\nCherry Hill Mortgage Investment Corporation (NYSE: CHMI) (\u201cCherry Hill\u201d or the \u201cCompany\u201d) today reported results for the fourth quarter and full year 2020.\n<\/p>\n
Fourth Quarter 2020 Highlights <\/b><\/p>\n \n\u201cWe are proud of our team\u2019s efforts in 2020 to navigate the extremely challenging environment,\u201d said Jay Lown, President and Chief Executive Officer of Cherry Hill Mortgage Investment Corporation. \u201cIn the fourth quarter, we once again generated core earnings that exceeded our dividend, and maintained a strong balance sheet. Moving ahead, we believe we are well positioned to invest in MSRs and RMBS where we see opportunities that will deliver attractive risk-adjusted returns to our shareholders.\u201d\n<\/p>\n Operating Results<\/b><\/p>\n \nCherry Hill reported GAAP net income applicable to common stockholders for the fourth quarter of 2020 of $6.4 million, or $0.38 per basic and diluted weighted average common share outstanding. Reported GAAP net income was determined based primarily on the following: $8.0 million of net interest income, $9.1 million of net servicing income, a net realized gain of $8.0 million on RMBS, a net realized loss of $0.8 million on derivatives, a net realized loss on acquired assets of $0.1 million, a net unrealized loss of $3.3 million on derivatives, a net unrealized loss of $10.1 million on Servicing Related Assets, and general and administrative expenses and management fees paid to Cherry Hill\u2019s external manager in the aggregate amount of $3.1 million.\n<\/p>\n \nCore earnings attributable to common stockholders for the fourth quarter of 2020 were $6.3 million, or $0.37 per basic and diluted weighted average common share outstanding. For a reconciliation of GAAP net income to non-GAAP core earnings, please refer to the reconciliation table accompanying this release.\n<\/p>\n Three Months Ended<\/b><\/p>\n December 31,<\/b><\/p>\n<\/td>\n 2020<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 2019<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n (unaudited)<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n (unaudited)<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n Income<\/b><\/p>\n<\/td>\n \nInterest income\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n8,638\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n19,770\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nInterest expense\n<\/p>\n<\/td>\n \n619\n<\/p>\n<\/td>\n \n13,499\n<\/p>\n<\/td>\n \nNet interest income\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n8,019\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n6,271\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nServicing fee income\n<\/p>\n<\/td>\n \n14,045\n<\/p>\n<\/td>\n \n19,318\n<\/p>\n<\/td>\n \nServicing costs\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n4,940\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n5,378\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nNet servicing income\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n9,105\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n13,940\n<\/p>\n<\/td>\n \nOther income (loss)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nRealized gain on RMBS, available-for-sale, net\n<\/p>\n<\/td>\n \n7,950\n<\/p>\n<\/td>\n \n627\n<\/p>\n<\/td>\n \nRealized loss on derivatives, net\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(787)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(17,148)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nRealized loss on acquired assets, net\n<\/p>\n<\/td>\n \n(93)\n<\/p>\n<\/td>\n \n(28)\n<\/p>\n<\/td>\n \nUnrealized gain (loss) on derivatives, net\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(3,266)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n3,357\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nUnrealized gain (loss) on investments in Servicing Related Assets\n<\/p>\n<\/td>\n \n(10,050)\n<\/p>\n<\/td>\n \n1,959\n<\/p>\n<\/td>\n Total Income<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 10,878 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 8,978 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n Expenses<\/b><\/p>\n<\/td>\n \nGeneral and administrative expense\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n1,209\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n1,352\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nManagement fee to affiliate\n<\/p>\n<\/td>\n \n1,842\n<\/p>\n<\/td>\n \n1,999\n<\/p>\n<\/td>\n Total Expenses<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 3,051 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 3,351 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n Income Before Income Taxes<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 7,827 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 5,627 <\/b><\/p>\n<\/td>\n \nProvision for (Benefit from) corporate business taxes\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(1,216)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n1,132\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n Net Income<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 9,043 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 4,495 <\/b><\/p>\n<\/td>\n \nNet income allocated to noncontrolling interests in Operating Partnership\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(168)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(75)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nDividends on preferred stock\n<\/p>\n<\/td>\n \n2,463\n<\/p>\n<\/td>\n \n2,460\n<\/p>\n<\/td>\n Net Income Applicable to Common Stockholders<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n $<\/b><\/p>\n<\/td>\n 6,412 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n $<\/b><\/p>\n<\/td>\n 1,960 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n Net Income Per Share of Common Stock<\/b><\/p>\n<\/td>\n \nBasic\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n0.38\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n0.12\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nDiluted\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n0.38\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n0.12\n<\/p>\n<\/td>\n Weighted Average Number of Shares of Common Stock Outstanding<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nBasic\n<\/p>\n<\/td>\n \n17,054,634\n<\/p>\n<\/td>\n \n16,797,523\n<\/p>\n<\/td>\n \nDiluted\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n17,076,858\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n16,810,312\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n<\/table>\n \n_______________ \nNet unrealized loss on the Company\u2019s RMBS portfolio for the fourth quarter 2020 was approximately $11.9 million.\n<\/p>\n Three Months Ended<\/b><\/p>\n December 31,<\/b><\/p>\n<\/td>\n 2020<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n 2019<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n (unaudited)<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n (unaudited)<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nNet Income\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n9,043\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n4,495\n<\/p>\n<\/td>\n \nOther comprehensive income (loss):\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nNet unrealized gain (loss) on RMBS\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(3,915)\n<\/p>\n<\/td>\n \n7,373\n<\/p>\n<\/td>\n \nReclassification of net realized loss on RMBS included in earnings\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(7,950)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(627)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nOther comprehensive income (loss)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n(11,865)\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n6,746\n<\/p>\n<\/td>\n Comprehensive income (loss)<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n $<\/b><\/p>\n<\/td>\n (2,822)<\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n $<\/b><\/p>\n<\/td>\n 11,241 <\/b><\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nComprehensive income (loss) attributable to noncontrolling interests in Operating Partnership\n<\/p>\n<\/td>\n \n(50)\n<\/p>\n<\/td>\n \n181\n<\/p>\n<\/td>\n \nDividends on preferred stock\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n2,463\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n \n2,460\n<\/p>\n<\/td>\n \n\u00a0\n<\/p>\n<\/td>\n<\/tr>\n \nComprehensive income (loss) attributable to common stockholders\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n(5,235)\n<\/p>\n<\/td>\n \n$\n<\/p>\n<\/td>\n \n8,600\n<\/p>\n<\/td>\n \n_______________ Portfolio Highlights for the Quarter Ended December 31, 2020<\/b><\/p>\n \nThe Company realized servicing fee income of $14.0 million, interest income of $8.6 million and other loss of $6.2 million, primarily related to unrealized losses on investments in Servicing Related Assets, as well as realized and unrealized losses in derivatives, partially offset by realized gains on RMBS. The unpaid principal balance for the MSR portfolio stood at $21.6 billion as of December 31, 2020 and the carrying value of the MSR portfolio ended the quarter at $174.4 million. Net interest spread for the RMBS portfolio stood at 1.77% and the debt-to-equity ratio on the aggregate portfolio ended the quarter at 4.0x.\n<\/p>\n \nThe RMBS portfolio had a book and carrying value of approximately $1.2 billion at quarter-end December 31, 2020. The portfolio had a weighted average coupon of 3.18% and weighted average maturity of 28 years.\n<\/p>\n \nIn order to mitigate duration risk and interest rate risk associated with the Company\u2019s RMBS and MSRs, Cherry Hill used interest rate swaps, swaptions, TBAs and Treasury futures. At quarter end December 31, 2020, the Company held interest rate swaps with a notional amount of $1.5 billion, swaptions with a notional amount of $70.0 million, TBAs with a notional amount of $332.0 million and Treasury futures with a notional amount of $110.0 million.\n<\/p>\n \nAs of December 31, 2020, Cherry Hill\u2019s GAAP book value was $11.16 per diluted share, net of the fourth quarter dividend.\n<\/p>\n Dividends<\/b><\/p>\n \nOn December 10, 2020, the Board of Directors declared a quarterly dividend of $0.27 per share of common stock for the fourth quarter of 2020. The dividend was paid in cash on January 26, 2021 to common stockholders of record as of the close of business on December 31, 2020. Additionally, the Board of Directors declared a dividend of $0.5125 per share on the Company\u2019s 8.20% Series A Cumulative Redeemable Preferred Stock and $0.515625 per share on the Company\u2019s 8.250% Series B Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock for the fourth quarter of 2020. The dividends were paid in cash on January 15, 2021 to Series A and B Preferred stockholders of record as of the close of business on December 31, 2020.\n<\/p>\n Core Earnings<\/b><\/p>\n \nCore earnings is a non-GAAP financial measure and is currently defined by the Company as GAAP net income (loss), excluding realized gain (loss) on RMBS, realized and unrealized gain (loss) on investments in MSRs (net of any estimated MSR amortization), realized and unrealized gain (loss) on derivatives and realized (gain) loss on acquired assets. Core earnings is adjusted to exclude outstanding LTIP-OP Units in our Operating Partnership and dividends paid on preferred stock. MSR amortization refers to the portion of the change in fair value of the MSRs that is primarily due to the realization of cashflows or runoff and includes an adjustment for any gain or loss on the capital used to purchase the MSR. Additionally, core earnings excludes any tax (benefit) expense on realized and unrealized gain (loss) on MSRs. Core earnings are provided for purposes of potential comparability to other issuers that invest in residential mortgage-related assets. The Company believes providing investors with core earnings, in addition to related GAAP financial measures, may provide investors some insight into the Company\u2019s ongoing operational performance. However, the concept of core earnings 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 core earnings, it may not be comparable to similarly-titled measures of other issuers, which define core earnings differently from the Company and each other. As a result, core earnings should not be considered a substitute for the Company\u2019s GAAP net income (loss) or as a measure of the Company\u2019s liquidity.\n<\/p>\n \nThe following table provides a reconciliation of net income (loss) to core earnings for the three months ended December 31, 2020 and 2019:\n<\/p>\n\n
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\n \n \n \n <\/tr>\n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n
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Dollar amounts in thousands, except per share amounts. Certain prior period amounts have been reclassified to conform to current period presentation.\n<\/p>\n\n
\n \n \n \n <\/tr>\n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n \n <\/tr>\n<\/table>\n
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Dollar amounts in thousands. Certain prior period amounts have been reclassified to conform to current period presentation.\n<\/p>\n