Cherry Hill Mortgage Investment Corporation

Good day and welcome to the Cherry Hill Mortgage Investment Corporation first quarter 2025 earnings call. At this time, all participants are in listen-only mode. After the speaker's presentation, there will be a question and answer session. Instructions will be given at that time. As a reminder, this call may be recorded. I would like to turn the call over to Garrett Edson with ICR. Please go ahead.

We'd like to thank you for joining us today for Cherry Hill Mortgage Investment Corporation's first 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 a first quarter 2025 investor presentation to the investor relations section of our website at www.chmiread.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, IRRs, future expected cash flows, as well as prepayment and 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 filings with the SEC and definitions contained in the financial presentations available on the company's website. Today's conference call is hosted by Jay Long, President and CEO, Julian Evans, the Chief Investment Officer, and Michael Hutchby, the Chief Financial Officer. Now, I will turn the call over to Jay.

Thanks, Garrett, and welcome to our first quarter 2025 earnings call. The first quarter of 2025 was anything but calm. The reaction from markets domestically has been very aggressive during the first 100 days of the new administration amidst a backdrop of increased uncertainty, disruption, and meaningful policy changes coming out of D.C. Rates pushed lower in March, partly driven by rhetoric from Washington, and the 10-year ended the quarter at 4.25%, approximately 30 basis points lower quarter over quarter. That, however, was quickly overshadowed by the run-up to the Liberation Day tariff announcements on April 2nd. Suddenly, rates spiked on fears of a broader economic recession and stagflation. While the administration put a pause on the majority of the reciprocal tariffs for 90 days to reach new agreements, investors are in wait-and-see mode to determine whether the administration can negotiate trade deals or if we will return to potentially unprecedented volatility. Going forward, we expect rates will continue to be highly reactive to both global political agendas and domestic economic data. This uncertainty has pushed us to position the portfolio more neutral to rates to withstand the daily volatility. For the first quarter, we generated gap net loss applicable to common stockholders of 29 cents per diluted share. Book value per common share finished the quarter at $3.58 compared to $3.82 on December 31st. On an NAV basis, which includes preferred stock and prior to any ATM capital raised in the quarter. NAB was down approximately $7.5 million, or 3.2% relative to December 31st. Financial leverage at the end of the quarter remained consistent at 5.2 times as we continued to stay prudently levered. We ended the quarter with $47 million of unrestricted cash on the balance sheet, maintaining a solid liquidity profile. We were pleased to complete our first full quarter as an integrated internally managed mortgage rate. In line with our prior quarter comments, operating expenses declined quarter over quarter due to the elimination of the management fee. As we proceed through 2025, we will continue to closely manage our operating expenses as we look to responsibly grow Cherry Hill, which will ultimately improve both our expense ratio and our capital structure over time. Looking ahead, we are watching the macro environment and the tariff situation very closely and are stressing our portfolio for numerous scenarios in light of the forthcoming tariff deadline. In the near term, we plan to deploy capital as appropriate into agency RMBS and select MSRs, which still present strong risk-adjusted return profiles, 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 first quarter.