Exhibit 99.1

 

CHERRY HILL MORTGAGE INVESTMENT CORPORATION ANNOUNCES FOURTH QUARTER AND FULL YEAR 2022 RESULTS

 

FARMINGDALE, NJ – March 7, 2023 — Cherry Hill Mortgage Investment Corporation (NYSE: CHMI) (“Cherry Hill” or the “Company”) today reported results for the fourth quarter and full year 2022.

 

Fourth Quarter 2022 Highlights

“Our efforts to protect book value the past few quarters have been effective,” said Jay Lown, President and Chief Executive Officer of Cherry Hill Mortgage Investment Corporation. “Looking forward, we believe we remain thoughtfully leveraged given the challenging macro environment and will continue to be opportunistic in deploying capital in 2023.”

 

Operating Results

Cherry Hill reported GAAP net loss applicable to common stockholders for the fourth quarter of 2022 of $34.5 million, or $1.59 per diluted weighted average common share outstanding. Reported GAAP net loss was determined based primarily on the following: $1.4 million of net interest income, $10.4 million of net servicing income, a net realized loss of $30.7 million on RMBS, a net realized gain of $8.5 million on derivatives, a net unrealized loss of $13.5 million on derivatives, a net unrealized loss of $7.2 million on Servicing Related Assets, and general administrative expenses and management fee paid to Cherry Hill’s external manager in the aggregate amount of $3.2 million.

Earnings available for distribution attributable to common stockholders for the fourth quarter of 2022 were $5.3 million, or $0.24 per basic and diluted weighted average common share outstanding. For a reconciliation of GAAP net income to non-GAAP earnings available for distribution, please refer to the reconciliation table accompanying this release.

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Dollar amounts in thousands, except per share amounts.

Net unrealized gain on the Company’s RMBS portfolio for the fourth quarter 2022 was approximately $41.7 million.

 

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Portfolio Highlights for the Quarter Ended December 31, 2022

The Company realized net servicing fee income of $10.4 million and net interest income of $1.4 million, offset by other loss of $42.9 million, primarily related to realized losses on RMBS, as well as unrealized losses on derivatives and investments in Servicing Related Assets. The unpaid principal balance for the MSR portfolio stood at $21.7 billion as of December 31, 2022 and the carrying value of the MSR portfolio ended the quarter at $279.7 million. Net interest spread for the RMBS portfolio stood at 3.77% and the debt-to-equity ratio on the aggregate portfolio ended the quarter at 3.8x.

The RMBS portfolio had a book value of approximately $960.4 million and carrying value of approximately $931.4 million at quarter-end December 31, 2022. The portfolio had a weighted average coupon of 4.23% and weighted average maturity of 29 years.

 

In order to mitigate duration risk and interest rate risk associated with the Company’s RMBS and MSRs, Cherry Hill used interest rate swaps, TBAs, Treasury futures and options on Treasury futures. At quarter end December 31, 2022, the Company held interest rate swaps with a notional amount of $1.3 billion, TBAs with a notional amount of ($306.1) million, Treasury futures with a notional amount of ($88.7) million and options on Treasury futures with a notional amount of $20.0 million.

 

As of December 31, 2022, Cherry Hill’s GAAP book value was $6.06 per diluted share, net of the fourth quarter dividend.

Dividends

On December 16, 2022, the Board of Directors declared a quarterly dividend of $0.27 per share of common stock for the fourth quarter of 2022. The dividend was paid in cash on January 31, 2023 to common stockholders of record as of the close of business on December 30, 2022. Additionally, Cherry Hill announced that its Board of Directors declared a dividend of $0.5125 per share on the Company’s 8.20% Series A Cumulative Redeemable Preferred Stock and $0.515625 per share on the Company’s 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock for the fourth quarter 2022. The dividends were paid in cash on January 17, 2023 to Series A and B Preferred stockholders of record as of the close of business on December 30, 2022.

Earnings Available for Distribution

Earnings available for distribution (“EAD”) is a non-GAAP financial measure that the Company defines as GAAP net income (loss), excluding realized gain (loss) on RMBS, 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 (benefit) expense 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 loss on derivatives, net” on the consolidated statements of income (loss). EAD is adjusted to exclude outstanding LTIP-OP Units in the Company’s Operating Partnership and dividends paid on the Company’s preferred stock.

EAD is provided for purposes of potential comparability to other issuers that invest in residential mortgage- related assets. The Company believes providing investors with EAD, in addition to related GAAP financial measures, may provide investors some insight into the Company’s 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 the Company’s GAAP net income (loss) or as a measure of the Company’s 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.

		Three Months Ended
		December 31, 2022				September 30, 2022
		(unaudited)				(unaudited)
Net Income (Loss)		$	(32,753	)		$	41,677
Realized loss on RMBS, net			30,701				9,735
Realized gain on derivatives, net ¹			(2,180	)			(2,143	)
Unrealized loss (gain) on derivatives, net			13,526				(33,321	)
Unrealized gain on investments in MSRs, net of estimated MSR amortization			(1,206	)			(10,590	)
Tax (benefit) expense on realized and unrealized (loss) gain on MSRs			(217	)			2,404
Total EAD:		$	7,871			$	7,762
EAD attributable to noncontrolling interests in Operating Partnership			(143	)			(153	)
Dividends on preferred stock			2,463				2,462
EAD Attributable to Common Stockholders		$	5,265			$	5,147
EAD Attributable to Common Stockholders, per Diluted Share		$	0.24			$	0.26
GAAP Net Income (Loss) Per Share of Common Stock, per Diluted Share		$	(1.59	)		$	1.90

1.

Excludes drop income on TBA dollar rolls of $0.7 million and interest rate swap periodic interest income of $5.6 million for the three-month period ended December 31, 2022. Excludes drop income on TBA dollar rolls of $0.8 million and interest rate swap periodic interest income of $3.2 million for the three-month period ended September 30, 2022.

About Cherry Hill Mortgage Investment Corporation

Cherry Hill Mortgage Investment Corporation is a real estate finance company that acquires, invests in and manages residential mortgage assets in the United States. For additional information, visit www.chmireit.com.

 

Forward-Looking Statements

This press release contains forward looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws, including, among others, statements relating to the Company’s long-term growth opportunities and strategies, expand its market opportunities and create its own Excess MSRs and its ability to generate sustainable and attractive risk-adjusted returns for stockholders. These forward-looking statements are based upon the Company’s present expectations, but these statements are not guaranteed to occur. For a description of factors that may cause the Company’s actual results or performance to differ from its forward-looking statements, please review the information under the heading “Risk Factors” included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, and other documents filed by the Company with the Securities and Exchange Commission.

 

Contact:

Investor Relations

(877) 870 –7005

 

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