included in this presentationare based on models, assumptions and inputs provided by third parties and by the Company’s investment team, and actual results could differ materially from those estimates.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.NO OFFER OR SOLICITATION. This communication and the information contained herein shall not constitute an offer to sell or the solicitation of an offer to buy any securities, norshall there be any sale of securities in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws ofany such jurisdiction. No offering of securities shall be made except by means of a prospectus meeting the requirements of Section 10 of the Securities Act, as amended. Thiscommunication may be deemed to be solicitation material in respect of the proposed merger.
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Second Quarter 2026
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Transaction Overview 5 SummaryCHMI has entered into a definitive merger agreement with TPG Mortgage Investment Trust, Inc. (NYSE: MITT)MITT will issue 11.608 million new shares of MITT common stock to CHMI’s common stockholders using an exchange ratio of 0.3063(1)shares of MITT common stock for each share of CHMI common stockCHMI common stockholders will also receive cash consideration from MITT and MITT’s external manager, an affiliate of TPG Inc. (“TPG”)ConsiderationTotal consideration of $3.10 per share of CHMI common stockTotal stock consideration of $2.17 per share of CHMI common stock(2)Total cash consideration of $0.93 per share of CHMI common stockTotal consideration represents a purchase price premium of approximately 29% to CHMI’s unaffected closing stock price of $2.41 on August 7, 2026 Using MITT’s June 30, 2026 book value per common share, instead of market price per common share, total per share consideration for CHMI common stockholders would be $3.06 in stock and $0.93 in cash, for total consideration of $3.99 per shareEach share of CHMI’s 8.20% Series A Preferred Stock and each share of CHMI’s 8.250% Series B Fixed-to-Floating Rate Preferred Stock will be exchanged for a new preferred share of the combined company with the same termsAlignmentMITT’s external manager will contribute $0.52 per share of the cash consideration paid to CHMI common stockholders, representing approximately 17% of total consideration Pro Forma OwnershipMITT: ~73%; CHMI ~27%GovernanceMITT’s Board of Directors will be expanded to include two additional Board members designated by CHMIUnanimously approved by both MITT’s Board of Directors and CHMI’s Board of DirectorsRequired ApprovalsTransaction is subject to approval by respective common stockholders of CHMI and MITT, regulatory approvals and other customary closing conditionsExpected ClosingTarget closing in the fourth quarter of 2026(1) Based on adjusted book values per share for each of MITT and CHMI as of June 30, 2026(2) References MITT’s closing price of $7.09 as of August 7, 2026
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Transaction Highlights 6(1) No assurance can be given by CHMI with respect to the amount of any increases in MITT’s quarterly dividend in future periods Transformational combination driving potential for significant long-term value creation for shareholders and continued growth within the U.S. residential mortgage marketLong-Term Value CreationProviding shareholders with access to a combined investment portfolio spanning across Agency and Non-Agency products collateralized by residential mortgage loans with strong credit profilesHigh Quality AssetsCHMI’s Agency-focused strategy producing stable cash flows complements MITT’s credit-focused earnings power and supports dividend for shareholders; this transaction scales a portfolio that has delivered a 140% increase in MITT’s EAD and a 33% increase in MITT’s quarterly dividend since Q3 2023(1)Synergistic Pro Forma Investment PortfolioFurther bolsters MITT’s already strong liquidity profile with optionality to leverage MITT’s existing relationships to optimize portfolio financingEnhanced Liquidity ProfileA combined platform with increased operating leverage is expected to result in material expense synergies spread across a largerequity capital baseImproved Scale and Operating/Cost EfficienciesPro forma recourse debt-to-equity ratio expected to be reduced and attractive on a pro forma basis compared to the combined company’s peer groupLow Leverage ProfileFundamental alignment between MITT’s pure play residential mortgage and securitization strategy and CHMI’s Agency RMBS and MSR strategy, complemented by support from one of the most tenured structured credit teams in the industry at TPGBusiness Alignment Combined with External Manager Support
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Anticipated Benefits of Transaction 7(1) Based on MITT’s book value per share of $10.00 as of June 30, 2026 and CHMI’s stock price of $2.41 as of August 7, 2026.(2) Represents estimated operating expense synergies recognized upon combining companies, offset by the additional estimated management fee expense. Transaction to increase MITT’s market capitalization by 36%, improving liquidity and trading volume of the stock, increasing the total equity capital base to ~$742 millionTransaction is expected to be accretive to earnings in 2027, generating strong equity returns to common shareholdersTransaction to increase the size of MITT’s investment portfolio by ~$1.3 billion, or ~17%Conventional MSR portfolio and in-place servicing structure supported by TPG’s significant experience in originating, acquiring and managing MSRs providing ability to grow this complementary businessTransaction provides growth through permanent equity capital without assuming unsecured corporate debt$20 million cash contribution from TPG to reduce book value dilution and signals continued support in MITT’s plans to scaleAnticipated Benefits to MITT ShareholdersBased on current market pricing, merger consideration represents a significant premium to CHMI’s current stock priceOpportunity to benefit from MITT’s future performance and narrowing of its current trading discount, as evidenced by the merger premium of 66%(1) when based upon MITT’s June 30, 2026 book valueCash contribution, as a percentage of the total merger consideration (30%), represents substantial and certain value at closing relative to precedent M&A transactions in the mortgage REIT spaceMITT’s management team has a track record of successfully executing accretive transactions for shareholders as evidenced by performance post-WMC acquisition in 2023Anticipated Benefits to CHMI Shareholders Continued strong support from TPG in the form of a $0.52 per share cash contribution by MITT’s external manager towards completion of the transactionAccess to TPG platform, a $300+ billion leading global alternative asset management firm providing expertise across both credit and asset-based finance strategiesLiquid investment portfolio providing optionality for shareholders in rotating equity into assets classes identified as providing the strongest relative risk-adjusted returnsWell positioned with increased scale and liquidity to further capitalize on opportunistic investment environment post-transaction Expect operating expense efficiencies of $7 to $9 million annually with combined expenses spread over a larger equity base(2)Anticipated Benefits to Combined Company Shareholders
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UNAUDITED 8 Second Quarter 2026 HighlightsFinancial Results $3.16book value per common share12.2% decrease, net of quarterly dividend $0.10 dividend per share declared and paid20.9% total quarterly economic gain3GAAP net income of $0.04 per share4 EAD of $0.15per share4, 5Portfolio Update5.0x leverage ratio for aggregate portfolio3.5% net interest spread for RMBS9.7% CPR for RMBS66.3%net CPR for MSRs6Note: Figures presented are rounded. As of June 30, 2026, unless noted otherwise.1.Based on 36,947,394 common shares outstanding at June 30, 2026. 2.Second Quarter 2026 $0.10 dividend was paid in cash on July 31, 2026 to stockholders of record on June 30, 2026.3.Total economic gain for the quarter ended June 30, 2026 is defined as the decrease in book value from March 31, 2026 to June 30, 2026 of $0.07, plus the dividend declared of $0.10 per share, divided by March 31, 2026 book value of $3.23 per share.4.Based on 36,739,399 fully diluted weighted average common shares outstanding during the three-month period ended June 30, 2026. 5.EAD is a non-GAAP measure and a reconciliation to net income (loss) appears in the Appendix on page 25.6.Weighted average CPR for the three-month period ended June 30, 2026.Business UpdateDuring the second quarter of 2026, the Company recognized a $2.8 million credit loss and impairment on the investment in Real Genius LLC and the associated promissory note receivable
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UNAUDITED -1.002.003.004.005.006.00-50100150200250Basis Spread10 Year Treasury Mortgage 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% September 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 $103.281December 31, 2025 3.4730 3.5390 3.7250 3.9390 4.1670 4.7930 4.8440 $92.469 $94.875 $97.625 $99.781 $101.438 $102.688 $103.938 $98.688 $100.063 $101.281 $102.531 $103.813March 31, 2026 3.7930 3.8160 3.9430 4.1280 4.3170 4.9110 4.9100 $91.656 $94.281 $96.469 $98.594 $100.438 $101.906 $103.438 $97.594 $99.219 $100.688 $101.938 $103.125June 30, 2026 4.1720 4.1810 4.2270 4.3360 4.4650 4.9600 4.9510 $90.938 $93.594 $96.000 $98.406 $100.438 $102.250 $103.469 $97.219 $98.875 $100.469 $101.625 $102.6883Q25 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 $0.4374Q25 Change (0.1350) (0.0800) (0.0160) 0.0100 0.0170 0.0900 0.1130 $1.094 $0.625 $0.594 $0.594 $0.594 $0.500 $0.594 $0.344 $0.188 $0.219 $0.313 $0.5311Q26 Change 0.3200 0.2770 0.2180 0.1890 0.1500 0.1180 0.0660 ($0.813) ($0.594) ($1.156) ($1.188) ($1.000) ($0.781) ($0.500) ($1.094) ($0.844) ($0.594) ($0.594) ($0.688)2Q26 Change 0.3790 0.3650 0.2840 0.2080 0.1480 0.0490 0.0410 ($0.719) ($0.687) ($0.469) ($0.188) - $0.344 $0.031 ($0.375) ($0.344) ($0.219) ($0.313) ($0.438)Mortgage Basis Spread2vs. 10 Year Treasury9 Mortgage Landscape Note: Figures presented are rounded. Dollars in thousands. As of June 30, 2026, 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 43% 41% 40% 41% 39% 36% 39% 40% 42% 41% 21% 20% 20% 17% 20% -25%50%75%100%2Q25 3Q25 4Q25 1Q26 2Q26 Servicing Related Assets²RMBS³All Other⁴ 6.0% 5.9% 5.1% 4.5% 6.3% 4.0%5.0%6.0%7.0%8.0%-3%6%9%2Q25 3Q25 4Q25 1Q26 2Q26 CHMI Conv. (LHS)Bank Rate 30 Year Index (RHS)⁶ 6.1%6.1%8.5%8.0%9.7%7.2%7.9%8.2%10.6%8.4%-3%6%9%12%2Q25 3Q25 4Q25 1Q26 2Q26 CHMIFannie Mae Agg.⁵ 77% 78% 79% 79% 79% 23% 22% 21% 21% 21% -25%50%75%100%2Q25 3Q25 4Q25 1Q26 2Q26 30 Year RMBS¹MSRsQuarterly RMBS CPR PerformanceQuarterly MSR Net CPR Performance10 Portfolio Metrics Note: Figures presented are rounded. Dollars in thousands. As of June 30, 2026, 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 $16,606 $16,230 $15,891 $15,585 $15,209 $14,500$15,000$15,500$16,000$16,500$17,0002Q25 3Q25 4Q25 1Q26 2Q26Characteristics FNMA FHLMC TotalUPB $9,609,516 $5,599,138 $15,208,654Avg UPB $232 $226 $229WAC 3.47 3.52 3.49Net Servicing Fee 0.25 0.25 0.25WAM (Mths) 277 280 278WALA (Mths) 69 70 69Original FICO 754 758 755Original LTV 76.1 77.2 76.5ARM % 0.0% 0.1% 0.0%60+ DQ 1.1% 1.0% 1.1%June 30, 2026 MSR CharacteristicsHistorical MSR UPB ($ millions) 11 MSR Portfolio Overview Note: Figures presented are rounded. Dollars in thousands, unless noted otherwise. As of June 30, 2026, unless noted otherwise. CommentaryInvestments in MSRs totaled $211.1 million related to approximately $15.2 billion in UPB of underlying Fannie Mae and Freddie Mac loans as of June 30, 20265.52 multiple on servicing strip of 25.2 basis pointsRecapture rate on conventional MSRs was 0.2% in the quarter
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UNAUDITED 30 Year RMBSCoupon FMV Book Value Par Amount GWAC WALA 1 Mo. CPRLT CPR¹30 Year Total $816,793 $803,111 $818,407 6.0% 32 8.1 11.230 Year Open Net TBAsCoupon FMV Book Value Par Amount≤ 4.0% $66,335 $66,081 $74,3004.5% (86,592) (86,311) (90,200)5.0% (257,994) (257,155) (262,260)5.5% (178,327) (177,893) (177,600)6.0% 135,578 134,897 132,825≥ 6.5% 57,991 58,093 56,000Open Net TBAs Total ($263,009) ($262,288) ($266,935) 30 Year Spec PoolsCoupon FMV Book Value Par Amount GWAC WALA 1 Mo. CPRLT CPR¹≤ 4.0% $38,620 $38,546 $41,521 4.5% 49 10.5 8.84.5% 195,996 194,100 202,265 5.3% 40 7.9 9.45.0% 421,677 416,909 424,720 5.9% 30 6.2 10.45.5% 387,898 380,879 382,371 6.4% 29 10.2 12.86.0% 35,611 34,965 34,465 6.9% 20 6.1 13.9Spec Pools Total $1,079,802 $1,065,399 $1,085,342 6.0% 32 8.1 11.2Spec Pool Characteristics 12 RMBS Portfolio Overview Note: Figures presented are rounded. Dollars in thousands. As of June 30, 2026, 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 RMBS $23,951 2%$20,085 2%$118,455 10%$193,616 16%$312,645 26%$112,071 10%$158,968 13%$33,534 3%$11,779 1%$103,032 9%$94,551 8%$13,240 1%$18,958 2%$66,724 6%$179,467 17%$316,064 29%$123,717 12%$149,436 14%$30,903 3%$11,522 1%$100,357 9%$69,416 6% 13 RMBS Portfolio Collateral Characteristics Note: Figures noted are rounded. As of June 30, 2026, unless noted otherwise. Dollars in thousands. 1. Geographic stories are single state pools such as NY or PR. March 31, 2026RMBS Collateral (ex. TBA): $ 1,182,686June 30, 2026RMBS Collateral (ex. TBA): $1,079,802
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UNAUDITED REPOWARemaining DaysOriginal DaysRemaining MaturityOutstandingPercentageRateto Maturityto MaturityLess than one month$1,008,738100.0%3.8%2035Total / WA$1,008,738100.0%3.8%2035 10%8%8%7%7%7%7%6%6%6%6%6%5%5%4%1%1%0%Repurchase Agreement Counterparty Utilization1 14 Financing Summary Repurchase Agreement Characteristics Commentary Note: Figures noted are rounded. As of June 30, 2026, 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 3.8% with a weighted average days remaining to maturity of 20 daysBorrowings with 18 financing counterpartiesWeighted average “haircut” of 4.5%
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UNAUDITED Treasury FuturesMaturityLong NotionalShort NotionalNetFair Value5 years $111,500 - $111,500 $5910 years¹ $16,600 ($99,700) ($83,100) ($950)Total $128,100 ($99,700) $28,400 ($891) Payer SwapsYrs. To MaturityNotionalWA Pay RateWA Receive WA Yrs. to Mat.x ≤ 1 Year $63,900 0.92% 3.94% 0.71 > x ≤ 3 Years 308,000 0.78% 3.89% 1.83 > x ≤ 5 Years 130,700 1.22% 3.84% 4.45 > x ≤ 7 Years 100,400 2.59% 3.81% 6.17 > x ≤ 10 Years 40,200 3.33% 3.68% 8.1x > 10 Years8,100 4.00% 3.68% 10.2Total/WA $651,300 1.36% 3.86% 3.4Eris SOFR Swap FuturesMaturityLong NotionalShort NotionalNetFair Value5 years - ($19,000) ($19,000) ($71)7 years - ($59,400) ($59,400) ($410)10 years - ($3,600) ($3,600) ($24)Total - ($82,000) ($82,000) ($505)Receiver SwapsYrs. To MaturityNotionalWA Pay RateWA Receive WA Yrs. to Mat.x ≤ 1 Year - - - -1 > x ≤ 3 Years 116,000 3.77% 3.42% 2.03 > x ≤ 5 Years - - - -5 > x ≤ 7 Years - - - -7 > x ≤ 10 Years- - - -Total/WA $116,000 3.77% 3.42% 2.0SwapsTreasury Futures15 Hedging Summary Commentary2.9 years weighted average duration on Payer swaps1.9 years weighted average duration on Receiver swapsNote: Figures presented are rounded. Dollars in thousands. As of June 30, 2026, unless noted otherwise.1. Includes 10-year Ultra futures and Long Bond futures contracts. Eris SOFR Swap Futures
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Appendix
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UNAUDITED 5.26x 5.33x 5.38x 5.49x 5.02x 2.00x2.50x3.00x3.50x4.00x4.50x5.00x5.50x6.00x2Q25 3Q25 4Q25 1Q26 2Q26 57% 58% 57% 63% 65% -25%50%75%100%2Q25 3Q25 4Q25 1Q26 2Q26 5.14% 5.69% 5.24% 5.38% 5.76% (2.53%)(2.82%)(2.72%)(2.48%)(2.31%)2.61% 2.87% 2.52% 2.90% 3.45% (4.0%)(3.0%)(2.0%)(1.0%)-1.0%2.0%3.0%4.0%5.0%6.0%7.0%2Q25 3Q25 4Q25 1Q26 2Q26 WA Asset YieldWA Interest ExpenseNet Interest Spread $1,152 $1,191 $1,214 $1,183 $1,080 $225 $219 $215 $213 $211 $1,377 $1,410 $1,429 $1,396 $1,291 -$250$500$750$1,000$1,250$1,5002Q25 3Q25 4Q25 1Q26 2Q26 RMBS¹MSRsAsset CompositionCompany Leverage 17 Historical Portfolio Overview Note: Figures presented are rounded. Dollars in millions. As of June 30, 2026, 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 $3.34 $3.36 $3.44 $3.23 $3.16 (4%)(2%)-2%4%6%$3.00$3.50$4.00$4.502Q25 3Q25 4Q25 1Q26 2Q26 Book Value per Common Share (LHS)Total Return¹ (RHS) ($0.02)$0.12 $0.18 ($0.12)$0.05 ($0.15)($0.10)($0.05)-$0.05$0.10$0.15$0.202Q25 3Q25 4Q25 1Q26 2Q26 $0.15 $0.10 $0.10 $0.10 $0.10 -$0.02$0.04$0.06$0.08$0.10$0.12$0.14$0.162Q25 3Q25 4Q25 1Q26 2Q26Comprehensive Income (Loss) per Common ShareDividends per Common Share & Dividend Yield 18 Historical Performance Metrics Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, 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 $3.67 $3.42 $3.16 $2.91 $2.66 $2.50$2.75$3.00$3.25$3.50$3.75 -50 bps -25 bps No Change +25 bps +50 bps -50 bps-25 bpsNo Change+25 bps+50 bpsBasis Risk SensitivityEstimated Change in NAV $18,944 $9,418 - ($9,273) ($18,398)Pro forma NAV as of June 30, 2026 $247,868 $238,342 $228,924 $219,651 $210,526Pro forma percentage change in NAV 8.3% 4.1% - (4.1%) (8.0%)Pro forma BV per Common Share as of June 30, 2026 $3.67 $3.42 $3.16 $2.91 $2.66Pro forma percentage change in BV per Common Share 16.2% 8.1% - (7.9%) (15.8%)RMBS and MSR Spread (“Basis Risk”) Sensitivity on Current Portfolio 19 Basis Risk Sensitivity1 Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, 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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UNAUDITED $3.18 $3.14 $3.16 $3.16 $3.14 $3.14 $3.16 $2.75$3.00$3.25$3.50 2yr -25, 10yr 0 2yr 0, 10yr -25 -25 bps No Change +25 bps 2yr +25, 10yr 0 2yr 0, 10yr +25 2yr -25, 10yr 02yr 0, 10yr -25-25 bpsNo Change+25 bps2yr +25, 10yr 02yr 0, 10yr +25Interest Rate SensitivityEstimated Change in NAV $758 ($829) ($51) - ($757) ($827) $7Pro forma NAV as of June 30, 2026 $229,682 $228,095 $228,873 $228,924 $228,167 $228,097 $228,931Pro forma percentage change in NAV 0.3% (0.4%) (0.0%) - (0.3%) (0.4%) 0.0%Pro forma BV per Common Share as of June 30, 2026 $3.18 $3.14 $3.16 $3.16 $3.14 $3.14 $3.16Pro forma percentage change in BV per Common Share 0.6% (0.7%) (0.0%) - (0.6%) (0.7%) 0.0%Interest Rate Sensitivity on Current Portfolio 20 Interest Rate Sensitivity1 Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, 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 21 NAV Snapshot Note: Figures presented are rounded. Dollars in millions, except per share figures. As of June 30, 2026, 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. Credit loss and impairment on other assets is related to the investment in Real Genius LLC and the associated promissory note receivable.4. 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$8.8 $2.4 ($2.8)($2.1)($1.9)$0.1 ($2.4)($3.7)-($1.7)-$2.0 $4.0 $6.0 $8.0 $10.0 $12.0 IncreaseDecreaseTotalDividendsCommonATMIssuancesIncome & Gain (Loss)Operating ExpensesTaxes & Other
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UNAUDITEDJune 30, 2026 December 31, 2025AssetsRMBS, at fair value (including pledged assets of $1,054,018 and $1,189,714, respectively)$1,079,802 $1,213,851 Investments in Servicing Related Assets, at fair value (including pledged assets of $211,105 and $214,831, respectively)211,105 214,831 Cash and cash equivalents52,062 54,946 Restricted cash25,434 7,523 Derivative assets1,622 14,757 Receivables and other assets27,519 34,648 Total Assets$1,397,544 $1,540,556 Liabilities and Stockholders’ EquityLiabilitiesRepurchase agreements$1,008,738 $1,137,200 Derivative liabilities3,739 2,275 Notes payable140,648 145,191 Dividends payable5,910 5,919 Accrued expenses and other liabilities9,585 11,439 Total Liabilities$1,168,620 $1,302,024 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 June 30, 2026 and December 31, 2025, $69,541 liquidation preference as of June 30, 2026 and December 31, 2025$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 June 30, 2026 and December 31, 2025, $40,103 liquidation preference as of June 30, 2026 and December 31, 202538,553 38,553 Common stock, $0.01 par value per share, 500,000,000 shares authorized and 36,947,394 shares issued and outstanding as of June 30, 2026 and 500,000,000 shares authorized and 36,739,538 shares issued and outstanding as of December 31, 2025378 373 Additional paid-in capital396,889 396,516 Accumulated Deficit(278,445)(270,381)Accumulated other comprehensive income1,757 3,669 Total Cherry Hill Mortgage Investment Corporation Stockholders’ Equity$226,443 $236,041 Non-controlling interests in Operating Partnership2,481 2,491 Total Stockholders’ Equity$228,924 $238,532 Total Liabilities and Stockholders’ Equity$1,397,544 $1,540,556 Consolidated Balance Sheets 22 Balance Sheet Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, unless noted otherwise.
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UNAUDITEDThree Months Ended June 30, 2026 March 31, 2026IncomeInterest income$14,740 $15,850 Interest expense10,004 11,394 Net interest income4,736 4,456 Servicing fee income9,692 10,219 Servicing costs2,319 2,289 Net servicing income7,373 7,930 Other income (loss)Realized loss on RMBS, net(1,047)- Realized gain (loss) on derivatives, net12,139 (70)Realized gain on acquired assets, net2 - Unrealized loss on RMBS, measured at fair value through earnings, net(860)(12,436)Unrealized gain (loss) on derivatives, net(9,299)6,121 Unrealized loss on investments in Servicing Related Assets(2,351)(1,361)Credit loss and impairment on other assets(2,815)- Total other loss(4,231)(7,746)Total Income$7,878 $4,640 ExpensesGeneral and administrative expense2,128 1,693 Compensation and benefits1,889 1,579 Total Expenses$4,017 $3,272 Income Before Income Taxes3,861 1,368 Provision for corporate business taxes67 939 Net Income$3,794 $429 Net income allocated to noncontrolling interests in Operating Partnership(55)(6)Dividends on preferred stock(2,403)(2,391)Net Income (Loss) Applicable to Common Stockholders$1,336 $(1,968)Net Income (Loss) Per Share of Common StockBasic$0.04 $(0.05)Diluted$0.04 $(0.05)Weighted Average Number of Shares of Common Stock OutstandingBasic36,605,69836,593,018Diluted36,739,39936,593,018 Consolidated Statements of Income 23 Income Statement Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, unless noted otherwise.
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UNAUDITEDThree Months Ended June 30, 2026 March 31, 2026Net income $ 3,794 $ 429Other comprehensive income (loss):Unrealized gain (loss) on RMBS, available-for-sale, net502 (2,442)Net other comprehensive income (loss) 502 (2,442)Comprehensive income (loss) $ 4,296 $ (2,013)Comprehensive (income) loss attributable to noncontrolling interests in Operating Partnership (62) 29Dividends on preferred stock (2,403) (2,391)Comprehensive income (loss) attributable to common stockholders $ 1,831 $ (4,375)Comprehensive Income (Loss) Per Share of Common StockBasic$0.05 $(0.12)Diluted$0.05 $(0.12)Weighted Average Number of Shares of Common Stock OutstandingBasic36,605,69836,593,018Diluted36,739,39936,593,018 Consolidated Statement of Comprehensive Income 24 Comprehensive Income Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, unless noted otherwise.
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UNAUDITEDThree Months Ended June 30, 2026 March 31, 2026Net Income $ 3,794 $ 429+ Realized loss on RMBS, net1,047 -+ Realized loss (gain) on derivatives, net¹(6,987) 4,297+ Realized gain on acquired assets, net(2) -+ Unrealized loss on RMBS, measured at fair value through earnings, net860 12,436+ Unrealized loss (gain) on derivatives, net9,299 (6,121)+ Unrealized gain on investments in MSRs, net of estimated MSR amortization(3,866) (4,981)+ Credit loss and impairment on other assets2,815 -+ Transaction related expenses240 -+ Tax expense on realized and unrealized gain on MSRs and other Non-EAD income (loss) items842 1,704Total EAD: $ 8,042 $ 7,764EAD attributable to noncontrolling interests in Operating Partnership (117) (113)Dividends on preferred stock (2,403) (2,391)EAD Attributable to Common Stockholders $ 5,522 $ 5,260EAD Attributable to Common Stockholders, per Diluted Share $ 0.15 $ 0.14GAAP Net Income (Loss) Per Share of Common Stock, per Diluted Share$0.04 $ (0.05) Earnings Available for Distribution 25 Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, 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), credit loss and impairment on other assets, transaction related expenses and any tax expense (benefit) on realized and unrealized gain (loss) on MSRs and other non-EAD income (loss) items. 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 forany 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 attributable to common stockholders is adjusted to exclude outstanding LTIP-OP Units in our OperatingPartnership 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 providinginvestors 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 significantlimitations, 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 tosimilarly 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 ofour 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 inaccordance with the rules of the IRS.1. Excludes drop income on TBA dollar rolls of $1.4 million and interest rate swap periodic interest income of $3.7 million for the three-month period ended June 30, 2026.Excludes drop income on TBA dollar rolls of $419 thousand and interest rate swap periodic interest income of $3.8 million for the three-month period ended March 31, 2026. Earnings Available for Distribution
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UNAUDITEDServicing Related Assets RMBS All Other TotalIncome InformationInterest income$53$14,687$-$14,740Interest expense2529,752-10,004Net interest income (expense)(199)4,935-4,736Servicing fee income9,692--9,692Servicing costs2,319--2,319Net servicing income7,373--7,373Other income (expense)¹ (5,542) 1,311 - (4,231)Other operating expenses² (1,074) (720) (2,223) (4,017)Provision for corporate business taxes(67)--(67)Net other comprehensive income (loss)-502-502Comprehensive income (loss) $ 491 $ 6,028 $ (2,223) $ 4,296Balance Sheet InformationJune 30, 2026Investments$211,105$1,079,802$-$1,290,907Other assets21,07533,13152,431106,637Total assets232,1801,112,93352,4311,397,544Debt140,6481,008,738-1,149,386Other liabilities1,50710,1507,57719,234Total liabilities142,1551,018,8887,5771,168,620Net Assets $ 90,025 $ 94,045 $ 44,854 $ 228,924 Results of Operations 26 Segment Results Note: Figures presented are rounded. Dollars in thousands, except per share figures. As of June 30, 2026, 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 and credit loss and impairment on other assets.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 27 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