Investor Presentation

Second Quarter 2023

Legal Disclaimer

FORWARD-LOOKING STATEMENTS. Certain statements in this presentation may constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, including without limitation references to potential or expected future cash flows, estimated or expected returns, sometimes referred to as initial IRR, updated IRR, expected IRR, lifetime IRR, life-to-date IRR or current-to-maturity IRR, potential discount rates, potential future investments, expected yields, potential or implied investment multiples, potential or projected future cash flows, expected CRR, CDR, Loss Severities, Loss Rates and Delinquencies. These statements are based on management's current expectations and beliefs and are subject to a number of risks, trends and uncertainties that could cause actual results to differ materially from those described in the forward-looking statements, many of which are beyond our control. Cherry Hill Mortgage Investment Corporation (the "Company") can give no assurance that its expectations will be attained. Accordingly, you should not place undue reliance on any forward-looking statements contained in this presentation. Risks and 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 to differ 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 "Risk Factors" in the Company's Annual Report on Form 10-K for the year ended December 31, 2022, and in other documents filed by the Company with the SEC. The Company's forward-looking statements speak only as of the date of this presentation. The Company expressly disclaims any obligation to release publicly any updates or revisions to any forward-looking statements contained herein to reflect any change in the Company's expectations with regard thereto or change in events, conditions or circumstances on which any statement is based.

CAUTIONARY NOTE REGARDING EXPECTED RETURNS AND EXPECTED YIELDS. Expected returns and expected yields are presented for illustrative purposes only and are estimates of the annualized effective rate of return that we presently expect to be earned over the expected average life of an investment (i.e., 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, 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 been recognized 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 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 discussion of 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.

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Second Quarter 2023

Second Quarter 2023 Highlights

UNAUDITED

Financial Results

$5.19 book value per common share1

EAD of $0.16 per share4

  • 6.0% decrease, net of 1Q23 dividend

$0.15 dividend per share declared and paid2 3.3% total quarterly economic loss3

Portfolio Update

4.4x leverage ratio for aggregate portfolio

4.2% CPR for RMBS5

3.8% net interest spread for RMBS

6.2% net CPR for MSRs5

Note: Figures presented are rounded. As of June 30, 2023, unless noted otherwise.

  1. Based on 26,978,077 common shares outstanding at June 30, 2023.
  2. Second quarter 2023 $0.15 dividend was paid in cash on July 31, 2023 to stockholders of record on June 30, 2023.
  3. Total economic loss for the quarter ended June 30, 2023 is defined as the decrease in book value from March 31, 2023 to June 30, 2023 of $0.33, plus the dividend declared of $0.15 per

share, divided by March 31, 2023 book value of $5.52 per share.

  1. Based on 26,034,399 fully diluted weighted average common shares outstanding during the three-month period ended June 30, 2023.
  2. Weighted average CPR for the three-month period ended June 30, 2023.

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Mortgage Landscape

UNAUDITED

Market Trends1

Mortgage Dollar Price Changes

U.S. Treasuries - Yield Changes

30 Year MBS

2yr

3yr

5yr

7yr

10yr

20yr

30yr

3.50%

4.00%

4.50%

5.00%

5.50%

6.00%

September 30, 2022

4.2790

4.2880

4.0900

3.9810

3.8290

4.0880

3.7760

$89.938

$92.719

$95.219

$97.375

$99.438

$101.594

December 31, 2022

4.4260

4.2240

4.0040

3.9650

3.8750

4.1440

3.9630

$91.063

$93.969

$96.531

$98.719

$100.406

$101.656

March 31, 2023

4.0250

3.7880

3.5730

3.5310

3.4680

3.7950

3.6500

$92.902

$95.629

$97.953

$99.688

$100.965

$101.973

June 30, 2023

4.9000

4.5290

4.1560

3.9990

3.8400

4.0740

3.8620

$91.191

$93.902

$96.188

$97.988

$99.516

$100.836

3Q22 Change

1.3260

1.2800

1.0520

0.9130

0.8160

0.6540

0.5930

($6.375)

($6.031)

($5.313)

($4.781)

($4.375)

($3.313)

4Q22 Change

0.1470

(0.0640)

(0.0860)

(0.0160)

0.0460

0.0560

0.1870

$1.125

$1.250

$1.313

$1.344

$0.969

$0.063

1Q23 Change

(0.4010)

(0.4360)

(0.4310)

(0.4340)

(0.4070)

(0.3490)

(0.3130)

$1.840

$1.660

$1.422

$0.969

$0.559

$0.316

2Q23 Change

0.8750

0.7410

0.5830

0.4680

0.3720

0.2790

0.2120

($1.711)

($1.727)

($1.766)

($1.699)

($1.449)

($1.137)

15 Year MBS

4.00% 4.50% 5.00%

$96.469

$98.094

$100.250

$94.781

$99.500

$100.688

$98.488

$99.750

$100.676

$96.629

$98.066

$99.316

($4.469)

($4.031)

($2.688)

($1.688)

$1.406

$0.438

$3.707

$0.250

($0.012)

($1.859)

($1.684)

($1.359)

Mortgage Basis Spread2 vs. 10 Year Swap

2.25

4.50

2.00

4.00

1.75

3.50

1.50

3.00

1.25

2.50

1.00

2.00

0.75

1.50

0.50

1.00

0.25

0.50

-

-

Basis Spread (LHS)

10 Year Swap (RHS)

Note: Figures presented are rounded. Dollars in thousands. As of June 30, 2023, 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 swaps.

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Disclaimer

Cherry Hill Mortgage Investment Corporation published this content on 03 August 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 03 August 2023 20:58:49 UTC.