Good afternoon and welcome to the Cherry Hill Mortgage Investment Corporation 2nd Quarter 2025 Earnings Call. I am Franz and I'll be the operator assisting you today. 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 1 on your telephone keypad. If you would like to withdraw your question, press star 1 again. Thank you. I would now like to turn the call over to Peter Suiza with ICR. Please go ahead.

We'd like to thank you for joining us today for Terry Hill Mortgage Investment Corporation's second quarter 2025 conference call. In addition to this call, we have issued a press release that was distributed earlier this afternoon and posted that press release in second quarter 2025 investor presentation to the Investor Relations section of our website at www.chmiv.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, IRs, future expected cash flows, as well as prepayment 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 files 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 Lam, President and CEO, Julian Evans, the Chief Investment Officer, and Apeksha Patel, the Interim Chief Financial Officer. Now, I would turn the call over to Jay.

Thanks, Peter, and welcome to our second quarter 2025 earnings call. The second quarter started out with an intense storm, but by the end of the quarter, skies were considerably clearer. The initial tariff announcements on April 2nd spooked markets, resulting in an instinctive flight to quality, and causing the administration to quickly pause the majority of tariffs for 90 days to reach new agreements. As the quarter progressed, investors began discounting the worst-case scenarios initially feared. In fact, inflation remained low, the economy resilient, and tarot deals continued to be negotiated as we embark on a new normal. Despite the significant intra-quarter volatility, the 10-year ended the quarter at 4.23%, marginally higher quarter over quarter. The negative performance for those in the agency MBS sector was primarily driven by the mortgage basis underperforming both swap and treasury hedges, which Julian will elaborate on shortly. With the macro environment still in wait-and-see mode, all eyes are on the Fed to provide any signal to the end of their pause and return to the long-awaited rate cut cycle in September. We believe we are properly positioned for this event. For the second quarter, we generated gap net loss applicable to common stockholders of $0.03 per diluted share. Book value for common share finished the quarter at $3.34 compared to $3.58 on March 31st. On an NAV basis, which includes preferred stock, and prior to any ATM capital raised in the quarter, NAV was down approximately 6.2 million, or 2.7 percent, relative to March 31st. Financial leverage at the end of the quarter remained relatively consistent at 5.3 times, as we continue to stay prudently levered. During the quarter, we raised approximately $9 million of capital through our common ATM program and ended the quarter with $58 million of unrestricted cash on the balance sheet, maintaining a solid liquidity profile. During the quarter, we were pleased to enter into a strategic partnership and investment with Real Genius LLC, a Florida-based digital mortgage technology company. RealGenius has developed a proprietary direct-to-consumer platform, offering an efficient, fully online mortgage experience, including instant pre-qualification, automated document process, and real-time loan tracking, all of which is supported by their custom-built point-of-sale system. Partnering with and investing in RealGenius is one of the clear benefits of our internalization, which allows us the flexibility to explore unique investment opportunities we believe are accretive to strategic growth. We're excited to support RealGenius as they look to accelerate their growth moving forward. Looking ahead, we continue to also monitor the economic environment closely, and as it further stabilizes, we will look to evaluate a more risk-on approach to our investment strategy while maintaining strong liquidity and prudent leverage. With that, I'll turn the call over to Julian, who will cover more details regarding our investment portfolio and its performance over the second quarter.

Thank you, Jay. The second quarter was divided into two distinct periods. The first period, primarily April, was dominated by market anticipation surrounding Liberation Day. April set the tone for the quarter, introducing heightened volatility, increased hedging costs, wider mortgage spreads, and a significant swap spread tightening. The remainder of the quarter, encompassing May and June, was spent attempting to recover from April's dislocations. While volatility subsided and mortgage spreads tightened in the latter months, the improvements were insufficient to fully offset April's impact. At quarter end, our MSR portfolio had a UPV of $16.6 billion and a market value of approximately $225 million. The MSR and related net assets represented approximately 43% of our equity capital and approximately 23% of our investable assets, excluding cash at quarter end. Meanwhile, our RMBS portfolio accounted for approximately 36% of our equity capital. As a percentage of investable assets, the RMBS portfolio represented approximately 77%, excluding cash at quarter end. Our MSR portfolio's net CPR averaged approximately 6% for the second quarter, up modestly from the previous quarter. The portfolio's recapture rate remained de minimis, as the incentive to refinance continues to be minimal for this portfolio, given the portfolio's loan rate. In the near term, we continue to expect a low recapture rate and a relatively low net CPR, given our portfolio's characteristics. Should the Fed shift towards a rate-easing stance, we could see both of these metrics begin to rise as the incentive to refinance returns. Meanwhile, the RMBS portfolio's prepayment speeds continue to remain low at 6.1 CPR, with mortgage rates holding relatively steady, between 6.5% and 7% for the past nine months. As long as the Fed holds rates firm, we would expect prepayment speeds to remain moderate. However, should the Fed begin to cut rates in September, prepayment speeds could begin to rise in the latter part of the third quarter and into the fourth quarter, if long-end Treasury and mortgage rates move lower following the Fed easing. As of June 30th, the RMBS portfolio, inclusive of PBAs, stood at approximately $756 million, compared to $733 million at the previous quarter end, as we continued to modestly shift our RMBS positioning during the quarter towards higher coupon mortgages. During the quarter, we moved existing positions as well as invested new proceeds into higher coupons. For the second quarter, RMBS net interest spread was 2.61 lower than the previous quarter, primarily driven by a large swap position that matured in the first quarter, but impacted the NIM in the second quarter, as we had previously indicated. Lower dollar roll income also led to lower NIM in the quarter. During the quarter, we reduced a portion of our longer maturity SOFR swap hedges and replaced them with Treasury futures as SOFR spreads fluctuated and tightened during the quarter. Overall, our hedge strategy remains largely intact, and we will continue to use a combination of SOFR swaps, TVA securities, and Treasury futures to hedge the portfolio. Treasury futures have become a larger portion of hedges, especially given the recent tightening of swap spreads. Going forward, SOFR swaps will primarily represent front-end short and intermediate maturity hedges to the portfolio, while Treasury futures and the MSR will represent longer maturity hedges. Looking into the back half of the year, we will continue to proactively manage our portfolio and adjust our overall capital structure to add value for shareholders through improved performance in earnings. I will now turn the call over to Apexia for our second quarter financial discussion.

Thank you, Julian. Gap net loss applicable to common stockholders for the second quarter was $0.9 million, or $0.03, per weighted average diluted share outstanding during the quarter. While comprehensive loss attributable to common stockholders, which includes the mark-to-market of our available-for-sale RMBS, was $0.6 million, or $0.02 per weighted average diluted share. Our earnings available for distribution, or EAD, attributable to common stockholders were $3.2 million, or $0.10 per share. As we mentioned on our prior call, one of our larger hedges matured at the end of the first quarter, and thus we no longer receive income from it, which caused the reduction in EAD. However, as we have stated consistently, EAD is not the sole barometer for setting our common dividend. Our board also considers factors such as the prevailing market environment, portfolio return potential, our level of taxable income including potential hedge gain impacts, and the degree of certainty regarding forward investment return economics. Our book value for common share as of June 30, 2025 was $3.34, compared to book value of $3.58 as of March 31, 2025. 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 second quarter, we held interest rate swaps, TBAs, and Treasury futures, all of which had a combined notional amount of approximately $446 million. You can see more details regarding our hedging strategy in our 10-Q, as well as our second quarter presentation. For GAAP purposes, we have 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 $3.4 million for the quarter. On June 13, 2025, our Board of Directors declared a dividend of $0.15 per common share for the second quarter of 2025, which was paid in cash on July 31, 2025. We also declared a dividend of $0.51.25 per share on our 8.2% Series A Cumulative Redeemable Preferred Stock and a dividend of $0.64.13 on our 8.25% Series B Fixed to Floating Rate Cumulative Redeemable Preferred Stock, both of which were paid on July 15, 2025. At this time, we will open up the call for questions. Operator?

Thank you. And we will now begin the question and answer session. At this time, if you would like to ask a question, press star followed by the number one on your telephone keypad. And your first question comes from the line of Randy Binner from B-Reilly Securities. Please go ahead.

Hey, Randy, are you there?

Can you check your microphone if you're on mute?

Hi, sorry, this is Tim D'Agostino on for Randy Binner. In terms of servicing costs, it came in lower than our estimates. We were just kind of wondering what went through that and why servicing costs were lower in the quarter.

Sure. Essentially, we had some deboarding fees that we had taken on in the prior quarter and were able to work out of related to the whole Mr. Cooper acquisition from Flagstar. So that was a component of it. And then, you know, as the quarter has gone down, we've not added to the portfolio. So, you know, the total amount of loan count has continued to drop.

Okay, great. And then a second quick question. As we look throughout the end of 25, where should we expect leverage to go from here? Should we expect it to kind of remain flat, or will it change?

Hi, Ryan.

Well, actually, it's Tim, right? This is Julian. You know, I would expect, simply just say that I would expect leverage to kind of creep up as we, for the remainder of the year, I would say we've been running the portfolio kind of in a conservative pattern, mainly neutral on duration, and we've maintained the leverage pretty consistent over the last three quarters. I think it's increased kind of marginally. Obviously, the second quarter going in, we were expecting inflation to rise and volatility to remain at an elevated level. I would say that hasn't really changed as we ventured into the third and the fourth quarter, but there are some changes that have happened. Primarily, the weaker non-farm payroll number probably brings the Fed into play sooner than we would have expected. We were expecting somewhere between one or two eases into the second half of the year. This probably pulls those eases from, let's say, October and December into September. So if the Fed is going to be accommodative and steepen out the yield curve, that does make mortgages and other spread assets very attractive. It will depend on where inflation is going, obviously, but I would say most likely leverage should creep a little bit higher as we enter into the fall.

Okay, great. Thank you so much. That's all from us.

And your next question comes from McHale Goberman from Citizens JMP. Please go ahead.

Hey, good afternoon, guys. Hope everybody's doing well. Regarding this partnership with Real Genius, are there any numbers attached to it, any sort of projections for accretion and timeline on that? And you guys mentioned, I believe, a risk on investment strategy going forward. If I could maybe pick your brain as to what kind of stuff you could potentially be looking at going forward. Thanks.

Hey, dude. So the real genius, there is an expectation for them to be profitable within the first six or seven months. So I would expect, you know, within the first year of the investment that, you know, we should be receiving dividends off of that investment. And, you know, I think it's just a testament to our ability to sort of be more as a part of the sausage making and to be able to make an investment around things other than just MSRs in the form of either co-issue or bulk. So we're excited to work with these guys. We think it's a good, solid team. They're getting back on their feet. We're giving them time to get everything going, and we expect them to be profitable in the short term. On the other front, what was the other question?

Just going past Real Genius, you guys mentioned maybe continuing a sort of risk-on investment strategy and looking at other sort of alternative investments. Yeah, thanks.

So, right now, no. I think that there's a desire to look at assets outside of the current investment strategy we have. But to date, we don't have anything definitive. And if we do, we would obviously tell you guys at the right time. But today, we have nothing to report on that.

Gotcha. Thank you. And, of course, if I may squeeze in one more about current. Ah, gee, there's so many to ask, but the one that I'm really looking at right now is this one about current book value. Okay, it's a new one.

Hey, Mikhail, it's Apexha. We see our July 31st book value per share at about flat versus June 30th, and that obviously is prior to any third quarter dividend accrual as the board hasn't met yet to approve it.

Great. Thank you, guys, and best of luck going forward in the second half of the year.

Thanks, dude.

All right. Before we proceed, again, if you want to join the queue, simply press star one. And there are no further questions at this time. I would now like to turn the call back over to Jaylon for closing remarks. Please go ahead.

Thank you all for joining us on our second quarter earnings call. We look forward to updating you in a few months to give you progress on our third quarter. Have a great day.